Calypso Calypso Capital Markets provides a comprehensive cross-asset front-to-back solution for trading, risk management, processing and accounting – all on a single platform. Calypso’s real-time multi-tiered open architecture delivers low-latency high-performance straight-through processing across all assets classes for both cleared and bilateral trades.
Calypso’s Front Office XVA solution delivers unprecedented unification of pricing, risk and collateral for cleared and bilateral trades on a single trading framework. Front Office XVA calculates the all-in price including credit, debt, margin, funding and liquidity value adjustments (CVA, DVA, MVA, FVA, LVA – collectively, XVA). The all-in price reflects fair value mark-to-market of each trade versus the existing portfolio, enabling accurate deal pricing, P&L, risk allocation, book running and funds transfer pricing per trade. Consistent enterprise-wide pricing in turn supports optimal risk-taking and hedging, improves P&L accuracy and enables efficient allocation and usage of capital across business units.
With finite pools of liquid assets increasingly driving hedging and capital usage decisions by banks, Calypso Front Office XVA ensures trading and pricing accurately reflect all risks – market, credit and liquidity. Capital intensive positions can be identified, restructured, unwound or sold. Collateral and netting – integral to all-in pricing – are optimized.
Benefits include a single cross-asset front-to-back platform for trading and risk, full XVA pricing (including CVA, DVA , FVA, LVA, MVA), all-in pricing for cleared and bilateral derivatives, elimination of fragile data feeds and complex synchronization tasks, pre-trade risk analytics and near real-time performance.