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CDO UPDATE: Moody's KMV Launches Tool To Mark-To-Market Corp. Loans
Source: International Financing Review
Date: February 4, 2004
Author: N/A
A new web-based mark-to-market analytic tool for corporate loans targeting commercial banks was launched on Wednesday by Moody's KMV. According to Dr. Jeffrey Bohn, an MD at Moody's KMV, CreditMark has peaked interest from commercial and merchant banks interested in finding news ways to value existing loan pools, repackage that risk and move it to investors through a securitization or CLO.
Moody's KMV is now offering bank loan portfolio valuations on a one-time, fee-for-service basis.
The pricing tool has been in use for over one year by Bank of America to run weekly valuations on commercial and middle market loan portfolios and two other clients have also been signed up during the pre-launch period, said Bohn.
CreditMark modeled valuations are close to loan dealer marks from Loan X, he added.
Multiple data sources can be customized with the product to achieve loan valuations such as LPC/SSTA, LoanX and the client's desk pricings.
CreditMark builds on Moody's KMV existing technologies including its Expected Default Frequency (EDF) credit measure and Portfolio Manager, its portfolio credit risk engine. CreditMark can also employ RiscCalc for private firm EDF credit measures and LossCalc for given default estimates.
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