Whether actively trading or analyzing pre- or post-trade data, our systems will help boost performance and optimize results. PolyPaths' systems appeal to many types of financial institutions, including professionals in the following roles:

Click below to see a list of features for your needs:

Traders (Market Makers)

• Formula based pricing
• Quick pricing adjustment through benchmark securities
• Full risk reporting
• Line item hedge allocation
• Single view combining inventory and hedge positions
• Offering pricing and offering sheets
• Trade tracker to add market color
• OAS Analysis

Hedge Fund Managers

• Full risk reporting
• Associate financing information with each position and calculate leveraged return
• Easily create views that combine asset and hedge into strategy buckets
• Projected daily income including: interest income, financing cost, and mark to market gains
• Relative value analysis

Portfolio Managers (buy side)

• Set up customer and master accounts for efficient pricing and risk reporting
• What-if trade analysis, see how proposed trades change the risk/return profile
• Ability to set up model and index portfolios
• Quickly compare any two of the following portfolios: customer, customer plus proposed trades, model, index

Risk Managers

• Key rate duration
• Stress testing
• VaR
• Risk aggregation across all portfolios
• Easy export of risk measures to other systems

Research Analysts

• Total Return Analysis
• OAS analysis
• Historical analysis
• Bonds and portfolio comparison
• Full control over securities and modeling assumption

PolyPaths offers financial professionals a wide variety of functionalities in pre-trade, trading, and post-trade analysis.

Pre-Trade Analysis

PolyPaths Pre-Trade Analysis offers 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, vol 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.
• TROR: Calculate ROR, ROA, ROE, PNL 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.
• Partial Duration

Trading

Pricing:

• Spread-Based Pricing: Yield spreads, cash flow spread, price spread, OAS.
• Hedge Ratio, Reference Bond Pricing: Mark positions based on movements of benchmark rates, TBAs, or any other reference position.
• Breakeven Prepay-Shift Pricing
• 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 Analysis

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 cashflows to text file at the security and portfolio level.

Price Attribution

• Attribute 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.