Using best-in-class cash flow models and credit research, our analysis provides a clear concise investment package for any CDO investor focusing on the risk/return of a specific class that is owned, or sought to be purchased. We work to find better data. We find mistakes. Our ultimate report clearly demonstrates the components of a CDO and the structural risks that an investor faces by illustrating expected defaults and losses after analyzing all transaction collateral.
We demonstrate:
- Timing of expected losses and principal repayment to the CDO tranche
- Multiple cash flow stresses incorporating default and loss assumptions at the underlying collateral level
- Market pricing and IRR for each cash flow scenario
- Structural benefits and deficiencies in the indenture, offering memorandum and management agreement
- Analysis of reinvestment and trading parameters for managed transactions
- A thorough analysis and report detailing the underlying collateral and applied stresses
- Key concentration and correlation risks
- Documentation and collection agent errors or ambiguities
- Rights of the controlling class
- Hedging risks
- Performance of asset manager and servicer of underlying bonds/loans
