Calypso eXSP

In the current low yield environment, higher margins and new revenue are coming from innovative structured interest rate products. However, the fast pace of innovation make exotic structured products difficult to capture, price and process. To handle the complexity in risk management and processing of these instruments, which have rapidly outgrown spreadsheets, a solution is required that can handle the product through its lifecycle. Calypso has broad product coverage for exotic structures including Target Redemption Notes, Snowballs, Power Reverse Dual Currency, and Range Accruals, among many others.

Flexiblity for Product Definition & Structuring

Exotic structured products can be easily defined in Calypso by using the eXSP™ structuring tool. Exotic variables in Calypso eXSP™ enable the simple creation of payoff formulae for any type of hybrid product. These formulas can be derived from a combination of floating rate indicies, FX rates, equity prices or user defined indicies as well as instrument specific terms.

A Single Structure Through the Entire Trade Lifecycle

The Calypso eXSP™ trade worksheet presents all the details of the exotic structured product in a standard trading environment. Any product entered is retained as a single structure throughout the trade lifecycle. By the creation of formulae, trade attributes can be calculated to enable trade capture, risk management and processing of the whole instrument to take place in the Calypso® system.

Market Leading Analytics

Calypso offers a number of options for analytics for exotic structured products. Users can incorporate proprietary in-house analytics into the solution. In addition Calypso eXSP™ has pre-integrated models from NumeriX® for structured product pricing analytics.