CDOnet Underwriter

CDOnet Underwriter can be used to structure all of your deals, of any asset class, from start to finish. Users can easily import and export their deal data, run cashflow projections to optimise tranche structure, incorporate rating agency methodology and link to third party pricing services.

 

Sophisticated macro language gives underwriters the ability to create their own scripts to control and execute a multitude of functions. This significantly reduces the time spent running routine or periodic tasks.

 

Robust Structuring Tools

  • Transparent modeling interface allows the user to see all the components of a deal
  • Templates for setting-up cash and synthetic CDOs
  • Powerful scripting language for more complex structures
  • Incentive management fees / equity distributions based on historical returns
  • Customizable reinvestment assumptions
  • Synthetic and cash deal structures
  • Multiple currency transactions
  • Easy import and export of data

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 sgency style testing/tranche sizing
  • Multiple scenario analysis
  • Multiple deal analysis
  • Cross-Deal analytics

CDO Deal Library

Underlying CDOs in a CDO-Squared can be linked to MWSA's comprehensive global CDO Deal Library to provide dynamic cashflows.  

 

The database is comprehensive, searchable and regularly updated and maintained. MWSA's deal modeling team can model bespoke CDOs on request.

 

Rating Agency Methodologies Analysis

The S&P Credit Solver simplifies the process of satisfying S&P ratings criteria for CDO underwriters. When an underwriter is structuring a deal, S&P has minimum requirements for first-loss levels under a variety of interest rate scenarios, loss timings, and loss distributions. The tranche must pass all such scenarios in order to satisfy a particular rating.

 

The S&P Credit Solver automates this process by creating most of the scenarios based on a few inputs. The structurer can then run and test these scenarios for all tranches in batch. In addition to providing the first-loss level for each scenario, this module also allows users to customize the fields visible in the cashflow export. This new enhancement significantly reduces the time and effort necessary to meet and test the S&P ratings criteria in CDOnet.