SYNTHETIC COLLATERALISED DEBT OBLIGATION VALUATION PROCEDURE

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1. Log into your account or if you are a new user, register your account and enable two factor authentication.
2. Click on the [Collateralised debt obligation] button, this will take you to the Dynamic-text-blocks parameters page.

Dynamic text-blocks parameters page

1. Select to value a newly-issued or in-force synthetic CDO.
2. Select to enter flat or time-varying yield curve at indicated times.
3. Enter number of outstanding spread payment times.
4. Enter spread payment frequency per year.
5. Enter the time till next spread payment in years.
6. Click the submit button, and this will take you to the array populating page.

Array populating page

1. Enter continuously compounded zero rates at indicated times.
2. Click the submit button, and this will take you to the Collateralised debt obligation valuation parameters page.

Collateralised debt obligation valuation parameters page

1. Enter the name of index used to construct the synthetic collateralised debt obligation.
2. Select the name of currency of valuation from drop-down list.
3. Enter the credit default swap spread payment on index per unit of notional principal in basis points. This value will be used by the system to imply a hazard rate, which will in turn be used in synthetic CDO valuation.
4. Enter the tranche attachement point. For example, if the applicable tranche covers a region that is between 40% and 60% of the total tranche principal of the collateralised debt obligation, the attachement point for this particular tranche is 0.4.
5. If prompted, enter tranche spread payment per unit of notional principal in basis points. You will be prompted to enter this if you are valuing a synthetic CDO that is already in existence.
6. Enter the tranche detachement point. For example, if the applicable tranche covers a region that is between 40% and 60% of the total tranche principal of the collateralised debt obligation, the detachement point for this particular tranche is 0.6.
7. Enter the number of outstanding(not defaulted) reference entities.
8. Enter the value of outstanding tranche principal. The value entered must be the outstanding principal for this particular tranche.
9. Enter the recovery rate assumption. This is the bond's market value just after default as a percentage of its face value, that is the percentage of face value that can be recovered just after the bond has defaulted.
10. Enter the copula correlation. This is the average correlation of equity returns of companies underlying the corporate bonds(reference entitites) in the credit index and a well-diversified market index.
11. Click the submit button and this will take you to the output display page.

Output display page

1. You can view pricing model output together with input parameters you entered.
2. At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
3. After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
4. You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.