RiskMetrics to provide credit data for risk managers

The new service will offer risk managers benchmark data for closing bid and offer prices for the most liquid credits in the credit default swap market. Via DataMetrics, subscribers will have access to a relatively independent source for single-name credit default swaps market prices.

The DataMetrics suite will also include a data portfolio of CreditTrade market prices that includes all the traded prices of deals executed by the firm. These are bids and offers that have either been placed directly into the company's electronic trading platform by traders, or entered into CreditTrade's database by the company's voice brokers. Bids and offers will be drawn from a range of major market-makers and other participants.

The market prices provide risk managers with an indication of the market each trading day, including price variation, volatility, market direction and liquidity. This will enable historical calibration modelling. The CreditTrade database goes back to June 1997 and offers more than 350,000 prices on over 1,400 credits.

The decision to add the data reflected the increasing involvement of the DataMetrics client base in the credit derivatives market combined with rising demand for data to work out sophisticated value-at-risk and mark-to-market risk analysis, Alan Adkins, head of RiskMetrics Group’s DataMetrics division, told RiskNews. “Our clients have continually requested name-level client spread data for credit protection."

RiskMetrics was spun-off from JP Morgan in 1998 and provides a range of analytics and data services for financial institutions. Adkins said he expected DataMetrics to use CreditTrade as its sole source of credit default swap data.

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