The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

Calypso Introduces Software Update for North American CDS Big Bang

In line with the rest of the vendor community, derivatives and risk management solution provider Calypso Technology has updated its solutions to accommodate the credit default swap (CDS) ‘big bang’ being led by the International Swaps and Derivatives Association (ISDA). Tomorrow, the new Standard North American Corporate (SNAC) CDS contract convention comes into force, which transforms single name CDS trades into financial instruments with trading, quoting and settlement characteristics similar to those of bonds and CDS indices.

“By providing clients with the required functionality in advance of the Big Bang event, the Calypso software is designed to enable Calypso clients to input their trades in a clean, persistent manner, as opposed to resorting to deploying workarounds that might be difficult to migrate to future versions of our software,” says Shailendra Methi, senior product manager at Calypso Technology.

According to Calypso, the software update includes all areas of credit trading including trade capture, pricing, market data, risk analysis, settlement and clearing. This encompasses the calculation of upfront fees using the ISDA standard model and the introduction of an interface with Markit to automatically update yield curves on a daily basis. It also allows users to unwind by specifying whether a conventional spread or upfront is required. With regards to risk analysis, the updated software means names are converted to to conventional spread and upfront for comparative purposes.

The new convention will mean that investment grade names will trade with a fixed coupon of 100bps and high yield names will trade with a fixed coupon of 500bps. Methi adds: “The creation of fungible CDS trades is a crucial step toward efforts to standardise the CDS market, institute central counterparty clearing for credit derivatives and help clean up systemic risk.”

Calypso’s competition has also been busy in the run up to the changes and upgrades have been made by a number of players over the last month or so, including Quantifi, CME Group-owned Credit Market Analysis (CMA), RiskVal and Markit.

Related content

WEBINAR

Upcoming Webinar: FRTB: What still needs to be done before the global deadline of January 2023?

Date: 8 March 2022 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes While implementation of Fundamental Review of the Trading Book (FRTB) regulation has been delayed twice for reasons first of complexity and second of the coronavirus pandemic, the final deadline of January 1, 2023 is less than a year away....

BLOG

CUSIP Global Services seeks new owner as regulator requires S&P Global to divest the company to progress merger with IHS Markit

CUSIP Global Services (CGS) is looking for a new owner following the European Commission’s phase one approval of the $44 billion merger of S&P Global and IHS Markit. While the merger will create a financial data and analytics powerhouse large enough to challenge market leaders Bloomberg and the London Stock Exchange Group (LSEG), including Refinitiv,...

EVENT

Data Management Summit USA Virtual (Redirected)

The highly successful Data Management Summit USA Virtual was held in September 2020 and explored how sell side and buy side financial institutions are navigating the global crisis and adapting their data strategies to manage in today’s new normal environment.

GUIDE

Practical Applications of the Global LEI – Client On-Boarding and Beyond

The time for talking is over. The time for action is now. A bit melodramatic, perhaps, but given last month’s official launch of the global legal entity identifier (LEI) standard, practitioners are rolling up their sleeves and getting on with figuring out how to incorporate the new identifier into their customer and entity data infrastructures....