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 additional cohorts based on field names.
- Determine assumptions — Forecast cashflows by specifying the rates of prepayment, default, delinquencies over a month, lag, severity, and forbearance recovery.
Once assumptions are finalized, run your cashflow scenarios across all your cohorts.