Analytic support has been added for Equity Options, Bloomberg Barclays Bond Indices, and SOFR-linked instruments. A Generalized Current Coupon Model has been implemented which provides the option to specify a time-varying secondary spread as well as a P-S spread calculation via text file. Along these lines, GNMA CC rates and spreads are retrieved and accessible for current coupon modeling. To help meet regulatory needs, multi-horizon volatility shock capability has been added to our stress testing framework. Lastly, deeper analysis of PolyPaths’ interest rate simulation for path dependent securities is now offered.

For more information regarding version 7.09, please reach out to us at support@polypaths.com or 212-332-6288.

Broaden Instrument and Market Coverage:

• SOFR Futures, Floaters, and Swaps including SOFR Index and Discount Curve for cash flows
• Equity Options
• Canadian RMBS
• Index (e.g. Barclays US MBS Index)
  • Retrieve risk and return data from BB via index ticker
  • Allows users to benchmark portfolio vs. index
• Auction Rate Floating Securities
• Eris Swap Future conventions updated to reflect transition to CME
• Cancelable swaps may now be added via Mnemonic

Secured Overnight Financing Rate / LIBOR Replacement Preparation:

• Introduced a SOFR Curve tab to Market Rates which contains the following:
  • SOFR Cash Rate
  • SOFR Futures Prices with optional convexity adjustment
  • Coupons for fixed legs of SOFR swaps (via BB or user-provided)
  • Usage toggles which allow the user to control which instruments to use for bootstrapping (analogous to our current Libor Curve tab)
• Updated SOFR curve bootstrapping algorithm to incorporate the above flexibility
• Decomposed SOFR curve into two curves:
  • one for SOFR floating rate resets and SOFR discounting, and
  • one for pricing SOFR Futures (analogous to existing Swap and ED Future Curves)
• The Sprd/SOFR field may be used to view implied spread to SOFR in addition to LIBOR and UST and also may be used as a scenario pricing anchor
• Scenario SOFR forecasts may now be viewed via AppPort’s Show Horizon Path and ALM’s Market Rates Report

Reporting Enhancements:

• Tax-Equivalent Measures for Municipal Bonds including TEFA, TEY, and TES
• Index Model Called and Discount Curve Called sanity check fields for model validation
• Additional Prepay Lockout, Prepay Penalty, and Yield Maintenance Features for Multi-Family Pools including BB data retrieval and monthly vectors combining lockout and penalty
• Next Reset unified across floating-rate instruments to assess upcoming coupon impacts
• Next Fixing Date and Last Fixing Date for SN/Swap may be used to gauge reset risk
• AL to Redemption is now reported for cancelable swaps
• Over 20 additional loan-level and summary reporting fields for Moody’s deals/pools
• Minimum Rating is now populated for Bonds and SN

  Expanded Prepayment and Tuning:

• Revamped PolyPaths PPM with optional 2-stage adjustment for characteristics like LTV, Avg Loan Size, and FICO, with ability to solve for the adjustments using the prepay tuning solver
• Enhanced tuning solver allows users to target monthly historical vs. actual speed ratios
• Introduced a new Generalized Current Coupon Model which allows clients to specify a time-varying secondary spread as well as an optional primary-secondary spread calculation without the need for customized development work at the client site
  
• We now retrieve Current LTV Projections from ADCO LDM and make these available as part of cash flow reports and model tracing
• Ability to plug-in client’s Deposit Decay model via API
• Output transition matrix for Espiel/ADCo prepayment and credit models
• Users may now retrieve spot GNMA Current Coupon Rates and Mtge Rate Spreads as part of market rates, and these rates are available within the Current Coupon API

Stress Testing Enhancements:

• Time-varying (Multi-Horizon) volatility shocks may now be specified within a scenario
• Ability to impose price caps and floors (e.g. floor a pool’s price based on price of a TBA)
• Option to Fix CTD across shocks for Treasury Futures/Options
• Configurable Terms for Basis Swap Shocks
• New write-up created to consolidate CCAR features into Stress Testing Overview

MSR:

• Users may now view/export escrow and advance balances
• % MSR Num Loans and % Holding fields to expose MSR portfolio concentration across groups such as state, agency, coupon range, etc.
• Working Capital has been added as an optional cash flow component based on specified bps of set aside UPB
• Vector syntax is now supported for MSR Corp Cost Const and MSR T&I Const
• MSR Corp Cost Unit and MSR T&I Cost Unit fields introduced as instrument-level override fields
• Settlement Factor is now reported for MSRs based on forecasted UPB

Risk Modeling:

• Analytics improvements to at-the-strike Calibration and dynamic mean reversion for callable bonds and swaps
• Path Analysis
  • Graph projected paths to see distributions of LIB1M, LIb3M, etc.
  • Expanded set of pathwise outputs allow users to view distribution of defaults and losses and sort paths by level of forecasted losses
• Performance Attribution
  • Partial Vega enhancements to both full valuation and parametric components
  • Total parametric residual allows users to easily quantify how much MV change was captured by a portfolio’s risk measures
    
• Value at Risk
  • Leverage historical CDS market data as well as cap volatilities
  • Include custom user durations in sensitivity-based VaR

Cash Flow Enhancements:

• Rates including LIBOR, CMS, CMT, and (for ADCO LDM) Current Coupon and Mortgage Rates may now be included as part of cash flow reports
• OAS Cash flow reports may also now include custom prepay model fields such as HPI or projected LTV
• Average losses per year may now be computed through the CF Components field using a new DLRPERYR unit.

Trading:

• Legal Entity and Prime Broker added to Buy/Sell tickets
• More Flexible Trade Entry and Trade Blotter (Desktop & Enterprise)
• Repo Reporting Enhancements
  
• P&L calculation may now include coupon income

Ease of Use:

• Expanded number of quick-access customizable Preset Views within AppPort toolbar
• Multi-sheet grouping is now supported in BatchCal
• Users may now browse to log output file location within File->Logging
• Added drag and drop support for .scn files within the Cash Flow Analysis Scenarios tab
• Ability to compare portfolio header information via BatchCal diff, including any differences in the command used, PPConfig settings in place, and Model DLLs enabled
• View in Excel reporting option added within Partial Duration Analysis