Calypso Fixed Income

Financial Institutions are aligning their trading desks for a consolidated view across instruments, especially credit products. Banks are pressured by the quick pricing required by fixed income instruments and the need to view risk aggregated across all products. Simple spreadsheets and stand-alone systems that are not easily integrated cannot support these growing needs.

Calypso integrates fixed income trading and trade processing from vanilla products through to more complex instrument types, such as structured credit. Products such as government bonds, emerging markets, ABS, MBS, collateral repos, securities lending, fixed income derivatives and more, are supported by Calypso.

Integrated Fixed Income Trading

Calypso’s bond pricing sheet provides a variety of ways to price securities, maintain positions, and define how to price bonds by reference benchmarks or off other instruments. Calypso supports the trading of fixed income products with their corresponding interest rate and credit hedges into one packaged deal.

Risk Measures

Calypso has a comprehensive suite of risk metrics, including duration complexity, asset swap spreads, adjusted basis and interpolated credit default swap (CDS) spreads

Links to Settlement Orginizations

Calypso has SWIFT message-based clearing interfaces for settlement of Fed-eligible and DTCC-eligible securities through Bank of New York; Euroclear and Crest; and links to the Government Securities Clearing Corporation (GSCC) for automated clearing and settlement of US fixed income trades.