Valuation Services Platform

Many financial firms are seeking an easy and quick solution for valuing and managing their portfolios of OTC derivatives and structured products. Over time, firms have seen an increase in outstanding notional of OTC derivatives and thus increased counterparty risk. Margin agreements requiring daily reconciliation are now the norm. To respond to new demands for transparency from counterparties, regulators, auditors, and investors, financial firms need a true cross-asset solution.

Calypso Valuation Service for OTC derivatives and structured products delivers comprehensive product coverage and functionality. Trades of any asset class (FX, Equity, Credit, Interest Rates, and Commodities) can be manually captured or automatically uploaded into a Calypso database along with static and reference data available from major vendors. Market value and profitability (NPV, accruals, P&L, and cash figures) and analytics (Greeks, duration and yield curve sensitivities) are computed using both proprietary and external models.Values can also be based on counterparty marks. Positions can be broken down by book, portfolio, fund, strategy and other available classifications (for example, sector, industry, counterparty, credit rating, maturity, or index). Reports are available on-demand both intra-day and end-of-day to meet any required time schedules.

Customer benefits:

• Full and timely portfolio valuation – using market standard models-is available for sharing with managers, investors and regulators
• Scalable solution that can grow as portfolios grow
• Calypso’s broad coverage enables rapid delivery of new products to your clients
• A deployment solution for any business model: on-site or SaaS