Please join us on Thursday, November 5th for an update of SOFR capabilities within PolyPaths. Full details and registration are available here.

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.

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.

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.

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.

Within PolyPaths, users have the ability to incorporate inflation-linked securities in their portfolios. With general uncertainty looming over the post-pandemic economy, these instruments may enjoy favorable returns or provide a hedge against potential outcomes like inflation. Inflation Curves can be fed in by the user or retrieved programmatically from Bloomberg, and then can be leveraged in running valuation and risk on inflation-linked securities. Our support includes: Treasury Inflation-Protected Securities (TIPS), Zero-Coupon Inflation Swaps (ZCIS),and other CPI-linked instruments. Furthermore for those clients using Moody’s Analytics for structured products, CPI assumptions are also passed to the Moody’s Cash Flow Engine. The inflation assumptions can also be stressed in PolyPaths’ Scenario Analysis. Please contact us at support@polypaths.com for any questions.

PolyPaths ALM provides a flexible reporting framework that supports multiple entities: companies, divisions, products, and portfolios. This allows clients to manage multiple subsidiaries, parent-only entities, and consolidated reporting. Clients can watch our webinar here for an overview of features related to consolidation of subsidiary and parent entities.

PolyPaths LLC has been providing fixed income analytics solutions for almost 25 years. During that timeframe we have developed a number of products, ranging from a Windows desktop application that is suitable for pre-trade analysis on a single-security, through a full multi-tier enterprise and asset / liability management suite that together are capable of providing in-depth pricing and risk management for portfolios with thousands of line items. Clients can watch our webinar here for a brief but comprehensive overview of all our products and how they work together.

The July 2020 issue of Pathways is now available! In this month’s case study, Hung Lin evaluates the impact of portfolio rebalancing when hedging a book of mortgage whole loans through time, from today to 1 year forward. He utilizes PolyPaths’ income simulation tool to assign transaction costs, report the tradeoffs between risk and income, and ultimately provide a portfolio manager with the data to make an informed decision. To access the newsletter please click here.

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

Our ALM tool includes a built-in optimizer that can be used to solve for an optimal funding mix that maximizes portfolio returns while satisfying user-specified constraints. For example, this tool can be used to solve for optimal holding amounts on the funding instruments so that the portfolio is duration neutral. Clients can watch our webinar here. By the end of this webinar you will have the tools you need to maximize low cost funding and retire high cost debt while hedging your portfolio with financing options that lift your firm’s margins.