Derivative Fitch's CDO pricing model now available to Codefarm's Galapagos Structurer customers
London, February 2007
Codefarm, the structured credit technology company, continues to stay at the forefront of efficient portfolio construction by integrating new pricing models into Galapagos Structurer, its next generation portfolio optimization service.
Codefarm has signed an agreement with Derivative Fitch to enable customers of Galapagos Structurer to have the option of using the semi-analytic and Monte-Carlo Gaussian copula CDO models from the RAP CD pricing and risk analytics platform for CDOs. This incorporates the former Reoch Credit Pricing Model library which was acquired by Derivative Fitch in July 2006. The library covers a wide range of structures including CDO, CDO^2, long/short, variable subordination, zero coupon, forward starting and is based on semi-analytical and Monte Carlo factor models calibrated from the observable index tranche market.
John Mooren, Marketing Director of Codefarm, explains: "To ensure that Galapagos Structurer performs to its full potential, we must keep pace with market developments. Offering Galapagos Structurer customers the most popular benchmarked pricing model as well as the opportunity to integrate their own allows us to focus on our core strengths.",
James Wood, Managing Director, Derivative Fitch commented: “As a leading provider of pricing and risk analytics for structured credit products we are delighted to combine our models with Codefarm's innovative technology. Our pricing models are highly dynamic, reflecting market changes and Galapagos Structurer with its evolutionary computing technology accommodates our model changes with ease.”
Now used by half of the top ten structured credit desks , Galapagos outperforms conventional CDO structuring methods by unlocking greater returns in very short timescales. With its superior results proven in head-to-head trials with leading investment banks, Galapagos uses evolutionary computing technology to automate and optimize the structuring of CDOs and uncover the spread potential embedded within them. As an online service, it is proving attractive to CDO arrangers of all sizes as the benefits it offers can be available on site within hours.
About Codefarm
Codefarm is a technology company providing products and services to help investment banks and financial organisations achieve better returns in the structured credit market.
Applying mathematical approaches based on evolutionary computing, Codefarm provides powerful new tools for tackling highly complex combinatorial and numerical modelling problems. Its Galapagos software harnesses the processing power of grid computing, rapidly delivering optimal solutions and evolving them to keep pace with changing market conditions. By targeting exact requirements without simplification or compromise, Galapagos automates manual processes and consistently outperforms other methods.
With a policy of recruiting high-calibre personnel who quickly grasp the complexities of new financial markets, Codefarm can rapidly tailor its products to client needs.
Codefarm's growing client list includes many of the top investment banks and it is now a clear leader in maximising returns on structured derivatives products.
Codefarm is a privately-owned company with headquarters in Brighton, UK. For more information, see www.codefarm.com
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.
Media Enquiries
Stephen Fleming at Palam Communications
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Email: sfleming@palam.co.uk
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General Enquiries
Galapagos Structurer
Lindsay Gardner, Marketing Manager, Codefarm
Tel: +44 20 70021423
Email: info@codefarm.com
Web www.codefarm.com