Valuation & Model Review
Independent valuation of structured credit instruments and lending portfolios — for AIF LP reporting, bank and NBFC financial statements, audit support, and investor-side due diligence.
What this service provides.
Most valuation disputes in Indian structured credit trace to two causes: weak instrument-level cashflow modelling and inconsistent discount-rate construction across comparable instruments. The practice is built to resolve both.
We work instrument-by-instrument — bottom-up cashflow models, explicit assumptions, and valuation memoranda that survive auditor review, LP scrutiny, and regulatory inspection.
Assignments span portfolio-level work (AIF NAV, bank investment book) and single-asset work (stressed NCDs, illiquid mezzanine, bespoke structured notes). Reporting aligns to SEBI’s AIF valuation framework, IFRS 9 / Ind AS 109, and IVS.
Built for institutional practitioners.
- Category II AIF fund managers requiring independent valuation for quarterly NAV and LP reporting
- Category III AIF and PMS managers holding structured debt positions
- NBFCs and banks needing third-party valuation of investment-book securitisation exposures
- Insurance companies and mutual funds requiring independent pricing on illiquid private debt
- Auditors requiring specialist support for complex credit instrument testing
- Foreign investors requiring local valuation sign-off on India exposure
How we approach the work.
Bottom-up cashflow construction
Every instrument modelled from contractual terms — coupon, amortisation, prepayment, call features, covenants. Pool-backed instruments at loan-level where data permits.
Discount rate framework
Rates built from observable reference curves (G-Sec, AAA corporate, sector spreads), layered with credit, liquidity, and structural adjustments — each documented explicitly, not hidden in a single number.
Stress and scenario testing
Sensitivity across prepayment, default, severity, recovery lag, and discount rate — so each assumption's value impact is visible independently.
Benchmarking
Where comparable instruments exist, bottom-up output is sanity-checked against observable trade levels, rating agency pricing, and recent primary issuance spreads.
IFRS 9 / Ind AS 109
For lending portfolios and held-to-collect positions, ECL modelling, staging, and probability-weighted scenarios consistent with the standard.
Documentation
A signed valuation memorandum, supporting models, and an audit file with source data, assumptions, and methodology — reviewer-ready, not polish-ready.
What you receive.
- Valuation memorandum with instrument-level detail, methodology, and sign-off
- Supporting cashflow and valuation models (Excel; Python delivered on request)
- Sensitivity tables across prepayment, default, severity, and discount-rate assumptions
- Benchmarking note comparing computed values against observable market data
- Board- or LP-ready summary presentation
- Audit response file with assumption sourcing and methodology documentation
Why Arrowbanc for this work.
Independence
We do not rate, distribute, or underwrite the instruments we value. No conflict, no pressure, no distortion of output.
Instrument-level depth
Portfolio valuation built bottom-up, not top-down by mark-to-model shortcuts. Every line survives scrutiny.
Cross-framework fluency
We work across Ind AS 109, IFRS 9, SEBI’s AIF valuation guidelines, and the International Valuation Standards — critical for cross-border portfolios.
Speed without compromise
Small senior team, no pyramid delivery model, no outsourced work. Typical quarterly valuation turnaround is two to three weeks from data receipt to signed memorandum.
Quarterly NAV for a Category II private credit AIF
A 40-instrument portfolio spanning listed and unlisted NCDs, mezzanine notes, and securitisation exposures. We delivered instrument-level memoranda, portfolio sensitivity, LP exhibits, and a full audit response pack supporting the statutory auditor’s review.
Example for illustration. Identifying details have been generalized or omitted.
Discuss a valuation engagement.
Share the context of your mandate — we’ll respond within two business days.