Calculations

CDR Calculation
Conditional default rate (CDR) is calculated using monthly data. For a given month, the annualized CDR is defined as: where the liquidation rate is the s...
Mon, 25 Mar, 2019 at 4:54 PM
CPR Calculation
Conditional prepayment rate (CPR) is calculated using monthly data. For a given month, the single monthly mortality rate (SMM) is first calculated: where...
Mon, 25 Mar, 2019 at 4:54 PM
Cashflows Calculations & FAQ
The dv01 cashflow engine projects future cashflows by simulating the performance of loans and waterfall structures based on user-specified assumptions. ...
Wed, 16 Jun, 2021 at 4:03 PM
Cumulative Loss Calculation
Cumulative loss metric is calculated by taking the amount charged off less the net recovery over the original loan balance.
Fri, 6 Nov, 2020 at 1:30 PM
How dv01 Calculates Yield
The yield dv01 generates when pricing cash flows is bond equivalent yield (BEY). BEY is the industry standard for quoting bond yields. You can recreate the ...
Mon, 25 Mar, 2019 at 4:54 PM
Recovery Rate and Loss Severity Calculations
Recovery Rate is calculated using monthly day, representing the percentage of balance that has been recovered on charged-off loans as of the corresponding d...
Tue, 8 Jun, 2021 at 3:35 PM
NAR Calculation
Net Annualized Return (NAR) is calculated by annualizing the cumulative sum of monthly proceeds over the cumulative sum of start of month balances: wh...
Wed, 18 Nov, 2020 at 10:33 AM
ROI Calculation
Return on Investment (ROI) is calculated by dividing the cumulative proceeds over the original balance: where proceeds is:
Tue, 17 Nov, 2020 at 5:39 PM
Payment Impairment Calculation
Payment Impairment refers to any loan that is delinquent or has an active modification status.  This category is a combination of delinquencies and modifica...
Wed, 29 Jul, 2020 at 3:50 PM