Note: As of July 2019, Seasoning Analysis is now known as Loan Age Analysis.
dv01's Cashflows engine offers robust support for standard “roll rate” CPR/CDR analysis, with the flexibility to apply your own assumption vectors. This tutorial demonstrates one approach to generating those vectors from historic data utilizing our Seasoning Analysis tool, which is used to analyze vintage-oriented performance metrics (we will be focusing on CPR in this example).
For an alternate approach that will greatly simplify and streamline your analysis workflow when using our cashflow engine, please see our Curve Creator HowTo.
Start by selecting a platform pool, then apply any desired filters.
On the Settings card, ensure that you are analyzing by CPR; this will display the historic CPR plot for the platform and cohort that you selected.
To export the numeric CPR data from the table at the bottom of the page, click the 'All Excel' icon in the Settings card.
Open the downloaded file with Excel, and ensure it is editable. Then choose any empty cell and enter the appropriate TEXTJOIN() formula expression.
Note that this formula creates a dv01 vector for the entire historic CPR curve, which is appropriate for applying to a newly originated pool with no seasoning. If you are analyzing a pool with seasoned loans, be sure to edit the last argument in the TEXTJOIN formula—the range of CPR values—with the column appropriate to the seasoning of the pool: the first month is in column C, while month 12 is in column N, etc. For example, if you are analyzing a pool of loans with 12 months of seasoning, the appropriate formula would be =TEXTJOIN(";" , TRUE , N2:AK2)
With the correct formula, you will see the dv01 vector expression appear automatically. If you select the cell, you will select the entire vector (note that the whole vector is selected, even if it doesn't look that way). Copy the formula, as shown below.
Finally, select the Cashflows tab, enter 'CPR' in the Prepay field, and paste the dv01 CPR vector data into the Prepay field.
Generating a CDR Curve
You can use the same process to generate a CDR curve. In step 1, choose "Analyze by CDR" in the Settings card, then follow steps 2-4. When you get to step 5, enter 'CDR' in the Default field, and paste the relevant values.
Alternate Approach: Use dv01's Curve Creator
For an alternate approach that will greatly simplify and streamline your analysis workflow when using our cashflow engine, check out our Curve Creator HowTo.