CDSMetrics is a web-enabled application successfully used by hedge fund clients of R&R to value CDS of RMBS contracts. CDSMetrics uses a loss distribution in concert with Monte Carlo simulation to generate a sequence of loss scenarios that drive the modeling of returns to the CDS buyer.

In real time, the analyst can play with the 24 parameters of the model and display the cash flows, to analyze the value behavior of the deal’s structure. An automated calibration phase sets the loss and prepayment variables to the actual dollar-space cumulative loss and prepayment histories of the individual transactions being considered.

“CDSMetrics incorporates the nonlinear dimension of credit losses where relative value lurks. This is an aspect of CDS valuation that traditional contingent-payment models ignore,” said Sylvain Raynes, R&R principal.

CDSMetrics’ project management feature allows the analyst to value a diversified portfolio of CDS contracts with one click. The final PDF report (on one contract or a portfolio) is automatically generated and includes all the statistics and charts required to be able to assess the risk of each CDS contract.

In the final report one finds, among others, the following items: write-down amounts, average expenses and revenues, internal rates of return, best scenarios, net present value, cumulative gross losses and other vital deal statistics.

Please contact info@creditspectrum.com or call 1-212-867-5693 to obtain more informations on this product.

David ABITBOL