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:
- Identifying the existing process and building the process manual.
- Reporting the formula errors and conceptual errors in the model.
- Identifying the list of possible enhancement which could be automated with minimal man efforts and resulted huge saving in the man hours.
- Cleaned the data and some tables which were not in use but somehow unnecessary linked to the reporting’s.
- Some thoughts to make the model user friendly and to make it simpler.
- Validated the calculations for various servicing fees which played an important part in the revenue calculation as well.