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.

Pathways Issue No. 12

The September 2020 issue of Pathways is now available! In this month’s case study, Daniel Wang demonstrates how to model the agency adverse market fee using PolyPaths and how this charge impacts forecasted prepayments and consequently the negative convexity profile inherent to mortgage-backed securities. 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 Basis Swaps Model Update Now Available

In anticipation of the CME/LCH transition this fall, we recently completed an expanded dual-curve framework for SOFR. This feature is available in our most recent PolyPaths version 7.10.3. If you have not already, please reach out to us at support@polypaths.com if you are interested in receiving this update.

Pathways Issue No. 11

The August 2020 issue of Pathways is now available! In this month’s case study, Andy Lui explores the Solver functionality within AppPort and Batchcal, and how this may be used to gauge the impact of the LIBOR to SOFR transition. He reviews how to solve for floating-note and swap coupons and margins under both LIBOR and SOFR regimes and outlines the available input and output spread-related fields that may be used across product types. To access the newsletter please click here.

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

Filters in PolyPaths Enterprise

PolyPaths Enterprise includes powerful functionality that allows user to filter portfolios or accounts based on user-defined logical criteria. Users can filter on one condition, or can combine filters to filter on multiple conditions. These filters can then be leveraged for all kinds of Enterprise jobs ranging from reporting to calculation jobs. A common use case is using filters as part of a nightly process to automate conditional error handling. Any pre-defined filters can also be applied when loading positions from the Enterprise database within AppPort. Clients can view our 20-minute webinar here for more information.