Commerzbank live with CDOSheet

New York, 30 June 2005

Commerzbank New York Branch are now producing daily risk reports for their entire portfolio of CDO and CDO Squared tranches using CDOSheet.

The system was installed in early June and uses the spare capacity of up to 100 desktop machines in their offices to run Monte Carlo simulations. This allows the New York branch to produce daily credit spread deltas and jump-to-default risk across their entire portfolio of CDO and CDO squared tranches.

Trade data is stored centrally and market data, such as interest rates and CDS prices, are loaded up into the system automatically as XML files. This means that running the daily risk report can now be as easy as updating the date in a spreadsheet.