HPSC Webinar Now Open for Registration

Please join us on Thursday, December 10th to learn about PolyPaths’ High Performance Scenario Calculations. Full details and registration are available here.

Pathways Issue No. 14

The November 2020 issue of Pathways is now available! In this month’s case study, Parmeet Singh works through PolyPaths flexible framework to model an Index Transition for structured deals and the resulting impact on bonds when a shift has been modeled from LIBOR to SOFR. To access the newsletter please click here.

If you would like to be added to the distribution list, please email pathways@polypaths.com.

PolyPaths SOFR Fall 2020 Update Recording Now Available

Several recent enhancements have been made to support the secured overnight financing rate (SOFR) in PolyPaths including a dual-curve framework for SOFR that incorporates SOFR Basis Swap data, swaption valuation under the SOFR Basis Swap framework, integration with our vendor partners including an Intex Transition Model forecast, and updates to measuring risk and stress relative to SOFR. Clients can watch our webinar here for more details. Please contact support@polypaths.com on how PolyPaths can help you during the SOFR transition.

Streamlined Scenario Construction

Did you know in PolyPaths you have the ability to create scenarios in bulk from an input CSV file? Whether it be scenarios like CCAR 2020 or customized user-defined shocks, and whether it be one scenario or hundreds, PolyPaths’ tools allow firms to streamline, automate, and expand their risk capabilities. Clients can read more in our help file here. Once created, these scenarios can be consolidated into sets within our Enterprise application to facilitate daily reporting. Please contact support@polypaths.com with any questions or to request a sample file for illustration.

Durations in PolyPaths Webinar Recording Now Available

PolyPaths offers a wide array of risk measures for various market factors such as interest rates, mortgage rates, volatilities, prepayment knobs, or even customized shocks. Not only does the system allow for parallelized sensitivity measures but they can be further divided into partial risk. To learn more clients can view the recording here.

Pathways Issue No. 13

The October 2020 issue of Pathways is now available! In this month’s case study, Hung Lin illustrates how post-forbearance repayment options can be modeled in PolyPaths using our newly added Forbearance Repayment Period field. To access the newsletter please click here.

If you would like to be added to the distribution list, please email pathways@polypaths.com.

Running Different Assumption Sets via Pricing Spaces

Within PolyPaths Enterprise, Pricing Spaces allow users to calculate and store multiple sets of valuation and risk measures for a given position, each based on a unique set of pricing marks and/or model settings. Whether it’s a prepayment override imposed by a Bank’s Treasury department or a run-to-maturity assumption used by the ALM team, Pricing Spaces offer a flexible way to streamline shared calculations while being able to impose group-specific modeling assumptions when needed. Through efficient database design, results can be easily automated, analyzed, and compared.

For example, for a dealer, there might be a pricing space for the Trader marks (trader’s price, prepay assumptions, etc.) and a second pricing space for the risk management group’s assumptions (which perhaps might just use an un-tuned prepay model or more conservative prepayment estimates). To learn more please read our recently added Pricing Space document in our Enterprise repository.