FINANCES – NO CDO BENCHMARKS
Analyzing CDO performance is challenging because there is no publicly available secondary market data. Furthermore, there are no readily available performance statistics or CDO indexes to gauge total returns. Certain proxies for CDO collateral performance exist, such as leveraged-loan closed funds (as a proxy for CLOs), synthetic residential MBS indexes, and leveraged-loan indexes, but due to structural and managerial differences, these are not always a good substitute for the various notes in the CDO structure.
Still, there is ample information available to investors to monitor their individual transactions. Most dealers publish surveillance reports. Moody’s publishes a series of monthly reports (see the appendix to this chapter) that detail CDO performance, broken down by vintage and collateral type. These reports are the closest publication we have to a market performance matrix. Moody’s even details CDO equity returns. The reports are extremely beneficial when examining macrotrends in the CDO market but, because names are not listed, the reports cannot be used to determine the performance of specific deals.