Bear Stearns adds CDO evaluator to Pacre

Bear Stearns has added a high-yield collateralised debt obligation (CDO) pricing model to its price-adjusted credit risk evaluator (Pacre) product. The model is designed to calculate credit-adjusted spreads on individual CDO tranches.

“This new credit-adjusted spread model represents another step in our effort to enhance liquidity and transparency in the secondary market for CDOs, an effort which Bear Stearns has dedicated increasing levels of resources to over the past three years,” said Michael Nierenberg, head of CDO trading at Bear Stearns.

Gyan Sinha, head of asset-backed securities and CDO research at Bear Stearns, added: “We are applying valuation frameworks such as option-adjusted spread, which are routinely used by investors in the mortgage markets to better understand the risks and rewards in the tranching of credit risk.”