CDO Investor

Moody's Wall Street Analytics provides the following solutions for CDO investors;

 

CDOnet Investor A flexible software platform for performing cashflow analytics on a single deal or portfolio level which accesses MWSA's comprehensive global CDO Deal Library and  

 

CDOcalc - a web based investor tool accessing MWSA’s comprehensive CDO deal library and providing user-friendly analytics via the web.

 

CDO Enhanced Monitoring Service (EMS) - a concise, standardized view of over 1000 Moody's rated cashflow CDOs.

 

CDOnet Investor

 

CDOnet Investor links to MWSA’s comprehensive global CDO deal library. The library includes CLOs, ABS-CDOs, TRUPS, and other types of CDOs from around the globe. The deal waterfalls are carefully modeled and the deal data is comprehensive, searchable and regularly updated and maintained. Should an investor have a bespoke CDO or find that a deal is not yet in the library, the MWSA deal modeling team can model it on request.

 

CDOnet Investor runs comprehensive eligibility reports, performs cashflow analysis applying projected interest rate, prepayment and default scenarios, allows probabilistic Monte Carlo stress analysis, and enables users to review cross deal exposure, risk concentration and cashflow performance across a portfolio of CDOs.

 

 

Leading Cashflow Analytics

  • Default analysis
  • Monte Carlo scenarios
  • Interest-rate scenarios
  • Prepayment scenarios
  • Currency scenarios
  • Equity IRR
  • Current and historic Returns
  • First loss analysis
  • Break even analysis
  • Rating agency style testing/Estimated Ratings 
  • Multiple scenario analysis
  • Multiple deal analysis
  • Cross - deal analytics
  • NAV Reporting

Comprehensive Collateral Analytics

  • Cross-deal exposures
  • Full compliance testing
  • Customized reporting
  • Unfunded/funded revolvers
  • Access deal library to run comparables
  • Ability to view individual asset cashflows
  • Asset stratifications based on any field
  • Fully customizable collateral reinvestment and recovery rate assumptions

Data Vendor Links

CDOnet allows users with a Moody’s subscription to download Moody’s ratings and related data (e.g. Coupon, Maturity, Seniority, etc.) directly into their portfolio; it can also be linked to Markit Loan-X codes to access their daily pricing service for credit derivatives, cash securities and loans and to LPC’s LIN codes to access their daily global syndicated loan data.

API Interface & Macro Language

The macro language is a powerful tool for automating standard procedures in CDOnet. The macro feature gives clients the ability to create their own scripts to control and execute a multitude of functions.  This capability significantly decreases the time spent running routine or periodic tasks (including updates, analytics and reports).

 

 

 

CDOcalc

 

CDOcalc is a web based investor tool which accesses MWSA’s comprehensive CDO deal library and provides user friendly analytics via your web browser.

 

CDOcalc runs analytics at both the individual tranche level and at a portfolio level, allowing investors to compare past, current and future performance of their CDOs.

Analytics

  • Global default analysis
  • Issuer default analysis
  • First loss calculator
  • Yield solver
  • Asset rating default analysis
  • Industry category default analysis
  • Interest rate scenarios
  • Prepayment scenarios
  • Simple recovery rate assumptions
  • Price / Yield Analysis
  • Average Life

Reporting

  • Current and projected coverage test levels
  • Compliance reporting
  • Cashflows for collateral, hedges, and liabilities
  • Download current asset-level data
  • Save results from default runs for cashflow comparison
  • Export reports as PDF or Excel files

Portfolio Tracking

  • Set up custom portfolios by selecting tranches from different deals
  • Run aggregate portfolio cashflow analysis
  • View cross deal exposure reports based on issuer, rating, industry, etc.

www.CDOcalc.com

 

CDO Enhanced Monitoring Service (EMS)

 

EMS provides a concise, standardized view of over 1000 Moody’s rated cash flow CDOs using the highest quality data available.

 

In addition to detailed CDO collateral information investors will find portfolio risk analyses, market comparisons and default risk information based on the same information which Moody’s analysts use to rate and monitor transactions, with data and analytics from Moody’s proprietary databases.

 

  • Detailed collateral listing with market pricing, standard identifiers and updated Moody’s ratings
  • A series of 18 Portfolio Analytics – the same metrics that Moody’s analysts consider in the monitoring process
  • Reported and trigger levels for collateral characteristics like O/C, WARF, diversity and rating buckets
  • Performance comparisons to relevant Moody’s indices and historical performance analyses
  • High quality, scrubbed data - Data is checked by Moody's analysts and associates and compared to Moody's internal ratings and default databases.
  • Ratings are updated; pricing, seniority and detailed Caa analysis is provided.
  • Reports are available to all QIBs, regardless of participation in a deal.
  • Monthly reports available in PDF format on moody.com, downloadable in Excel format or the entire Moody’s database can be delivered via FTP