PolyPaths v7.10 revamps the ability to perform time series analysis interactively in AppPort using data stored in the Enterprise database. Using this tool clients can easily visualize recent trends in both market data and their internal valuations. For example, market data such as the 30-year mortgage rate and the 10-year CMT rate can be plotted together to track their relationship through time. Clients can watch our webinar here to learn more.
Whether running loan-level and/or cohort-level analysis, we support static and option-adjusted valuations of mortgage servicing rights and their associated hedges. Our flexible cash flow model includes the standard set of income and fees, along with various customization options. In this webinar we also overview recent enhancements we have made to support forbearance-related adjustments. View the recording here.
With the low rate environment and permittance of negative rates in some interest rate models, we’ve received inquiries on both allowing and constraining negative rates in security valuation. For CMO floaters with embedded caps and floors, users can toggle our Ignore Index Cap/Floor field to allow index rates to go beyond any preset cap or floor. For Mortgage Servicing Rights, clients can optionally impose a floor on all floating servicing cash flow strips including T&I and P&I Float. In Scenario Analysis, our Floor Negative Rates option supports both non-negative and negative floors. Please reach out to us at firstname.lastname@example.org for any help in restricting or relaxing negative rates as part of your analysis.
Please join us on Thursday, June 4th for an overview of PolyPaths’ loan-level analysis and stratification features. This webinar will walk through a typical work flow, including loan tape upload and scrubbing, available pricing inputs, valuations and risk reporting, and automation. Full details and registration are available here.
PolyCMO is our single-bond calculator which can be used to assess a PY table, speed table, OAS table, and various other spreads as part of pre-trade analysis. View the recording here.
The May 2020 issue of Pathways is now available! In response to recent events, we have implemented several new features to model loans in forbearance. In this month’s case study, Parmeet Singh will walk through how to model forbearance and assess its impact on your portfolios. We are excited that our 3rd major sub-version of version 7.10 is available now and includes those changes. To access the newsletter please click here.
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As a reminder, our most recent release, version 7.10, includes several enhancements to facilitate portfolio analysis during the LIBOR transition, including full OAS support for SOFR-linked CMOs, structured notes, and swaps. Users may view and shock the SOFR curve side-by-side with Treasury and LIBOR and compare valuations and risk between SOFR and other benchmarks. For the latest update on our SOFR support in PolyPaths, clients can watch our webinar here. Please contact firstname.lastname@example.org for more details on these enhancements and our roadmap related to the LIBOR replacement.
Please join us on Thursday, May 28th for an overview of PolyPaths’ MSR capabilities. We will also discuss recent enhancements related to forbearance modeling. Full details and registration are available here.
Please join us on Thursday, May 14th for an introduction to our single bond, pre-trade analysis tool, PolyCMO. Full details and registration are available here.
Does your firm have its own views on the impact of COVID-19 on fixed-income markets? As a key part of our architecture, we support several powerful APIs which allow users to seamlessly incorporate custom prepayment, default, delinquency, scenario, current coupon, cash flow, and deposit decay models (among others) natively into PolyPaths calculations. These custom models may be enabled alongside others, offering an alternative benchmark and the ability to see results side-by-side across models. Clients can watch our webinar here to learn more.