Valuation & Risk Strategies Group from S&P to Provide Greater Transparency on Fixed Income Valuation Inputs

NEW YORK, Feb. 2 /PRNewswire/ -- Fixed Income Risk Management Services (FIRMS), an analytics and research unit separate from S&P's ratings business that delivers solutions to help investors perform cross-market analysis and valuations on the financial instruments in their portfolios, announced the launch of a transparency initiative by its Valuation & Risk Strategies group.  Beginning today, Valuation & Risk Strategies will be releasing the assumptions used in the creation of prices on a wide range of structured finance securities. When appropriate, these assumptions can include the default probability, loss severity, and prepayment speed used in the calculation process.  This new data will be delivered via the FIRMS Global Data Solutions platform and available on FIRMS Global Credit Portal in early February.  

This increased level of transparency will give investors, risk managers and accounting personnel an added perspective on the element components of portfolio valuation.  In today's marketplace, this additional perspective is essential to helping market participants maintain a balance between mark-to-market pricing and other market pressures that impact the valuation process.  Later this year, Valuation & Risk Strategies expects to be able to provide similar transparency data for municipal and corporate securities. These will be available to Valuation & Risk Strategies customers in a similar manner as above.

"One of the most critical issues confronting fixed income investors in the current market is price defensibility; any evaluation of an asset's price must be able to stand up to rigorous analysis by risk managers, compliance officers and boards of directors," said Frank Ciccotto, senior vice president, S&P's Valuation & Risk Strategies.  "Openly publishing the assumptions that go into our independent pricing analysis makes it possible for market participants to engage much more deeply in the evaluation process by understanding not just the market-derived opinion of price, but also the significant individual variables that help to form that opinion of price.

Initially disseminated to Valuation & Risk Strategies customers through a data feed, the valuation assumption data will soon be incorporated into a Web-based solution that  allows users access to current and historical data through a search engine or one-by-one lookup.  The Valuation & Risk Strategies Web portal includes a price challenge tool along with transparency around structured finance pricing.  The Web portal launch is slated for the first quarter of 2010.

About Standard & Poor's Fixed Income Risk Management Services

Standard & Poor's Fixed Income Risk Management Services delivers a portfolio of products and services to investors that serve the global financial markets by providing market intelligence and analytic insight for risk driven investment analysis, including for the debt, structured finance, derivative and credit markets.  Standard & Poor's Fixed Income Risk Management Services are performed separately from any other analytic activity of Standard & Poor's.  The unit has no access to non- public information received by other units of Standard & Poor's. Standard & Poor's does not trade on its own account. 

About Standard & Poor's Securities Evaluations

Standard & Poor's Securities Evaluations, Inc. (SPSE), a wholly owned subsidiary of The McGraw-Hill Companies, Inc., provides independent fixed-income evaluations of over 3 million securities.  It also distributes to its client base pricing data and equity pricing services of other unaffiliated firms.  In total, SPSE provides coverage for more than four million global securities.  Prices of firms other than those of SPSE are the responsibility of those firms and not SPSE and are produced under the firms' methodologies and policies and procedures, not those of SPSE.  Analytic services and products provided by Standard & Poor's are the result of separate activities designed to preserve the independence and objectivity of each analytic process.  Standard & Poor's has established policies and procedures to maintain the confidentiality of non-public information received during each analytic process. Standard & Poor's and its affiliates provide a wide range of services to, or relating to, many organizations, including issuers of securities, investment advisers, broker-dealers, investment banks, other financial institutions and financial intermediaries, and accordingly may receive fees or other economic benefits from those organizations, including organizations whose securities or services they may recommend, rate, include in model portfolios, evaluate or otherwise address. SPSE also provides customized reports on valuations of securities under various scenarios and analyses of certain U.S. and European fixed income securities using its proprietary risk to price scoring methodology.  For more information, visit www.standardandpoors.com.

SOURCE Standard & Poor's