The new web-based platform will provide enhanced content to a range of portfolio managers, underwriters, and risk professionals, with an initial focus on collateralized loan obligations (CLOs).
The platform will provide buy-side users with greater data normalization and aggregation capabilities, loan-level information including default probabilities like expected default frequency (EDF) measures and financial ratios, and batch cashflow analysis models to value multiple portfolios simultaneously.
Its comparability algorithm will also provide managers the ability to benchmark a tranche with a scatter plot against its cohorts across any given performance metric, while users can also project cashflows and view pre-run results based on market-standard assumptions. Up-to-date estimated Capital charge calculations for each tranche, along with the underlying factors, are also provided using the simplified supervisory formula approach (SSFA).
“Moody’s Analytics is dedicated to investing in its CLO analytical capabilities to provide the market with the most cutting-edge solutions available. With our new portal, users will have a clear view into the relative value of any given tranche, deal, manager, or loan,” says Andrew Jacobs, director at Moody’s Analytics.
Jesse Lund talks about real uses for DLT in the capital markets, lessons learned while rolling out IBM's blockchain platform, and what’s ahead for 2018, and into 2019.Subscribe to Weekly Wrap emails