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Essential Intelligence: Models

CDO Suite of Models

CDO Suite of Models

The CDO Suite of Models includes the CDO Evaluator, Cash Flow Evaluator, Corporate Loan Data Table, and CDO Monitor. Our CDO Suite of Models provide analytical modeling and data capabilities for performing credit, cash flow and detailed asset analyses.

CDO Evaluator

CDO Evaluator desktop model is used by S&P Global Ratings to assess the credit risk of a portfolio of rated (or credit assessed) corporate assets, structured finance assets, sovereign assets, municipal assets, project finance assets, international public finance assets, other assets with ratings or credit assessments, and combinations of such assets. In addition, we use CDO Evaluator as a tool to assess the credit risk of commodity collateralized obligations (CCOs) and foreign exchange collateralized debt obligations (FX CDOs). CDO Evaluator is also used for retranchings of asset-backed securities (ABS), commercial mortgage-backed securities (CMBS), residential-mortgage-backed securities (RMBS), and other structured finance securities.

CDO Evaluator desktop simulates portfolio default rates or loss rates for portfolios consistent with stresses we view to be commensurate with different rating levels. It is a stand-alone application with a Microsoft Excel user interface.

CDO Evaluator Engine
The CDO Evaluator Engine model is the same as the CDO Evaluator desktop model, but without the Microsoft Excel user interface. 
It is a stand-alone application that uses XML files for the model input and output.

CDO Monitor

CDO Monitor is an application, based on our CDO Evaluator rating model, that S&P Global Ratings provides to collateral managers and trustees of transactions that incorporate a CDO Monitor Test in their transaction documents. When applied during the reinvestment period, the application provides an indication as to whether changes in a CLO collateral portfolio are generally consistent with the parameters that were assessed when the transaction was first rated.

Cash Flow Evaluator

Cash Flow Evaluator applies various combinations of stresses to the collateral portfolio of a structured transaction and examines whether the rated securities would likely receive timely or ultimate interest and principal payments in those scenarios.The stresses it applies include certain collateral default levels and timing,collateral recovery levels and timing,and interest-rate movements,as well as currency and prepayment stresses,when applicable.

Cash Flow Evaluator Engine
The engine is a collection of functions created from C++ language source code modules compiled into object libraries , which must be saved locally on user's workstation. No Graphical User Interface (GUI) is included. The output from the model is returned from the engine call and is written in output files and stored locally. No pre-defined output reports are provided.

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