dv01's Cashflow engine offers various syntax styles to model cashflows of securitizations, whole loan portfolios, platform/benchmark data-sets, as well as pools in Tape Cracker. Market Surveillance is incredibly helpful for users to analyze performance of collateral to easily create insightful future assumptions, even performance curves normalized by loan age.

Step 1 

Select a platform or benchmark data-set, navigate to Loan Age Compare (A), and apply any desired filters (B). Next, choose which performance metrics (C) and any attribute strat by (D) options:

Creating an analysis chart


Step 2

Export the data table to Excel using the download icon in the upper right of the settings card and choosing “Download Table as Excel File”:

Graphical user interface, chart

Description automatically generated 

Step 3

Open the downloaded file with Excel, and ensure it is editable. For entry into cashflows, the values need to be multiplied by 100 then concatenated into a single cell, such as:

Note the added “ao:” notation to anchor the curve at date of origination outlined here.

Step 4

Navigate to the Cashflows tab of the data-set you wish to apply the newly created curve assumptions. Copy and paste the values to the corresponding inputs, enter a name and save the scenario for future use (A. Additionally, the base case can be copied (B) and scaled up/down prepay and loss curves can quickly be created (C):