APO-Bank uses CDO2®’s
CDOSheet® for structured credit derivatives
London, 22 November 2006
CDO2® today announced that Deutsche
Apotheker- und Ärztebank (APO-Bank) is now using CDOSheet®, its pricing and risk analysis solution for
structured credit derivatives. The Düsseldorf-based bank is using CDOSheet® to risk manage their collateralized
debt obligations (CDOs) investments and for price verification before making
new structured credit investments.
Michael Grimm, head of debt capital markets at APO-Bank, said that one
of the most important considerations for the bank was the ability to see
consolidated risk across all its CDO investments. Prior to using CDOSheet APO-Bank relied on a custom spreadsheet for each deal.
“Some deals took hours to price, and still gave us a very limited view of
our risk”, said Mr Grimm.
The bank now uses CDOSheet’s Risk Aggregation functionality to
monitor exposure to each referenced company in their portfolio. “We are
now able to price a new deal in minutes and see the consolidated impact on our
risk. This enables us to make a more informed decision and avoid concentrations
of risk in a particular company or sector”, said Mr Grimm.
Iven Gernetzke, Senior Portfolio Manager in APO-Bank’s recently established
Financial Engineering – Structured Products group also commented. “In
the past it has been difficult to compare the value of the structures on offer
by different dealers. Using CDOSheet we have more negotiating power because we
get an independent price and a transparent view of the risk beyond the headline
rating of the deal.”
APO-Bank calculates implied correlation using credit default swaps data
from inter-dealer broker GFI Group. This data goes directly into CDOSheet and
ensures that all valuations are based on market prices. Clive
England, GFI’s European head of sales, data and
analytics, said, “We are delighted that APO-Bank recognizes the quality
and accuracy of GFI’s market data by using it to underpin its CDO
analytics.”
The CDOSheet system is hosted on Sun Microsystems’ Sun™
Grid Compute Utility. This gives APO-Bank the ability to run complex,
compute-intensive, risk simulations without having to acquire or manage any
additional IT infrastructure.
Should the bank need more processing power in the future, as the complexity
of their investments or analysis requirements grow, this is available on tap.
Gary Kendall, director of CDO2, said, “Because the software is
hosted centrally at Sun’s premises, we are able to set up a new
installation within a matter of days. We then let APO-Bank experiment with
different levels of computing power before they decided on the level of service
they needed.”