case study

Loan Cash Flow and Price Model

Client was looking for a platform to calculate the loan cash flows, valuation and perform the precise pricing

  • Correct loan level and note level cash flows
  • Comfortable Loan pool analytics
  • Calculation and application of the cash flows due to various default and prepayment, partial prepayment scenarios.
  • Handling missing, or inconsistent data errors
  • Run the valuation and generate the precise pricing of the loan

Our Approach, Findings and Solutions

  • Verified the note level cash flow to make sure that it is correctly flowing to the loan level cash flow. Also, to ensure that defaults and prepayments are correctly applied to note level.
  • Various stratification reports were needed based on actual data coming from loan tape as well as on the scrubbed data to compare the differences.
  • Enhanced the model to provide customized stratification reporting based on user inputs
  • Enhanced the model to provide one pager/multi pager reporting at loan level and property level in the portfolio. This was done in the PPT form automatically by the system.
  • Produced error reports to the users for their corresponding corrective actions.
  • Handled missing and inconsistent data with most suitable assumptions
  • Ran the valuation and generate the precise pricing of the loan

Hedge Fund – Published On October