Derivative Fitch's CDO pricing model now available to Codefarm's Galapagos Structurer customers

London - 7 March 2007

Codefarm, the structured credit technology company, continues to stay at the forefront of efficient portfolio construction by integrating new pricing models into Galapagos Structurer, its next generation portfolio optimization service.

Codefarm has signed an agreement with Derivative Fitch to enable customers of Galapagos Structurer to have the option of using the semi-analytic and Monte-Carlo Gaussian copula CDO models from the RAP CD pricing and risk analytics platform for CDOs. This incorporates the former Reoch Credit Pricing Model library which was acquired by Derivative Fitch in July 2006.
The library covers a wide range of structures including CDO, CDO^2, long/short, variable subordination, zero coupon, forward starting and is based on semi-analytical and Monte Carlo factor models calibrated from the observable index tranche market.

John Mooren, Marketing Director of Codefarm, explains: "To ensure that Galapagos Structurer performs to its full potential, keeping pace with market developments is a top priority for us. Offering Galapagos Structurer customers the most popular benchmarked pricing model as well as the opportunity to integrate their own allows us to focus on our core strengths."

James Wood, Managing Director, Derivative Fitch commented: "As a leading provider of pricing and risk analytics for structured credit products we are delighted to combine our models with Codefarm's innovative technology. Our pricing models are highly dynamic, reflecting market changes and Galapagos Structurer with its evolutionary computing technology accommodates our model changes with ease."

Now used by half of the top ten structured credit desks, Galapagos outperforms conventional CDO structuring methods by unlocking greater returns in very short timescales.

With its superior results proven in head-to-head trials with leading investment banks, Galapagos uses evolutionary computing technology to automate and optimize the structuring of CDOs and uncover the spread potential embedded within them. As an online service, it is proving attractive to CDO arrangers of all sizes as the benefits it offers can be available on site within hours.

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