Moody’s KMV launches loan mark-to-market tool

Moody’s KMV has launched a new web-based analytics tool that allows loan portfolio managers to value loans called CreditMark.

According to the credit risk analytics specialist, three institutions – including Bank of America - have subscribed to CreditMark. Several banks are currently evaluating the tool, which allows originators and traders to price loans, and loan portfolio managers to mark-to-market on a daily basis.

Bank of America has been using the tool for more than a year. According to John Walter, a member of the US bank’s risk capital and portfolio analysis team, the bank runs weekly valuations of portions of its middle market and commercial loan book. Loan portfolio managers are able to view the valuation and run scenario analysis to investigate the drivers of loan value.

Jeffrey Bohn, head of the research and product management group at Moody’s KMV in San Francisco, highlighted CreditMark’s ability to capture the implicit optionality of loans in valuations as one of the significant strengths of the tool.

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