Further enhancing the CDO structuring and analytics tool, Standard & Poor's released version 2 of CDO Evaluator last week, featuring several new features allowing asset managers and investors to more fully analyze asset pools of both upcoming and outstanding transactions. New features include a new, rated overcollateralization analysis, as well as a more in-depth look into sovereign credits and the corporations based in these foreign markets.
The most significant addition is the new rated O/C feature, which allows collateral managers the opportunity to anticipate ratings migration of securities backing CDOs and react accordingly to potential downgrades - and upgrades - for corporate and sovereign debt securities. Compared to the original CDO Evaluator, S&P director Sten Bergman claims version 2 allows for both managers and investors to look at the entire transaction, rather than just the asset pool.
"One of the difficulties faced by collateral managers and investors in evaluating CDO asset pools is quantifying the contribution that a given asset has on the risk profile of the transaction," said Bergman.
Version 2 allows the user to move assets in and out of the hypothetical pool, and view real time enhancement levels for the entire credit spectrum of a potential new issue. Bergman added that this platform, available on MS Excel, simplifies structuring deals within S&P rating criteria, prior to issuance.