Fitch unveils latest version of RAP CD platform

Derivative Fitch has launched version 2 of its RAP CD pricing and market risk analytics platform for credit derivatives. The new version uses an Excel-based interface to allow trade capture for new trades and substitution analysis for existing trades.

Users can analyse trades prior to execution and structure trades from conception to execution. The platform also offers full support for hedge trades.

"In today's market it is a huge challenge for investors and CDO managers to be able to analyse their market risk exposures on a portfolio basis," says Simon Greaves, managing director at Derivative Fitch. "RAP CD gives them the pricing information, and importantly analysis of the drivers of that pricing, that they require to effectively manage their CDO portfolios."

Version 2 also includes user-defined scenario stress-testing. "Users can run scenarios to gauge the impact on portfolio market values derived from any combination of stress movements, correlation changes and default rates," says Greaves.

All the upgraded functionality will be incorporated into a new version of the platform called Rap CD Professional, launched yesterday and aimed at CDO managers. The basic version will be rebranded as RAP CD Investor.

Since the launch of RAP CD in mid-July 2006, Derivative Fitch has signed up over 40 users and provides daily risk and pricing data for over 120 deals.