CDOSheet

CDOSheet provides pricing and risk valuations for structured credit products such as synthetic CDOs and single tranche CDOs (STCDOs). Users capture all the necessary deal indicatives, model parameters from within an intuitive spreadsheet interface. Market data is loaded into the system automatically from the principal suppliers of CDS data, at least daily, ensuring that your valuations are current.

Result data and pricing models are automatically shared between users so that that a portfolio position is always kept up to date and comparison valuations can easily be made by varying model assumptions or market data scenarios. This enables individual comprehensive deal analysis to support correlation trading including:

• credit spread deltas
• jump-to-default risk
• hedge equivalent positions
• implied correlation from tranche quotes
• base correlation and correlation skew
• correlation sensitivity

By combining deals into portfolio groupings in the CDOSheet risk aggregator it is possible to see consolidated valuations and risk. These numbers are all provided within a live spreadsheet environment, allowing risk to be analysed by sector, country, rating or entity. It can broken down to the level of the contributing trades or underlying positions, providing full "slice and dice" capability.

CDOSheet supports the following instruments for structured credit trading using semi-analytic models:

• nth to default basket swaps (NTD)
• synthetic collateralised debt obligations (CDO) tranches
• funded CDO notes
• single tranche CDOs (STCDO)
• leveraged super-senior CDOs
• combo notes
• zero-coupon equity tranches

Our grid-enabled Monte Carlo engine is used to produce accurate pricing and deltas for higher order structured credit products such as:

• CDO of CDOs (CDO squared)
• CDO of basket swaps (CDO of FTD or CDO of NTD)
• CDO of CDOs and ABS (Hybrid CDO)
• CDO of CDOs Squared (CDO Cubed)
• Step-up subordination CDOs
• Principal protected CDOs

CDO pricing can be done using a full correlation matrix but is more commonly performed using a single correlation factor implied from index tranche quotes (such as CDX or iTraxx). In addition to the market-standard one factor Gaussian copula for CDO pricing, CDOSheet also supports other distributions which offer an alternative to base correlation for managing the "correlation smile" phenomenon such as:

• Student t
• Double t
• Normal inverse Gaussian (NIG)

To see an on-line demonstration of CDOSheet, click here.