With the unemployment rate reaching historic highs, we have received inquiries on implementing scenarios that contain unemployment and HPI forecasts. For models that accept macroeconomic variables such as Unemployment and HPI, users can leverage our built-in fields to specify their own static or vector assumptions. Click here for more information.
Missed our Funds Transfer Pricing (FTP) webinar yesterday? The recording is now available in our recordings archive. In the webinar, we cover one- and two-instrument approaches to Funds Transfer Pricing across attribution and forecasting business cases. View the recording here.
PolyPaths will be presenting as part of Black Knight’s 2020 Virtual Information Exchange on Tuesday, April 28th at 2pm ET. The details for our joint session with BKFS are provided here.
The April 2020 issue of Pathways is now available! This month’s case study by Aaron Leclair explores different interest rate models and their ability to allow or constrain against negative rates. These concepts are explored using current market data for illustration. To access the newsletter please click here.
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Did you know you can visually check for spikes and outliers in volatilities using the Vol Graph tab of our Market Rates dialog? The graph can be generated across any unit and slice of the surface. Click here to see a snapshot of the ATM Lognormal Vol Surface on 01/31/2020 and 03/31/2020.
As an enhancement in our v7.10 release, we added a solver in our scripting tool, BatchCal, that allows users to populate a Sector (Custom) Vol surface using Implied Volatility from callable indications. View the recording on this functionality here.
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 firstname.lastname@example.org 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.