Fixed Income Analytical Solutions
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WHAT OUR CLIENTS SAY

“We switched to PolyPaths based on
their strong ability to match market
values to risk measures and their
great customer focus and support. 
We looked at all the other systems
that could produce valuation and
risk measures for a complex set of
financial instruments and PolyPaths
provided the best tradeoffs between
coverage, fidelity to capital market
practices and associations with the
street, price, database support and
client support.  No other vendor
matched all these very important
dimensions."

Head of Risk Management
Regional Bank


Analysis Stage

PolyPaths offers financial professionals a wide variety of functionalities in Pre-Trade, Trade and Post-Trade analysis.



PRE-TRADE



Complete Risk/Return profiles on a single security or a group of securities and derivatives:

  • Price/Yield Table: Yield, spreads (I-J-N-E-Z), average life, cap/swap value, PAC-bands under varying price and prepayment assumptions.

  • OAS Analysis: Price/OAS table, duration, convexity, prepayment duration, current coupon duration, volatility duration.

  • Speed Table: Historical speeds, back-tested model speeds, speed projections under varying interest rate scenarios.

  • Default/Loss/Speed Matrix: Calculate yield, average life, spreads under varying default/loss and prepayment scenarios. Specify default rate, loss severity, recovery lag, P&I advances.

  • Synthetic Trade Analysis: Create synthetic bonds. Run stripping/recombination analysis.

  • Bond Details: Prepayment, Default, Delinquency History, Delinquency Trigger rules.

  • Total Rate of Return: Calculate ROR, ROA, ROE, P&L for user-specified horizon term. Break down sources of return into: mark-to-market gain, gain/loss from principal return, interest income, reinvestment income, financing cost and applicable risk measures.

  • Partial Duration:  Calculate the impact of changing any variable while holding all others constant; e.g., the yield for a specific maturity point on the yield curve or the OAS.


TRADE



Pricing



  • Spread-Based: Yield spreads, cash flow spread, price spread, OAS.

  • Hedge Ratio, Reference Bond: Mark positions based on movements of benchmark rates, TBAs, or any other reference position.

  • Breakeven Prepay-Shift

  • Offering Calculations: Calculate "offering" price, OAS, yield, spreads off position valuation.

Transactions



  • Trade Entry, Trade Blotter: Track transaction history of a portfolio.

  • Trade Tracker: Save trades for future querying to database with pricing, valuation, and counterparty information.

Hedge Analysis



  • Hedge Equivalents: Static, OAS, or user-defined Treasury, Swap Equivalents.

  • Rebalancing: Quickly rebalance hedge positions to offset parallel and partial shifts in the yield curve by associating hedges with each position.


POST TRADE



Portfolio Setup



  • Security Import: Load securities from spreadsheet file or database.

  • Portfolio Views: Toggle between detail and summary views of portfolios.

Portfolio Valuation



  • OAS Valuation: Consistent valuation of all securities through Monte-Carlo framework.

  • Scenario Analysis: Create complex scenarios to stress-test entire portfolio.

  • Partial Duration Analysis: User-specified buckets. Shock to spot or forward curve.

Cash Flow Analysis



  • Cash Flows: Security/portfolio level cash flows: balance, principal (scheduled, unscheduled), accrued interest, defaults.

  • Scenario Cash Flows: Security/portfolio level cash flows under varying interest rate and prepayment scenarios.

  • Cash Flow Output File: Output base case and scenario cash flows to text file at the security and portfolio level.

Price Attribution



  • Price Change: between two market rate dates to changes in such characteristics as yield curves, current coupon and volatility.

Overnight Risk Calculations



  • Batch Processing: Generate risk reports via batch processing. Distributed processing may also be utilized to ensure timely completion of analysis.
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