Calypso releases CDS fixed coupon support for CDS Big Bang

As per the new convention, investment-grade names will trade with a fixed coupon of 100bps and high-yield names will trade with a fixed coupon of 500bps. The update covers all areas of credit trading including trade capture, pricing, market data, risk analysis, settlement and clearing. Enhancements include: - Trade capture using SNAC conventions (fixed coupon and full coupon) - Calculation of upfront fees using the ISDA standard model - Yield curve - Interface with Markit to automatically

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