MWSA News

New York -- Moody's Wall Street Analytics (MWSA) today announced Credit Values DCV, a discounted cashflow valuation (DCV) service that enhances transparency of U.S. CDOs by providing independent fundamental valuation information.

Credit Values DCV utilizes both publicly available and proprietary information, including Moody's Investors Service's research and analysis models, components of some rating models, structured finance software and analytics tools from MWSA, and Moody's extensive structured finance monitoring databases and "waterfall" libraries. By discounting the value of future cashflows in complex structured finance securities over a number of pre-defined scenarios, the models deliver a number of independent views of the intrinsic value of CDO securities based on a transparent set of assumptions. Credit Values DCV offers the added ability to measure future cashflows over user-selected scenarios, which could provide additional clarity to the valuations process as designed by users of the service.

This service allows subscribers to compare the DCV of their securities to trading values based on pre-defined or user-defined parameters, as well as to calculate the sensitivity of the DCV to different market and credit conditions. A DCV can be used as one measure of the "intrinsic" value of securities, largely excluding other factors that can affect their value, such as liquidity. DCV information can be particularly helpful under difficult market conditions or in markets with little trading activity.

"Moody's is committed to making a greater range of fundamental value measures available to the marketplace, and the launch of the CreditValues DCV service is a strong first step in that direction," said Gus Harris, President, Moody's Wall Street Analytics. "Credit Values DCV anchors the MWSA Credit Values product suite, which will include a series of structured finance market valuation services that can help provide important information about liquidity and volatility."

Two service levels are available: The Standard Service uses Moody's models to generate cashflow assumptions used to calculate a security's DCV, along with an estimate of DCV variability that communicates the sensitivity of the DCV to different levels of collateral performance. The Custom Service applies the user's own assumptions about inputs such as default rates and timing, market spreads, correlation and loss given default to Moody's models to generate a customized DCV calculation. The Custom Service could also provide additional volatility measures and estimates of market premia, based on user-provided information. Both services are available for select client portfolios or as a bulk feed of Moody's or client deals.

At launch, CreditValues DCV Standard Service is available for U.S. corporate cashflow CDOs, primarily CLOs. It will be expanded to include European CDOs, RMBS, and other types of CDOs, as well as a broader range of valuation information. The Custom Service is available for a broad range of cashflow CDOs, including Corporate CDOs, some European CLOs, ABS CDOs and TRUPS CDOs. The service will initially be available in Excel sheets on MWSA's website.

Further information about Moody's CreditValues DCV is available at www.wsainc.com.

NOTE TO JOURNALISTS ONLY: For more information, please contact New York Press Information +1-212-553-0376; EMEA Press Information in London +44-20-7772-5456; Juan Pablo Soriano in Madrid +34-91-310-1454; Alex Cataldo in Milan +39-02-914-81-100; Eric de Bodard in Paris +331-5330-1076; Detlef Scholz in Frankfurt +49-69-707-30-700; Mardig Haladjian in Limassol +357-25-586-586; Alex Sazhin in Moscow +7495-641-1881; Petr Vins in Prague +4202 2422 2929; Tokyo Press Information +813-5408-4110; Hilary Parkes in Toronto +1-416-214-1635; Hong Kong Press Information +852-2916-1150; Sophie Davidson in Sydney +612 9270 8185; Luiz Tess in São Paulo +5511-3043-7300; Alberto Jones Tamayo in Mexico City +5255-1253-5700; Daniel Rúas in Buenos Aires +54 11-4816-2332 ext. 105; Craig Jamieson in Johannesburg +27-11-217-5470; Philipp Lotter in Dubai +971 4 365 0284; or visit our web site at www.moodys.com.

New York
Roger Stein
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
David Little
Senior Marketing Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

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