Performance Analytics
Definition
Taux de remboursement (Payment Rate)
Encaissements reçus ÷ solde initial. Mesure la santé des portefeuilles renouvelables pour les cartes de crédit et les structures ABCP. Si le taux de remboursement passe en dessous du seuil minimum, les déclencheurs d'amortissement anticipé s'activent.
Deep Dives
Related Terms
CPR (Constant Prepayment Rate)
Annualised measure of the percentage of outstanding principal prepaid in excess of scheduled amortisation. Monthly equivalent: SMM = 1 − (1 − CPR)^(1/12). High CPR shortens pool life and compresses investor yield.
Vintage Analysis
Performance tracking of loans originated in the same calendar period (month, quarter, year), allowing like-for-like comparison across cohorts. The primary tool for identifying underwriting deterioration.
DPD (Days Past Due)
The number of calendar days since a scheduled payment was due but not received. 30–59 DPD: early delinquency; 60–89 DPD: serious delinquency; 90+ DPD: default in most consumer pools.