The release of Version 9.1.4 will provide specific enhancements to pricing, risk management and operations to support the new contracts.

Rohan Douglas, CEO of Quantifi, says, "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 8th 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."

Quantifi Version 9.1.4 includes new developments to support SNAC CDS trading, including:

• The new 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 accurately pricing CDS and related products going forward
  
• 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

"As the CDS market continues to rapidly evolve, firms need to have the proper pricing and risk analytics to support their trading," says Douglas. "We are working closely with our clients to make sure they are staying ahead of new market developments. Quantifi is committed to continuously introducing cutting-edge analytics as we maintain our position as a true industry leader."