case study

Audit and Validation reporting of CLO Model

Understanding client’s existing model to audit and provide reporting for errors and enhancements.

  • Finding the Inconsistency in the collateral and bonds cash flows in the model which was being compared with third party cash flows.
  • Audit of application of the cash flows due to various default and prepayment, partial prepayment scenarios.
  • Auditing of priority of payments and providing our findings.
  • Finding of Miscalculation of various fees involved in the structuring and servicing process.
  • Another part of this project to identify the automation areas, providing thoughts to make it more flexible and efficient.
  • Also, the list of possible enhancement around the model was needed by the client.

We provided an audit report which addressed following items:

o Identifying the existing process and building the process manual.

o Reporting the formula errors and conceptual errors in the model.

o Identifying the list of possible enhancement which could be automated with minimal man efforts and resulted huge saving in the man hours.

o Cleaned the data and some tables which were not in use but somehow unnecessary linked to the reporting’s.

o Some thoughts to make the model user friendly and to make it simpler.

o Validated the calculations for various servicing fees which played an important part in the revenue calculation as well.

Hedge Fund – Published On October