Please join us on Thursday, November 19th for an introduction to structured products in PolyPaths using the Intex cash flow engine. Full details and registration are available here.

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.

Please join us on Thursday, October 22nd to learn more about durations in PolyPaths. Full details and registration are available here.

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.

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.