CDO2 adds aggregation function to pricing software

Vendor takes on trading systems

London, 1 August 2006

Analytics software vendor CDO2 has launched a new version of its structured credit pricing tool CDO Sheet which incorporates a function known as the Risk Aggregator. The company was set to roll out the new version to its existing customers in the last week of July.

The Risk Aggregator function consolidates the results of all the individual deals that the user has put through the CDO Sheet pricing model. "Our customers often want to know how a new deal would affect their overall position," says CDO2 founder Gary Kendall. "But as a firm's portfolio of deals becomes larger, it becomes ever harder in a spreadsheet environment to see where the risk lies."

CDO Sheet is available as an application hosted on the SunGrid server. The computing power of this arrangement means that the data from individual deals can be crunched into an overall risk position much faster than could be achieved by the customer using in-house spreadsheet software.

Once created, the risk reports can be viewed through a spreadsheet which allows the user to drill down to the level of individual deals.

This function is thought to be a first among CDO pricing tools, which generally work only on a deal-by-deal basis. It provides an alternative to the risk aggregation function of a fully fledged trading system such as Calypso or Front, but is believed to cost significantly less.