FT Interactive Data enhances BondEdge credit risk capabilities

FT Interactive Data, a Massachusetts-based supplier of financial information and analytical software, has expanded the credit risk management capabilities of its BondEdge fixed-income portfolio analytics product.

In addition to existing credit risk analytics, which combineinformation from CreditGrades supplied by New York-based RiskMetrics Group with proprietary BondEdge data, new portfolio-versus-benchmark functionality and daily credit risk histories will also be made available.

Supplementing the existing reports, which show current spread levels and spread volatility for corporate holdings versus a 90-day average and standard deviation for each bond in a portfolio, the new capability will allow users to compare information, at the sector level, with the credit component of a chosen benchmark.

"You might discover, for example, that spreads in a particular industry are becoming more volatile, or that your portfolio's exposure to a given industry versus the average holdings in a broad index is potentially much more risky as measured by theoretical default probability," said Teri Geske, senior vice-president of product development for BondEdge. "All of these could serve as invaluable early warnings."

The new product will also allow users to look at daily histories of prices, yields and option-adjusted spreads for corporate bonds on an individual holdings basis as well as implied credit default spreads and default probabilities supplied by CreditGrades. The company claimed these daily histories allow for trend analysis as well as bond-to-bond comparisons for relative value analysis.