Did you know in PolyPaths you have the ability to incorporate loan modifications such as forbearance as part of your loan modeling? With many lenders now allowing for forbearance for those experiencing financial hardship during the coronavirus pandemic, we anticipate the need to incorporate these provisions in your analysis. Please email us at support@polypaths.com to obtain a copy of our Modeling Loans in PolyPaths write-up that outlines this functionality.
Performance Attribution allows users to attribute a change in price between two market rates or scenarios for the same security due to various market segments including time value, rate level, mortgage spread, volatility, OAS changes, or even custom factors. View the recording here.
In mortgage analysis, the spread between the current coupon of Fannie Mae and Ginnie Mae mortgages can be modeled by projecting separate Fannie Mae and Ginnie Mae current coupon rates. PolyPaths version 7.10 incorporates many features designed to facilitate the modeling of a FNMA-GNMA current coupon spread when used with a supported model such as the ADCO Loan Dynamics model. Clients can watch our webinar here.
Are you looking to incorporate temporary disruptions in your prepayment forecasts? In addition to exposing any tuning knobs supported by specific models, PolyPaths also has generic tuning knobs which allow users to temporarily dampen prepayment or increase default rate forecasts for a designated number of months, thereafter returning to baseline projections. Watch our webinar on this topic here.
With large market movements, several clients have recently expanded their analysis to generate results across multiple different assumption sets such as a lognormal vs. normal model. Did you know the PolyPaths fields “Options Model” and “Int Rate Model” fields allow users to see results side-by-side within a single portfolio?
One of the new features added in PolyPaths v7.10 is the ability to incorporate cross currency basis swap spread information in the valuation of cross currency swaps. Check out our WebHelp article, linked here, on how to quickly add these swaps in the system to help hedge and manage your currency basis risk.
With rising volatilities and falling rates amid the COVID-19 outbreak, we have received many inquiries related to what our models can and cannot handle. We have compiled a document on the most frequently asked questions. Reach out to us at support@polypaths.com to obtain a copy!
The March 2020 issue of Pathways is now available! In this month’s case study, David Oh outlines the steps needed to add a twenty year on-the-run Treasury bond to the PolyPaths’ market rates capture and to include this issuance in the fitting of the treasury curve. To access the newsletter please click here.
If you would like to be added to the distribution list, please email pathways@polypaths.com.
We have assembled a report pack showcasing sample reports available in our forecasting tool, PolyPaths ALM. Some of the most common and standard reports are Forward Market Value, Book Income, Cashflow, Counterparty Exposure, and Market Rates, but our reporting framework also allows for a high degree of flexibility across numerous fields. If you wish to view some of our ALM capabilities, please reach out to us at support@polypaths.com to obtain it. Click here to learn more about our ALM tool.
Please join us on Thursday, April 16th to explore Funds Transfer Pricing (FTP) in PolyPaths. Full details and registration are available here.