Structured products | Grant Thornton

Diligent. Timely. Results-driven.

Structured products and securitizations are important sources of funding for many companies and an integral part of the investment strategy for institutional investors. The review and modeling of these securities requires detailed asset-specific expertise and process-specific knowledge. Grant Thornton's Structured Products group works with issuers, banks, and portfolio managers to help them consider all factors related to agreed-upon procedures (AUP).

Circular graphic showing structured products processes for buyside and sellside applications, starting with readiness and continuing with engagement, execution, timelines and ultimately delivery.

How can we help you?

Our advisory teams tackle challenges alongside you, designing fresh solutions with a balance of scale, skill and service you’ll only find here.

Tape to file

We review the data tape and compare/recalculate and agree the selected characteristics of the pool assets against legal agreements, appraisals, closing... Show more disclosures, settlement statements, and other electronically available supporting documentation. Our procedures and resulting reports help clients prepare to issue SEC form ABS-15G.

Circle ups and stratification tables

We perform comparison procedures on offering documentation (preliminary and final offering memos, investor presentations and SEC filings)... Show more, which can include recalculating or comparing the presented data to underlying source documents. Our circle up procedure methodology adapts to the fast-paced complexities faced by the deal team in preparation for an offering. We recalculate and agree financial model outputs and stratification tables, identifying anomalies or inconsistencies based on relevant underlying support.

Cash flow modeling and tie-outs

We recreate custom tailored models for collateralized loan obligation (CLO) and asset-backed security (ABS) transactions from underlying source... Show more documentation and given assumptions. Items often recalculated include entire cash flow and waterfall projections, weighted average life to both call and maturity, principal balance at maturity, decrement tables and customized industry-relevant outputs (loan-to-value ratios, utilizations, etc.).

CLO effective and payment dates

We routinely conduct a variety of tests and measures including waterfall recalculations, overcollateralization ratios and interest coverage ratios, collateral... Show more quality tests, and concentration limitations helping to confirm trustee payment date reports.

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Connect with our Advisory leaders

Elie Doft

Managing Director, Head of Structured Products
Grant Thornton Advisors LLC

Elie is a Managing Director who leads our Structured Products practice with more than 20 years of experience in credit including 12 years as a credit analyst for a CLO Asset Manager.

Hartford, Connecticut

+1 212 542 9633

Industries

Asset management
Banking
Energy
Hospitality & Restaurants
Insurance
Media & entertainment
Private equity
Construction & real estate
Retail & consumer brands

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Structured product solutions

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Diligent. Timely. Results-driven.