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We are always interested in speaking to members of the media on news and events affecting the world of corporate credit risk. We look forward to hearing from you.
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For Immediate Release
Moody’s KMV Leverages Data From Equity, Bond and Credit Derivative Markets to Set New Standards of Valuation for Corporate Credit Instruments
Delivers Powerful Asset Selection, Trading, Risk Management Tool To Asset Managers
SAN FRANCISCO, April 14, 2004 - Moody's KMV, the world’s leading provider of quantitative credit-risk measurement and management tools, today introduced a Web-based product that leverages information from the equity, bond and credit derivative markets to assist asset management firms in determining the fair value of credit sensitive instruments they buy, hold, sell, hedge and securitize. Likely users of the new tool, CreditEdge Plus, include money managers, hedge funds, and investment and commercial banks that will use it to select assets, develop trading strategies and manage risk.
“Credit risks are very dynamic and can change at a moment’s notice, yet until now there has really been no model that provides an independent source of continuously updated credit spreads,” said Tim Kasta, Managing Director at Moody's KMV. “CreditEdge Plus is that tool, allowing users not only to determine where a credit is likely to trade, but also what that credit is actually worth. The implications of this advance for asset mangers are tremendous.”
The product takes advantage of information coming from three distinct securities markets to estimate credit spreads with great accuracy. CreditEdge Plus combines Moody’s KMV’s industry standard EDF model of default probability with a structural approach to valuation allowing users to model credit spreads in real-time and allowing users to overlay their own judgment to value corporate bonds and credit default swaps (CDS). The tool thus serves as a source of accurate, real-time credit spreads in markets that have little transparency and for instruments that have limited liquidity.
The tool has a host of charting and analysis features that allow users to monitor and understand movements in credit spreads, quantify the impact of hypothetical events on credit spreads, identify relative value opportunities across the bond and CDS markets, and perform rich-cheap analysis.
Moody’s KMV said the product has been very well received among the 40 institutions, including a number of money managers, hedge funds, and investment and commercial banks, that have seen it in pre-release.
“The comments we have received in the asset management community suggest that CreditEdge Plus will be actively used in the investment decision process across a wide range of asset management strategies including corporate high-yield and investment grade, credit long/short, convertible and capital structure arbitrage and structured products,” said Mr. Kasta. “Its introduction should lead to more informed investment decisions and better performing credit risk portfolios throughout the industry.”
About Moody’s KMV
Moody’s KMV, a wholly owned subsidiary of Moody's Corporation, is the world’s leading provider of quantitative credit risk analysis tools to lenders, investors, and corporations. Moody’s KMV's tools provide current default probabilities, recovery estimates, valuations and correlations, and are widely used to assess portfolio risk/return. Serving over 2,000 clients in 80 countries, including most of the world's 100 largest financial institutions, Moody’s KMV maintains the largest and cleanest database of corporate defaults in the world. In addition to its San Francisco headquarters, Moody’s KMV has offices around the world to serve its global customer base.
About Moody's Corporation
Moody's Corporation (NYSE: MCO) is the parent company of Moody's Investors Service, a leading provider of credit ratings, research and analysis covering debt instruments and securities in the global capital markets, and Moody's KMV, the leading provider of market-based quantitative services for banks and investors in credit-sensitive assets serving the world's largest financial institutions. The corporation, which reported revenue of $1.2 billion in 2003, employs approximately 2,300 people worldwide and maintains offices in 18 countries. Further information is available at www.moodys.com.
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