dv01 integrated our loan level cashflow engine into Tape Cracker, enabling up to seven scenarios on tapes at once. Since dv01 is a platform built on a common infrastructure, scenarios can be saved and loaded throughout our product lines.
LoanID, Current Actual Balance, Original Term, Current Gross Rate, and Loan Age are requisite fields, they must be matched and not null in order to run cashflows. Hybrid ARMs require: Gross Margin and Index Type.
Additional optional fields for cashflows: Amortization Term, IO Original Term, Payment Frequency, Lookback Days, Initial Fixed Rate Period, Subsequent Rate Reset Months, Initial Rate Cap, Initial Rate Floor, Subsequent Rate Cap, Subsequent Rate Floor, Lifetime Maximum Rate, Lifetime Minimum Rate, Total Deferred Amount, Servicing Fee Rate, Next Due Date, and a Step Rate Schedule defined with fields: Step Rate 1, Step Date 1, Step Rate 2, Step Date 2, etc.
Build cohorts — By default, all loans in your tape will be in one group. You can create group the loans into cohorts based by selecting a field from the "Cohort By" dropdown menu:
- Determine assumptions — Forecast cashflows by specifying prepayment (CPR, SMM, ABS curve types), default (CDR, MDR, ABS, CNL curve types), delinquencies, recovery lag, and loss severity
Once assumptions are finalized, click Run Cashflows to produce results:
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