SURVEILLANCE
Bond Payment Shadowing
Clayton’s knowledge of RMBS structures and years of experience in identifying remittance errors add value to our Bond Payment Shadowing (BPS) service.  Our analysts convert deal document language into expansive cash flow models, which are reconciled against trustee reports.

Cash Flow Reconciliation
Clayton’s cash flow models review the distribution of principal, interest and prepayment penalties remitted to the trust.  The models provide a review of fund allocations according to stipulations provided in deal documents and help to identify unallocated funds, systemic cash flow issues and one-off discrepancies.
  • Aggregate Cash Flows: Aggregation of principal and interest collected, expenses paid and prepayment penalties collected
  • Verification of Cash Flow Allocations: Recreate the cash flow waterfall as outlined in the deal documents to review allocation of principal and interest to the appropriate bond classes
Clayton’s BPS report provides uniform reporting on principal and interest distribution amounts, excess cash, aggregate cash flows, over collateralization accounts and trigger events.  Descriptions and Clayton’s actions regarding identified discrepancies are detailed in the comment sections of the report.

Cash Flow Reporting
Clayton’s cash flow models capture and/or calculate the fields needed to recreate the remittance statement.  Beyond our base report, Clayton can provide customized, performance-related analytics on credit support, excess interest, over collateralization, delinquency levels, trigger event margins, interest rate spreads and prepayment speeds.  Reports can be distributed on a monthly or quarterly basis depending on the client’s needs.

Deal Document Reviews
Clayton offers pre-close deal document reviews, which are performed in an attempt to reduce ambiguity in deal document interpretation.

Other BPS Features
  • Cash-in/cash-out verification
  •  Issue identification and resolution
  • OC target and balance calculations
  • Proper allocation of available funds
  • Trigger event calculations and analysis
  • Interest shortfall verifications
  • Derivative payment verifications
  • Expense rate verifications
  • Excess cash calculation and analysis
What This Means for Your Business
  • Identification and resolution of any issues or discrepancies that are affecting your bottom line
  • Increased transparency and security to investors