PolyPaths ALM supports customer-specific additional data accounts which can be utilized in creating inputs to a forecast, connecting inputs to targets, building metrics like LCR (Liquidity Coverage Ratio), storing intermediate/final results, or embedding spreadsheets used outside of ALM. Clients can now watch our webinar here to learn more.
We are pleased to announce the latest Finding Skew update for May 2023 is now available. A historical regression approach can be used to imply a market skew over a time series of pre-selected benchmark European swaption volatilities. Our paper outlines a process to estimate skew and applies this process to estimate recent skew patterns in both the CEV and Displaced Diffusion BGM model extensions based on recent 2023 market data. Reach out to us at support@polypaths.com to obtain a copy!
Please join us on Thursday, June 15th for an introduction on modelling mortgage rate locks in PolyPaths. Full details and registration are available here.
The May 2023 issue of Pathways is now available! In this month’s issue, Aaron Leclair provides a comprehensive introduction to PolyPaths Interest Rate Lock Commitment (IRLC) framework. The IRLC is modelled on top of the existing mortgage, pull-through rates may be specified based on loan status and borrower characteristics, with betas determining the sensitivities of those assumptions to rate changes. To access the newsletter please click here.
If you would like to be added to the distribution list, please email pathways@polypaths.com.
Please join us on Thursday, May 25th to explore how to unlock the potential of customer-specific data accounts across a variety of business use cases. Full details and registration are available here.
With LIBOR cessation around the corner, PolyPaths is excited and prepared for the transition to SOFR. Our latest release, version 7.13 includes several enhancements that support SOFR valuation as well as LIBOR cessation. We have put together a quick SOFR cheat sheet highlighting all of our transition support and readiness. In here, you will find descriptions of any updates made by PolyPaths that users can also leverage to seamlessly integrate SOFR into their workflow moving forward. Please e-mail us at support@polypaths.com to obtain this document.
The April 2023 issue of Pathways is now available! In this month’s issue, Anthony Schrader explores our support of auto loans and leases and their securitizations both for valuation and for risk. Leveraging our integration with vendor partner behavioral models, borrower and vehicle characteristics together with origination, benchmark Treasury and unemployment rates drive PolyPaths’ cash flow forecast both in the base case and your ‘what-if’ scenarios. To access the newsletter please click here.
If you would like to be added to the distribution list, please email pathways@polypaths.com.
As a companion to our recent AppPort and ALM version 7.13 feature webinars, this webinar highlights the latest enhancements to our database product, PolyPaths Enterprise. Version 7.13 Enterprise includes a plethora of reporting enhancements such as the ability to store time series BGM calibration reports directly in the Enterprise database using a new Enterprise job as well as several improvements to our existing High Performance Scenario Calculation reporting. Clients can watch the webinar here.
As a reminder, PolyPaths has a flexible framework for modelling Deposits where users can define a repricing formula based on either rate level or rate changes period-over-period. Alternatively, our Deposit Decay API allows users to integrate own internal models that forecast dynamic decay rates into PolyPaths. Once modelled, Deposits as well as other securities, can be run using PolyPaths ALM, which has several features including capabilities to measure liquidity risk. Within ALM users can customize Strategies which allow different outlooks on the balance sheet such as targeting growth levels, changing the mix of asset or liability types, or using strategies in forecasting liquidity stress.
Please contact us at support@polypaths.com to learn more!
As a companion to our recent AppPort 7.13 features showcase, this webinar explores the latest enhancements in our forecasting tool, PolyPaths ALM. Clients can now watch our highlights webinar here.