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The dv01 curve notations apply to Prepay & Default assumptions, DQ Lag, and Severity inputs can be static values.  

 

Define a Single Curve Value for the Duration of the Scenario  

To define a single Prepay, DQ or Default curve value for the entire duration of the scenario, type in a single decimal value (the % is optional).


Change Curve Types

Change curve types by selecting the desired method via the drop-down menu.

  • Prepay curves default to CPR but can be changed to SMM or ABS.
  • Default curves default to CDR but can be changed to MDR, ABS, or CNL.
  • Monthly DQ and Severity cannot be changed from a percentage of outstanding balance.
  • Lag is limited to a static number of months.

 

Defining Values for a Series of Successive Time Periods

To define a value for a series of successive time periods, enter a series of decimal values separated by ";". The last value typed will be automatically applied to succeeding time periods.
 

Specify a Value to Apply to Multiple Consecutive Periods

To specify a value that should be applied for multiple consecutive periods, enter the value followed by "x" and the number of periods (months). 


Enter Rising or Falling Values

We have two mechanisms for entering rising or falling values. Both positive and negative ramps work equally well and all of these mechanisms can be combined. Note that when a ramp expression follows another vector component, the starting value is optional.    

Option A: Ramp 

To ramp a Prepay, DQ, or Default value from a starting value to an ending value over a specific number of periods, enter the starting value, the keyword "to" followed by the ending value, and the keyword "in" followed by the number of periods. The system will compute and apply an even step size. 

Option B: Step 

To reach the ending value by way of a specific step size, replace the "in <#periods>" with the keyword "by" and the step size. 

 Options A + B: 

Combine all of the above techniques by separating individual curve components with a ";". 

 

Anchor a Curve at the Date of Origination

To anchor a curve at date of origination type "ao:" followed by the curve. 



Curve Creator

Rather than conjuring performance assumptions yourself, you can also leverage dv01 Market Surveillance datasets and Curve Creator to effortlessly curate cashflow assumptions from previous performance history. Click here for a step by step guide on how to use Curve Creator,