Running Inflation-Linked Instruments in PolyPaths

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.

Multiple-Entity Consolidation using PolyPaths ALM

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 Product Overview Recording Now Available

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.

Pathways Issue No. 10

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.

Ever wonder how to reduce the cost of funds needed to hedge your portfolio?

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.

PolyPaths Product Overview Webinar Now Open for Registration

Please join us Thursday, July 16th for an overview of the PolyPaths product suite. In this webinar we will provide a brief but comprehensive overview of all our products and how they work together. We will discuss the underlying calculation engine that underpins all of our products, and which thus provides consistency in how fixed income valuations are determined. We will also cover how the products can scale for your organization, from individual traders through teams of users that are processing thousands of different scenarios. Full details and registration are available here.

Consolidate Your Risk using Scenario Sets

Introduced as part of Enterprise version 7.10, Scenario Sets allow users to associate individual scenarios with one or more named sets (e.g. CCAR, BaU, VaR). These sets can then be referenced in Enterprise jobs and also are available through AppPort’s Open from Database functionality. Clients can watch our webinar here to learn more.

Customize your Premium / Discount Amortization Method using PolyPaths

Did you know PolyPaths supports over eight different premium / discount amortization methodologies? From FAS91 implementation to specialty methods for callable instruments, we have worked with our clients over the years to develop a wide array of flexible methods to meet their accounting needs. Users can even disable amortization for full mark-to-market accounting. Clients can read about our different methods and the nuances associated with each in our ALM WebHelp here. Currently we are working on implementing a retrospective amortization method for our next ALM v7.11 release. Contact us at support@polypaths.com to let us know how we can help meet your accounting needs.

Running PolyPaths on the Cloud

Did you know PolyPaths can be run on the Cloud? With a need to run various scenarios in these unprecedented times, we have seen interest in scaling computational power without having to procure the corresponding physical hardware. Our Cloud tools are robust and production-tested across a diverse array of environments. Interested clients are encouraged to watch our webinar here to learn more about Cloud best practices via a case study using Amazon Web Services. For users using AWS, we have also recently developed a cloud console web tool, PolyPaths Cloud Console (PCC), to help manage migration and administration of cloud installs for either Distributed Processing or Enterprise environments. Contact us at support@polypaths.com to learn more.