Calypso Credit Derivatives

From the high volume flow business to the increasingly innovative structured credit, credit derivatives volumes and revenue have shown dramatic increase in recent years. Creativity has increased on structuring desks, with more sophisticated bespoke products now being offered to clients. Market standards have progressed and regulatory bodies, such as the Federal Reserve, have put increased scrutiny on the processing and confirmation of credit derivatives. Financial institutions need a system that can handle high volumes efficiently as well as the complexity of structured credit.

Automation for the Flow Business

Calypso handles large volumes of vanilla credit derivative products and underlying credit curves. Trades flow seamlessly from electronic trading platforms or from the deal capture screen through to the back office in a streamlined, automated fashion. Trades entered in T-Zero can flow into Calypso® in an automated fashion via a built in interface. Rule-based template defaulting enables to quickly enter trades in a couple of key strokes. Calypso is fully integrated with Markit partners for static data (RED Entities, CDS Index) and market data (spreads, tranche quotes).

Advanced Product Handling for Structured Credit

Calypso supports a wide range of structured products. Numerous instruments are supported out of the box for deal capture; more complex products can be structured within the system with support for several market standard pricing models and in-house analytics. A portfolio can be quickly delta hedged and all the hedge trades created in an automated fashion.

Integrated View of Market Data, Risk and P/L in Real Time

Calypso provides the ability to view all the credit curves, see the various sensitivities to each curve (Delta, Gamma, 10% spread widening, Bucketed Delta etc.) and calculate the predicted P/L in real time. Traders can quickly update the marks by retaining the curve shape and see their estimated P/L.

Superior Credit Risk Management

Calypsos rich functionality for risk management enables real-time risk analysis for credit derivatives. Users can shift spreads, correlation, recovery rates, simulate defaults and view the impact on trades and portfolios with Calypsos pre-deal analysis functionality. The risk can be aggregated in multiple ways (Industry/Sector/Rating) and can be drilled down to the lowest level (Trade/Curve).

Complete End-to-End Trade Lifecycle Coverage

Calypsos Back Office solution supports the processing of complex credit derivatives. Credit events can also be managed by Calypso as they occur. Outstanding confirmations are automatically followed up with a chaser message as required. ISDAs 2005 Novation Protocol is supported. Interfaces to DTCC and Swapswire and integration of Markit RED complete the standard market requirements.