Quantifi, who provide modelling, risk and pricing tools for the credit derivatives market have announced that they are bolstering their offerings by including LCDS (Loan-only credit default swaps) and Synthetic CLOs (Collateralised Loan Obligations) in their asset coverage. Driven, I would imagine, by the rapid rise of LCDS following the introduction of the LCDS index (LCDX) they will now offer users the ability to price and model these as well as tranches of Synthetic CLOs.

I am a big fan of Quantifi's software - made as it is by some ex-industry professionals who know exactly what they are talking about and exactly what the market needs (the same cannot always be said of all software vendors in this area). They have (and the above is available in) a couple of products in this area. One is called XL and is (as the name suggests) an Excel add-in for trader and Quant spreadsheets. The other is called the Toolkit that is an application that contains their many models that can then be downloaded to other systems. The Toolkit is the base of their XL product as well as the other services they offer (like Risk analysis). I believe they also now offer an ASP analytics service too.

Quantifi, though designed for capital markets participants, is making inroads into the buys side. However, much as I like and admire the company, I am not convinced of its shelflife in its current form. Buy siders tend to like large overarching software and quail at the thought of large numbers of highly specialised applications floating around in the ether. My guess is that these guys will sooner or later be bought out and "integrated" into other, larger platforms. However - if you work for a buy side institution, are a quant and are in need of some groovy tools for your credit derivative modelling and analysis, then I would highly recommend this vendor.