The lp_calc block provides functionality specific to the
CoreLogic Securities data set.
Calculations to be performed by the library are specified via the calcs
A very basic example:
<insert block="lp_calc" calcs="cpr"/>
Multiple calculations can be specified by placing valid values for calcs
in a comma-separated list, as follows:
<insert block="lp_calc" calcs="cpr,cdr"/>
Valid values for the calcs attribute
- A comma-separated list of the valid calculations for the lp_calc
implementation of the library.
Valid values are:
- Calculates the Conditional Prepayment Rate.
calculation also accepts the custom input: ncpr.
Inputs section for details on
- Calculates the Constant Default Rate.
The cdr calculation
also accept the custom input: ncdr.
See the Inputs section for details on ncdr.
- Calculates many important deal-level and pool-level metrics distributed over
time to provide a complete Surveillance Report.
The following list details some
of the data points returned by the surveillance
- Roll Rates
- Weighted Average Parameters (LTV, Current LTV, FICO, etc.)
- Applies the remaining balance at the time of liquidation.
Loans with Loss or
Loans with 9/F/R DQ final non-zero delinquency status are considered defaulted
loans by the calculation.
- Uses the Loss History Time Series in the CoreLogic data
set (pub.fin.lp[abs|mbs].loss) to attribute the loss/recovery at
the at the time the losses were realized.
- Calculates the ratio of the loss to the remaining balance.
- Calculates roll rates for the selected population over a period specified using
the nroll input.
When nroll is not provided
with a value, it defaults to 1.
- Calculates the number of months for a delinquent loan to cure.
- Combines reported servicer advances from the CoreLogic
Advance table with inferred advances, based on the difference
between balance and investor balance, when servicer advance information is not
Setting default logic override
<import path="pub.lib.ucl.beta_latest.lib_mbscalc_beta" library=""/>
<insert block="lp_calc" calcs="roll_rates" cusips="46630BAR7"
default_logic="if((loss_amt_sum<>0 | (has_loss='N' & ots_stat_sum='F' 'R')
& exception=6)=1; inv_bal_sum; 0)"