The new model also supports ISDA CDS standard model to convert spreads to upfront fees and to calculate settlement payments
Quantifi, a provider of analytics and risk management services to the credit markets, has released version 9.1.4 to support the new Standard North American Corporate CDS set to begin trading on April 8, 2009.
The release of version 9.1.4 is expected to provide enhancements to pricing, risk management and operations to support the new contracts, said Quantifi.
Quantifi version 9.1.4 includes new developments to support the new Standard North American Corporate (SNAC) CDS trading, including: the new International Swaps and Derivatives Association (ISDA) CDS standard model to convert spreads to upfront fees, and to calculate exact settlement payments; support for calibration of survival curves based on the new SNAC quoting convention. The new convention will not be compatible with existing models and these enhancements are essential for pricing CDS and related products going forward.
The version also includes the ability to calculate hedges and sensitivities based on the SNAC contract; trade capture support for the SNAC contract, along with ISDA-compliant validation to ensure accurate trade representation; support for the new Markit fixed coupon report, which contains quotes for the SNAC contracts, added Quantifi.
Rohan Douglas, CEO of Quantifi, said: There are profound changes occurring in the CDS market as part of the ISDA CDS ‘Big Bang’. As these changes will have a significant impact on existing modeling and trading infrastructure, support for these new contracts before they begin trading on April 8, 2009 is crucial for all market participants. With this release, we are making sure our clients are fully prepared so that the transition is as seamless as possible.