cds matrix pricer

What is it?

CDS Matrix Pricer is a unified solution designed to meet curve-marking and linking requirements of all Credit desks. It was developed using Credit Technology solutions such as Dependency Language (DL) for rapid development and ControlFreq for scheduling.

Why use it?

Key Strengths:

• Marks curves in different forms (spread, price, upfront and fixed coupon)
• Links curves at the curve level as well as individual tenor level
• Shows ICE levels for T-1 and T, as soon as they become available
• Shows all curves failing to build through its failure viewer component, thereby minimizing EOD risk issues
• Shows levels for curves from different sub-businesses and benchmarks as needed
• Publishes real-time updates to DSP and makes them available to risk systems, such as GXS and MARS
• Receives real-time recovery updates

New features

• Uses Curve Key instead of short code for Identification and benchmarking
• Defines relationships with Excel‐like formulas
• Prevents negative levels (on par spread and fixed coupon curves) from flowing to MARX.
• Marks curve failures in red and displays error messages
• Displays a list of failed curves on a pop-up window
• Has curve and tenor-level relationships for every tenor
• Shows relationships across tenors within the same curve
• Displays ICE levels in curve analyzer
• Allows marking by price
• Remembers shape preferences ( ‘+’ or ‘ x’ )
• Allows configurable shape applicability (change to tenors based on 5Y)
• Allows index marking only for standard maturities; all other index marking is disabled

How it works

CDS Matrix Pricer has replaced the curve pricer component in A+. New features and enhancements add to its scope and functionality. Here’s a comparison.

Enhancement	CDS Matrix Pricer	A+ Curve Pricer
Overnight price curves	Maintains price curves	Shows price curves as par spreads
Curve level differentiation	“Curve Level” flag	“Copy Levels”
Curve publishing	Publishes levels of all the curves	Curve needs to be closable for the levels to be published
Markit curves for indexes	Displayed	Not displayed
Index strikes	Displayed on the blotter (as well as curve analyzer)	Not displayed on the blotter
Interpolated midpoints	Configurable show/hide options	No show/hide options
Displays last updated date	All the time	Displays current date only
Benchmark spread between level tag conversions	Preserved to the granular tenor level	Only at 5Y