According to the company, the new software directly responds to new challenges in collateral management driven by substantial shifts in the basis markets, regulatory requirements for OTC clearing and associated margins, improved counterparty risk management, more stringent liquidity control, and demand for greater visibility at an enterprise level.
A key component of the solution is a proprietary algorithm that allows users to intuitively manage the collateral allocation process.
Calypso claims that firms can rapidly deploy optimization strategies by simply defining substitution rules, targets, constraints and real-time information governed by traders. Alternatively, users can plug in their own proprietary solvers.
The system provides clear overviews of positions, collateral requirements and allocations. Other functionalities such as the ability to analyze the cost of funding/collateral at the trade level and collateral netting enables businesses to reduce operational costs and to allocate associated transaction costs.
The solution is said to be aimed at both buy and sell-side organizations that are looking to manage their collateral management more efficiently and in real-time.
Calypso Technology director for strategy and business development David Little said the Calypso solution truly solves the many dimensions of the collateral optimization puzzle, whether the requirement is short-term tactical or long-term strategic.
