The December 2023 issue of Pathways is now available! For this month’s case study, David Oh, walk throughs PolyPaths roll rate matrix functionaliy to assist forecasting prepays, defaults, and losss over a horizon using conditional transition probabilities. He walks through this framework using a published monthly transition table compiled using 120 million mortgage loan records. To access the newsletter please click here.

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Please join us on Tuesday, December 12th, in collaboration with Risk.net, to explore the intricate world of structured credit markets in 2024. The webinar discussion will review key market dynamics in 2023, looking ahead to 2024 to see how practitioners are handling challenges posed by high interest rates, persistent inflation and the ongoing implications of the Libor transition. Full details and registration are available here.

The November 2023 issue of Pathways is now available! For this month’s case study, Parmeet Singh, takes a closer look at MSR analysis in the context of the current high-rate, high-home-equity environment. He explores several built-in tools that allow MSR investors to better understand the interrelated cash flow dynamics of the service fee, revenue from carry on principal and interest payments, and various costs to service the loan. To access the newsletter please click here.

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Market rates lay at the core of all analysis and valuations within PolyPaths. They are used for calibrating our embedded options models, forecasting discount rates and floating interest, and feeding key inputs to behavioral models. PolyPaths offers many different solutions for generating or updating the market rates file, such as a direct, seamless integration with Bloomberg to source and construct a market rates snapshot. Clients can now watch the recording of this webinar here, where we provide guidance on how clients can seamlessly construct from scratch or update an existing market rates file from a CSV file specification. The slide deck, which contains a more comprehensive appendix featuring the structure for each supported section is available upon request by e-mailing us at support@polypaths.com.

Registration for NEXT 2023 is now available. NEXT is our parent company’s (Numerix) annual user conference for sharing information, collaborating, and networking with our clients, partners and prospects. This year’s event will be a high-level look into the company’s growth and product strategy. Full details and registration are available here.

The October 2023 issue of Pathways is now available! For this month’s case study, Kedron Wolcott, walks through an example of High-Performance Scenario Calculations (HPSC) on a book of TBAs. His analysis utilizes our stochastic scenario generator in conjunction with PolyPaths’ Enterprise solution to arrive at a table of P&L values spread across interest rate scenarios derived from PolyPaths’ industry-leading LIBOR / SOFR Market Model, with deep dive analysis available for any path(s) of interest. To access the newsletter please click here.

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For clients who missed our webinar on reconciling other comprehensive income (OCI) within our ALM product, can now watch the webinar here. Other comprehensive income (OCI) is one of the most complex aspects of managing a balance sheet. After recent client queries, this webinar explores how to reconcile OCI through an understanding of its components and how to use View Calculations to validate instrument-level fields. The webinar also provides a summary and trending developments in ALM’s implementation of ASC815 hedging.

The September 2023 issue of Pathways is now available! For this month’s case study, Aaron Leclair provides a detailed reference guide for developers who want to plug custom models into PolyPaths. In addition to our core analytics, clients can seamlessly overlay their own models into the system through a set of available APIs that include prepayment, delinquency, and loss models; deposit decay and coupon rate functions; custom cash flow waterfall engines; and programmatic override of PolyPaths fields either prior to or after calculations are run. To access the newsletter please click here.

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Please join us on Thursday, September 14th for an in-depth overview of how to reconcile other comprehensive income (OCI) in PolyPaths ALM. Full details and registration information is available here.

The August 2023 issue of Pathways is now available! This month’s case study rises to the challenge of attributing period-over-period change in risk and return metrics to applicable market factors and their levels. In this month’s case study, Parmeet Singh extends this attribution exercise to PolyPaths’ income simulation tool, leveraging its rich reporting framework to gain a better understanding of the drivers of portfolio performance. To access the newsletter please click here.

If you would like to be added to the distribution list, please email pathways@polypaths.com.