Credit Derivatives

When it comes to insurance that a a trade agreement will be protected in the event of default by a counterparty, credit derivatives are the financial instrument of choice across the global marketplace. Calypso® Credit Derivatives solution is the recognized market leader for all credit derivatives activity. With the industry’s first out-of-the-box market standards for real time intraday risk and P&L on-the-fly configuration, allocation, analytics, and the ability to trade the latest products, such as credit default swaps on asset-backed securities and loan total return swaps, as well as interfacing to the complete market ‘ecosystem’ for data feeds, trading and processing.

Like all our products, Calypso Credit Derivatives leverages the power and flexibility of our powerful thin-client – Calypso Workstation – integrated with a 3-D visual package, which allows traders the ability to view, create a trade strategy of top winners/losers, reference entity, etc., based on real time virtual scratchpads with drill downs to the underlying instruments.

Calypso gives traders greater flexibility in structuring, pricing and packaging of new products across asset classes. Traders can design templates for new products that include combinations of underlying instruments and exotic structures without programming. Traders define a simple trade entry sheet with validation rules for the package. The user defines the real time frequency rate of how often financial data is pulled from the calculation server to the presentation server for display and analysis. The result: Firms shorten time-to-market for new products while reducing errors, enhancing compliance, risk management and productivity.

Calypso supports trade lifecycle coverage with comprehensive risk exposure analysis, collateral management, accounting, and compliance smoothly tied in. Calypso supports straight-through processing and reporting for complex credit derivatives. Trade affirmations and confirmations are handled via interfaces to T-Zero/DTCC; outstanding confirmations are tracked automatically. Calypso fully supports terminations and PCC Novations, the latter using ISDA’s 2005 Novation Protocol and ISDA Novation Protocol II. Full integration of Markit RCD provides the necessary static data.