Sentry Waterfall Engine™

At ClearStructure, we’ve been building waterfall/liability structures for over ten years. Our software models feature full-projections of cash flows, which feed seamlessly into the deal structure from the portfolio management system. Additionally, each model is built dynamically to handle movement of funds according to fund document specifications. Easy to access waterfall results are always available through Sentry for any period of the deal—past, present and future. This is why our system has been used to model and manage over 400 CLO structures of various types.

Features include:

  • Efficient management of various deal types including CLOs, CDOs, Total Return Swap Baskets,  and more.
  • Easy-to-read interfaces that make it possible to adjust models quickly without the need for programming expertise.
  • Ability to configure each payment period independently in order to cure tests, pay down liability notes, and handle the treatment of principal and interest cash.
  • Built in fees, tests, liability notes, performance hurdles, deferred payments and structure nuances.
  • Available scenario testing on models including:
    • Interest rate curve assumptions, allowing users to see how deals perform under rising and falling rate environments.
    • Rating upgrade/downgrades on single assets or by user-defined buckets.
    • Multiple reinvestment scenarios give the user full control of assumptions.
    • Default on single asset or user-defined buckets.
    • Prepayment assumptions by asset or groups.
  • Ability to model any non-structured funds and to track high-water marks, performance fees, liabilities, etc.
  • Drill-down access, which can display detailed information on all modeled calculations and underlying data for current and future periods.

Contact us today to learn more about our waterfall engine software and to see how we can provide greater insight into the performance of your deals.