MWSA News

Wall Street Analytics (WSA) has launched the first single portfolio management and analytical platform for structured finance professionals who fund their credit risk exposures through both cashflow and synthetic CDOs.

Until now market participants in both cashflow and synthetic CDOs have had to rely on multiple platforms. WSA’s new tool will enable clients to greatly increase efficiency by meeting their trading, pricing and risk management needs with one product whilst simultaneously reducing costs and vendor risk.

WSA’s new module incorporates the latest valuation models for bespoke CDOs in addition to the existing functionality to manage, reverse engineer, structure and monitor cashflow CDOs. The module uses the ‘semi-analytic technique’ for pricing synthetic CDO tranches, allowing users to value bespoke tranches using the market spreads and base correlation curves of the standard tranches of iTraxx and CDX. Additionally users can obtain ‘The Greeks’ performance statistics to optimise the composition of the basket of reference credits when structuring a transaction, and to evaluate collateral trades such as name substitutions due to a deterioration in the credit worthiness of a given set of reference assets.

HSH Nordbank is one of WSA’s first clients to use the new module: “WSA has provided the right solution for us.  They were open to customising their software to fit our needs when we only needed to analyse CLOs and have now improved CDOnet based on our input and their own research, delivering a tool that we use to monitor a portfolio that has grown in size to include a large number of synthetic CDOs backed by default swaps on loans and ABS” explained a Portfolio Manager of Structured Credit Investments at HSH Nordbank in New York.