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In a growing and evolving CLO market, time and accuracy are key. CDOEdge runs cash flows significantly faster than Excel by replicating Moody's Investors Service's published quantitative approach to rating CLO transactions. CDOEdge empowers CLO market professionals to structure new transactions, monitor existing investments, and manage risk by analyzing changes in collateral and market conditions.

Structured Engine and Waterfall

    Waterfall brings together all of the modules from the structuring tool including tranche, fee, hedge, and OC/IC tests, and allows the user to define how cash moves through the deal.  Waterfall steps are displayed in a concise and intuitive point-and-click interface.  Users can:

  • Create and edit any structures/waterfalls including multi-currency transactions.
  • Run cash flows through the structure significantly faster than in Excel.
  • Incorporate reinvestment assumptions.

Binomial Analytics

    Two distinct binomial methods are available to provide comprehensive analytical perspectives for single/multi-currency deals using multiple interest rate scenarios and default timing profiles.

  • Estimate ratings of potential structures based on expected loss.
  • Quickly analyze the impact of collateral and/or structural changes.
  • Implement internal ratings based approaches.
  • Perform ratings based analysis of deals in the secondary market.
  • Provide cash flow analytics with different levels of detail.
  • Download cash flow details into Excel in order to perform in-depth analysis.
  • Given a benchmark spread, generate an expected price across all default and interest rate scenarios.
  • Run collateral covenant metrics.

Optimization, Trends, and WARF Sensitivity Analysis

  • Allows users to optimize for tranche balances, spreads and coupons; collateral covenant/asset quality matrix; and overcollateralization levels.
  • Provides insight into current market trends for collateral composition, tranche credit enhancement levels, tranche spread/coupon levels, and coverage test levels.
  • Run WARF sensitivity analysis to asses to impact of WARF changes on tranches' implied ratings.

CDOEdge API

    Users can combine and integrate their analytics using CDOEdge API to avoid running multiple models.  CDOEdge's intuitive API enables VBA macros to utilize CDOEdge's cash flow engine.  CDOEdge API's extensive operations allow developers to access essential functionalities available in the CDOEdge application.

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