📊 CLO Cashflow Modeling Engine

A Python-based cashflow modeling engine for Collateralized Loan Obligations (CLOs). The engine is designed to simulate tranche-level cashflows, evaluate coverage tests, and analyze the impact of defaults and prepayments based on deal-level inputs.

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🚀 Overview

This project implements a CLO cashflow engine that:

• Reads deal inputs from a structured Excel file
• Runs period-by-period cashflow waterfalls
• Tracks interest payments, principal distributions, and coverage test performance
• Allows scenario analysis by modifying default rates and prepayment rates
• Produces outputs in both JSON and Excel formats

The engine is currently based on a sample presale report, making it suitable for understanding and analyzing standard CLO structures.

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📥 Input Requirements

To run the cashflow engine, you must provide an Excel file containing the following sheets:

1. Tranche Information

   • Tranche name
   • Initial balance
   • Coupon / spread
   • Tranche type
   • Seniority / rank

2. Interest Waterfall

   • Priority of interest payments across tranches and fees

3. Principal Waterfall

   • Priority of principal distributions

4. Coverage Tests

   • OC / IC test definitions
   • Trigger thresholds
   • Tranches affected by test failures

The engine reads these sheets, validates the structure, and uses them to construct the deal cashflow logic.

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⚙️ Model Features

• Adjustable default rate and prepayment rate for scenario analysis

• Dynamic tracking of:

  • Coverage test breaches
  • Interest deferrals
  • Principal redirection during test failures

• Clear distinction between rated tranches and subordinate tranches

• Period-by-period cashflow simulation

You can easily observe:

• When coverage tests start failing
• Which tranches stop receiving interest or principal
• Whether all rated and subordinated classes are fully paid down

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🧱 Supported Tranche Types (Current)

Based on the presale structure, the engine currently supports:

• Current Pay Tranches
• Deferred Interest Tranches
• Accrued Interest Tranches
• Fee Tranches (e.g., senior management fees)

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📤 Outputs

The engine generates:

1. JSON Output

   • Complete cashflow history
   • Tranche-level interest and principal payments
   • Deferred and accrued interest tracking
   • Coverage test results by period

2. Excel Output

   • Tabular representation of the same outputs for easier analysis
   • Useful for validation, reporting, and sensitivity analysis

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🔧 Extensibility

While the current implementation is tailored to a specific presale-style CLO, the engine is designed to be extensible. Additional tranche types and structural features can be incorporated, such as:

• PIK interest tranches
• Equity tranches with excess spread logic
• Multiple reinvestment and replenishment periods
• Deal-specific waterfalls and triggers

This makes the framework a strong foundation for building a more generalized CLO cashflow engine capable of handling a wide range of deal structures.

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🧪 Use Cases

• CLO cashflow analysis
• Coverage test stress testing
• Default and prepayment sensitivity analysis
• Structured credit research and learning

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📌 Disclaimer

This project is for educational and analytical purposes only and is based on sample presale assumptions. It should not be used for investment decisions.

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🤝 Contributions

Contributions, suggestions, and extensions are welcome. Feel free to open an issue or submit a pull request.