Appropriateness of the Bloomberg CLO Cashflow Generator

Question

Since CLOs seem to gain in popularity because of the COVID-19 crisis, I came across the possibility in Bloomberg to generate cashflows for newly issued CLOs through the function "weighted average life graph", where you just have to input several parameters (Default Rate, Prepayment Rate etc.) and Bloomberg generates them automatically.

I was wondering, if anyone uses this generator for valuation of CLOs in a DCF world (i.e. if this generator is appropriate because the model behind is a well known pricing model)

Kind regards

Answer 1

We priced CLO similar to Bbg based on excel sheets and obtained very similar numbers as Bbg. We used https://www.amazon.com/Cash-CDO-Modelling-Excel-Approach-ebook/dp/B006L8ERUE as reference. Hope it helps

Answer 2

I've collected some information about this and this is my knowledge up today:

Bloomberg does NOT use an own model (in the sense of a developed methodology), but only the translation of the cashflow waterfall documented in the CLO transaction, for which it uses the predefined input parameters by the Bloomberg user (CPR, CDR, LGD, Recovery Lag).

I was also told that the Cashflows from the Moody's Analytics Structured Finance Portal are almost the same, since both use the same CLO transaction documents.

If you have any further or contrary information on this, please add and/or correct me.