Derivative Fitch Updates its Synthetic CDO Risk Tool, RAP CD.

LONDON & NEW YORK -- Derivative Fitch has launched an updated version of its Risk Analytics Platform for Credit Derivatives (RAP CD). Important enhancements in RAP CD version 1.2 include daily mark-to-market pricing and risk analysis and the platform's full support for CDO2 structures.

RAP CD v1.2 also includes the addition of portfolio reporting and an improved graphical interface. Portfolio reporting offers the ability to evaluate the risk of a single name to an entire portfolio of synthetic CDOs.

'We recognise that in today's market investors sometimes have a basic model for vanilla synthetic CDOs. However, investors rarely have models for more exotic deals, even though it is often these deals that are more frequently traded. Their challenge now involves being able to analyse all market risk exposures for all deal types, including the more exotic ones, on a portfolio basis', said James Wood, Managing Director at Derivative Fitch and co-head of RAP CD. 'Derivative Fitch is therefore addressing the market's need for transparency through a dynamic series of releases with future versions to include support for variable subordination, long/short CDOs, zero coupon CDOs, CPPI and CPDO. We intend to have coverage of many of these products in our next release scheduled for March 2007.'

'In a constantly evolving structured credit landscape RAP CD is an essential analytical tool for investors that need to keep pace with market developments,' said Kimberly Slawek, Head of Derivative Fitch. 'RAP CD offers investors the complete risk analysis they need to make effective investment decisions.'

The v1.2 CDO2 analytics include two models from Reoch Credit Ltd, whose credit derivatives analytics business was acquired by Derivative Fitch in July 2006. The first approach uses the supertranche method in which a CDO2 is treated as a closest equivalent CDO. The second model explicitly takes into consideration the base correlation skew of each inner CDO tranche and also that of the outer CDO tranche. This is based on David Shelton's proxy integration approach and David Li's concept of overwriting a copula-modelled loss distribution with one implied from the tranche market.

Since RAP CD's launch in mid-July 2006 Derivative Fitch has signed up a number of investors to the service globally, including BAWAG PSK, Deutsche Postbank, Shinwa Bank, Taishin Finance Bills Corp, TD Securities and WGZ Bank Ireland. The agency has also been working closely with a number of arrangers globally who are using RAP CD as a marketing tool when pricing synthetic CDOs, enhancing investor demand for their trades.

Part of Derivative Fitch's full rating service for synthetic CDOs; RAP CD is a breakthrough market risk assessment service for the Synthetic CDO market. With RAP CD, market participants can independently price and evaluate mark-to-model pricing and the key elements driving volatility, thus providing users with unprecedented transparency from origination throughout the length of an investment. RAP CD represents the next generation of risk analytics providing insight for both credit and market risk based on models and data from Derivative Fitch, Reoch Credit, Algorithmics, Valuspread and GFI.

For further information on RAP CD or to arrange a demonstration, please contact Simon Greaves [phone] or email [e-mail].

Additional information is also available at www.fitchratings.com/credit_derivatives.

About Derivative Fitch:

Derivative Fitch is an independent provider of a suite of products and services for the credit derivatives market. The company's goal is to enhance understanding of risk and improve market transparency in the growing credit derivatives sector. As a full service ratings agency, Derivative Fitch focuses on delivering innovative analytics and technology-driven portfolio evaluation solutions by expanding the tools and methodologies used to analyze the credit stability and market risk that characterize structured credit products. A wholly owned subsidiary of Fitch Ratings, the new company is comprised of over 100 professionals in New York, London, Hong Kong, and other major financial centers around the world. For more information, visit www.derivativefitch.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.derivativefitch.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site. Fitch means Fitch, Inc., Fitch Ratings, Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto.