Payment Impairment refers to any loan that is delinquent or has an active modification status. This category is a combination of delinquencies and modifications, and allows users to leverage one of the driving metrics that has been a focus of dv01’s COVID-19 Performance Reports.
The Payment Impairment rate is calculated by taking the outstanding balance of loans that are either:
Currently delinquent, as defined by having a DPD value that is greater than zero, or;
Actively modified, referencing either a value of “Modified” (Marketplace Lending) or “Yes” (Mortgages) in the Modification Indicator field
This numerator is then divided by the outstanding balance of all active loans. Please note, loans that have been paid in full, charged off, or otherwise removed from the pool, are not included in this calculation, as their balances are inherently zero.
We also offer an alternative impairment metric where we filter out loans to remove loans that are less than 30 days past due. The full calculation includes:
Currently delinquent loans that are 30 days past due or greater, or;
Actively modified, referencing either a value of “Modified” (Marketplace Lending) or “Yes” (Mortgages) in the Modification Indicator field
Navigating
Payment Impairment is highlighted in a few places across dv01 for users to easily leverage.
On the Strat page, the Payment Impairment rate is available by default as a table header:
Payment Impairment is also available on the Historical, Loan Age, and Deal Age Performance pages to view how the metric changes over time:
Finally, the metric is available in tabular form on the Historical Performance page:
