The Düsseldorf-based bank is using CDOSheet to risk manage their collateralized debt obligations (CDOs) investments and for price verification before making new structured credit investments.

Michael Grimm, head of debt capital markets at APO-Bank, said that one of the most important considerations for the bank was the ability to see consolidated risk across all its CDO investments. Prior to using CDOSheet APO-Bank relied on a custom spreadsheet for each deal. "Some deals took hours to price, and still gave us a very limited view of our risk," said Mr Grimm.

The bank now uses CDOSheet's Risk Aggregation functionality to monitor exposure to each referenced company in their portfolio. "We are now able to price a new deal in minutes and see the consolidated impact on our risk. This enables us to make a more informed decision and avoid concentrations of risk in a particular company or sector", said Mr Grimm.

Iven Gernetzke, Senior Portfolio Manager in APO-Bank's recently established Financial Engineering - Structured Products group also commented. "In the past it has been difficult to compare the value of the structures on offer by different dealers. Using CDOSheet we have more negotiating power because we get an independent price and a transparent view of the risk beyond the headline rating of the deal."

APO-Bank calculates implied correlation using credit default swaps data from inter-dealer broker GFI Group. This data goes directly into CDOSheet and ensures that all valuations are based on market prices. Clive England, GFI's European head of sales, data and analytics, said, "We are delighted that APO-Bank recognizes the quality and accuracy of GFI's market data by using it to underpin its CDO analytics."

The CDOSheet system is hosted on Sun Microsystems' Sun Grid Compute Utility. This gives APO-Bank the ability to run complex, compute-intensive, risk simulations without having to acquire or manage any additional IT infrastructure.

Should the bank need more processing power in the future, as the complexity of their investments or analysis requirements grow, this is available on tap. Gary Kendall, director of CDO², said, "Because the software is hosted centrally at Sun's premises, we are able to set up a new installation within a matter of days. We then let APO-Bank experiment with different levels of computing power before they decided on the level of service they needed."