dv01's Curve Creator dramatically improves the ABS investment analysis workflow: by directly linking complete platform origination and performance data with our state-of-the-art cashflow engine, dv01 provides a single operational environment that supports all investment analysis activity, from platform due diligence through security performance simulation and valuation.

Fundamentally, the Curve Creator aggregates historical loan performance data into a set of assumption curves for the cashflow projection system, with loans grouped into cohorts based on user specified attributes. By default, we create cohorts by loan grade and original term, but you can select any number of available metrics or even eliminate all cohorting to treat all loans alike.

Curve Creator currently supports CPR/CDR methodology (generating fixed value CPR and CDR curves anchored at loan origination). Additional controls allow for specifying the mechanisms used for aggregating the loans into vintages, controlling the aggregation of vintage performance into summary assumption curves, and controlling the smoothing applied to the assumption curves. Unchecking a cohort in the legend will cause that cohort to be eliminated from the curve set.

Curve Creator is located under the Cashflows tab in Market Surveillance.

Use Pool Selector to select a platform pool on which to base your curves.

To use a curve set in cashflows, it must first be saved in Curve Creator.

On the cashflow side, saved curve sets can be accessed by clicking the 'Load Saved' button, which opens a modal window with a list of your saved curve sets. Selecting a curve set results in the scenario being populated with the cohorts that were created by the Curve Creator; note that the scenario Base Pool assumptions are not populated and will result in zero/zero performance for any loan that does not have a matching cohort assumption, unless changed. All cohort assumption curves from the curve set begin with 'ao:'; this indicates to the cashflow system that a curve is anchored at origination, and thus the cashflow system should 'index' into the curve with the loan's seasoning as of the first period of the simulation to determine the applicable performance projection assumptions.

Running the scenario applies the historic performance as specified by the curve set cohort-level assumptions, thus applying the Market Surveillance platform historic data to cashflow performance projection — all without using Excel!