Following recent upgrades by its competition, analytics and risk management solution vendor Quantifi has released a new version of its solution to support the impending changes to the North American credit default swap (CDS) market. Rohan Douglas, CEO of the vendor, explains that Version 9.1.4 of its solution has been released to support the new Standard North American Corporate (SNAC) CDS, which is set to begin trading on 8 April.
The new version will provide specific enhancements to pricing, risk management and operations to support the new contracts, says the vendor. “There are profound changes occurring in the CDS market as part of the International Swaps and Derivatives Association (ISDA) CDS ‘big bang’. As these changes will have a significant impact on existing modelling and trading infrastructure, support for these new contracts before they begin trading on 8 April 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,” claims Douglas.
Accordingly, Quantifi Version 9.1.4 includes the new ISDA CDS Standard Model to convert spreads to upfront fees and to calculate exact settlement payments. It provides support for the 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 accurately pricing CDS and related products going forward, says the vendor.
The also provides the ability to calculate hedges and sensitivities based on the SNAC contract, as well as 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, is also available in the new version.
“As the CDS market continues to rapidly evolve, firms need to have the proper pricing and risk analytics to support their trading,” adds Douglas.
This month, Quantifi’s competitors have also accounted for the changes to CDSs in the US market. Last week, CME Group-owned Credit Market Analysis (CMA) upgraded its OTC credit market price discovery service QuoteVision, price verification data service DataVision and Analytics product sets in order for its clients to transition to the new standards. A couple of weeks ago, Markit launched a CDS data and information portal along with a free online calculator that converts CDS spreads into the new upfront quoting convention. RiskVal launched a similar calculation feature in the same week.