Analysis Stage

PolyPaths offers financial professionals a wide variety of functionalities in Pre-Trade, Trade and Post-Trade analysis.

PRE-TRADE

Complete Risk/Return profiles on a single security or a group of securities and derivatives:

  • Price/Yield Table: Yield, spreads (I-J-N-E-Z), average life, cap/swap value, PAC-bands under varying price and prepayment assumptions.
  • OAS Analysis: Price/OAS table, duration, convexity, prepayment duration, current coupon duration, volatility duration.
  • Speed Table: Historical speeds, back-tested model speeds, speed projections under varying interest rate scenarios.
  • Default/Loss/Speed Matrix: Calculate yield, average life, spreads under varying default/loss and prepayment scenarios. Specify default rate, loss severity, recovery lag, P&I advances.
  • Synthetic Trade Analysis: Create synthetic bonds. Run stripping/recombination analysis.
  • Bond Details: Prepayment, Default, Delinquency History, Delinquency Trigger rules.
  • Total Rate of Return: Calculate ROR, ROA, ROE, P&L for user-specified horizon term. Break down sources of return into: mark-to-market gain, gain/loss from principal return, interest income, reinvestment income, financing cost and applicable risk measures.
  • Partial Duration: Calculate the impact of changing any variable while holding all others constant; e.g., the yield for a specific maturity point on the yield curve or the OAS.

TRADE

Pricing

  • Spread-Based: Yield spreads, cash flow spread, price spread, OAS.
  • Hedge Ratio, Reference Bond: Mark positions based on movements of benchmark rates, TBAs, or any other reference position.
  • Breakeven Prepay-Shift
  • Offering Calculations: Calculate “offering” price, OAS, yield, spreads off position valuation.

Transactions

  • Trade Entry, Trade Blotter: Track transaction history of a portfolio.
  • Trade Tracker: Save trades for future querying to database with pricing, valuation, and counterparty information.

Hedge Analysis

  • Hedge Equivalents: Static, OAS, or user-defined Treasury, Swap Equivalents.
  • Rebalancing: Quickly rebalance hedge positions to offset parallel and partial shifts in the yield curve by associating hedges with each position.

POST TRADE

Portfolio Setup

  • Security Import: Load securities from spreadsheet file or database.
  • Portfolio Views: Toggle between detail and summary views of portfolios.

Portfolio Valuation

  • OAS Valuation: Consistent valuation of all securities through Monte-Carlo framework.
  • Scenario Analysis: Create complex scenarios to stress-test entire portfolio.
  • Partial Duration Analysis: User-specified buckets. Shock to spot or forward curve.

Cash Flow Analysis

  • Cash Flows: Security/portfolio level cash flows: balance, principal (scheduled, unscheduled), accrued interest, defaults.
  • Scenario Cash Flows: Security/portfolio level cash flows under varying interest rate and prepayment scenarios.
  • Cash Flow Output File: Output base case and scenario cash flows to text file at the security and portfolio level.

Price Attribution

  • Price Change: between two market rate dates to changes in such characteristics as yield curves, current coupon and volatility.

Overnight Risk Calculations

  • Batch Processing: Generate risk reports via batch processing. Distributed processing may also be utilized to ensure timely completion of analysis.