New Features

General:

• ADCO HPI3 & LDM Multi-Family Model Integration
• Espiel 6.2 Model Integration
• Periodic Auto-Save Feature implemented
• Pricing Matrix expanded to apply rules-based pricing to loan portfolios
• One-sided KRDs & User Durations supported
• 6M Tenor supported for Partial Vega
• Scenario Path-wise & Average OAS CF Reports available
• 12 & 15 year Eris swap futures supported

Thank you to all who attended our MSR valuation and hedging webinar overview, which covered the following topics:

• Modeling the MSR Asset o Loan or Cohort Upload via CSV o MSR Cash Flow Model o Decomposing Value Across Cash Flow Components
• Modeling Hedging Instruments
• Static and OAS Valuation
• Static and OAS Cash Flows
• Risk Measures and P&L Attribution

If you missed this and would like more information on MSR through PolyPaths, please contact us at support@polypaths.com.

There are many new features in version 7.07 including -

Modeling:

• Users may now control the Market Vol Unit for Sensitivities and Scenarios, determining whether Black or BP Vols are held constant by default when shifting market rates.