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Note: These instructions are specific to using the cashflow functionality within our app, but we are also able to provide direct access to the cashflow engine via an API. Please contact us for more information.  


Whole Loan Cashflow Setup  


The ability to run whole loan cashflows is a core component of the dv01 app and can be launched by clicking the "Cashflows" tab within Market Surveillance and Portfolio Surveillance. Securitization cashflows can be run in Securitizations.  



As with our securitization cashflow capability, the scenario setup screen lets you specify up to six scenarios. Each scenario allows you to specify Prepay, Default, and DQ/mo curves, as well as a Severity percentage and Lag. Note that the Prepay, Delinquency, and Default inputs accept curves specified in our Curve Notation for specifying time-varying values. You also have the option to name and save each scenario for later re-use.
 

Additionally, you can specify an alternate set of assumptions (Prepay, DQ/mo, Default, Severity, and Lag) for cohorts of loans, selected on the basis of the loans' current delinquency status. You can add as many cohorts of loans as you like (we recommend using the 'Tab' key to jump between input fields as you enter the required values). 


 

For whole loan pools, you can also define a P&I fee and change the UPB fee from the default 1%. 


 


Creating Cohorts


Detailed below are two methods by which you can create cohorts of loans. Additionally, you can cohort collateral and whole loan pools by any loan attribute; input different prepay, loss, and default curves; and specify a lag and severity level for each cohort. 


 

Method One: Auto-Cohorting  

You can use our Auto-Cohorting functionality to automatically generate cohorts based on one metric (e.g. FICO, DTI). Simply click on the "Cohort by" dropdown and select which metric you'd like to use. 


 

Once you select a metric, all loans will be cohorted into all applicable buckets and activated. You will be able to input assumptions for each active cohort (to deactivate a cohort, simply click the corresponding checkbox). If no inputs are defined for an active cohort, the loans in that cohort are run assuming a zero:zero scenario. If a cohort is "inactive" then all the loans that are contained in it are treated as if they were part of the base pool and cashflows are run using the curves input in the base scenario.  


 


Method Two: Custom Cohorting   

You can create a "custom cohort" using straightforward syntax and functions. Some tips on the syntax for these cohorts include but are not limited to:

1) Select an attribute by typing a bracket, which will display suggested attributes to choose from

2) To select multiple attributes within a cohort, use the && symbol

3) Use the function Between if you are looking to implement a range for an attribute (FICO, Term, Balance, etc.). These require parenthesis around the inputs

4) Any enum values need quotation marks around, while numbers do not need them

5) Percentages need to be in decimal format with a leading zero (e.g. 0.75 for 75%)

6) Additional formulas and logic can be seen in our Formula Guide


  

Hierarchically, custom cohorts come first. If a loan falls into the parameters defined by a custom cohort, then it cannot also be a part of a cohort that is lower down in the hierarchy. However, the base cohort, which remains fixed as the top row on the cashflow curve input table, is hierarchically at the bottom of all other rules and contains all loans that do not fit into any of the defined cohorts. Note that you can also copy the base scenario and scale curves. 


 


Cohort Summary Visualization


The scenario set-up contains a visualization that allows you to see the number of active cohorts. The Base Pool is always gray in color, and if no cohorts have been added, the whole bar remains gray. 
 


 

As cohorts are added and activated, they will be shown in order in the cohort summary bar. The size of each slice directly correlates to the size of C Bal for that cohort.  



Once your inputs are complete, click “Run Cashflow". 


 


Cashflow Results & Modifying Valuations 


The cashflow results are returned below the inputs section, complete with a paydown chart for every tranche and cumulative prepay and cumulative net loss curves. The paydown chart displays the historical values in the shaded area to the left of the white dotted line, which represents the current period and separates historical values from the un-shaded projected values on the right. 


 

As shown below, our cashflow engine provides instant recalculation of cashflow pricing right on the output screen; there is no need to re-run the simulation just to change the yield and spread assumptions. By default, the system computes valuation parameters corresponding to a price of 100 for the notes; you can enter an alternate value for any of the valuation fields (called the "dominant value" and shown in green text) and the other values will be automatically recalculated accordingly. 


To modify the cashflow assumptions and re-run the scenarios, scroll back up to the cashflow scenario set-up, make changes, and click "Run Cashflow" again.  


You can also download a comprehensive internal waterfall cashflow report to Excel by clicking the 'Download Detailed Cashflows' link in the Tranche & Collateral Cashflows card, shown below.