Nasdaq Calypso

    [NEW] Mauritius Commercial Bank Case Study
    Read the case study
    M-ELO hero image
    FT - Calypso Middle-Office
    FT - Calypso Middle-Office

    Nasdaq Calypso Middle Office & Trading Risk

    Integrated risk analytics and compliance management for faster and better trading decisions

    Firms are trading ever larger derivatives volumes as they address new market demands and incorporate financial innovations.

    Get In Touch

    The cost and complexity of trading are increasing driven by larger trading volumes and new regulations such as Basel III’s FRTB and SA-CCR, in addition to existing XVA spread and margin requirements. In this challenging environment, it is a strategic imperative that firms can estimate – during the pre-trade phase – the impact of a trade on their market-, counterparty credit-, or liquidity risk profiles. Having this intelligence prior to executing a trade is key to running a profitable and compliant trading business.

    Market Risk Solution

    Our cloud-enabled platform enables users to benefit from a real-time, 360° view of trading portfolio risk profiles underpinned by comprehensive internal and regulatory credit, market, and liquidity risk analytics.

    In addition to generating official end-of-day (EOD) metrics and reports, we enable intraday risk monitoring, real-time pre-deal limits checks, what-if simulations, and stress scenarios. We provide a risk, P&L and liquidity management solution for cross asset, cleared and uncleared businesses. It allows users to better price and hedge their risk exposures and to forecast their funding and capital needs. With our middle office and trading risk platform you can optimize profitability in a world of volatile markets and ever-changing regulatory environment.

    FT - Calypso Middle-Office infograph

    Nasdaq Middle Office & Trading Risk Features

    Market Risk Analytics

    We provide a complete range of intraday and EOD analytics to assess your portfolio market risk and provide corresponding metrics to regulators.

    402 Security Finance

    Natively integrated with our front-office solution, these analytics enable consistent FO pricing and risk measures.

    Key risk metrics include:

    • VaR and expected shortfall (ES) models: parametric, historical, and Monte-Carlo
    • Stress MTM, P&L, sensitivities, scenarios and risk attribution
    • Configurable confidence levels, EWMA filtering, kernel smoothing
    • Incremental, marginal, upside VaR, what-if
    • Absolute and relative VaR vs.reference benchmark
    • Backtesting using hypothetical or actual P&L approaches

    Key market risk analytics for FRTB include:

    • Centralized calculations across trading systems
    • Regulatory delta, vega, and curvature sensitivities
    • Default risk charge and residual risk add-ons
    • Support of national/jurisdictional discretions
    • UMR- and FRTB-compliant backtesting

    Key risk metrics include:

    • VaR and expected shortfall (ES) models: parametric, historical, and Monte-Carlo
    • Stress MTM, P&L, sensitivities, scenarios and risk attribution
    • Configurable confidence levels, EWMA filtering, kernel smoothing
    • Incremental, marginal, upside VaR, what-if
    • Absolute and relative VaR vs.reference benchmark
    • Backtesting using hypothetical or actual P&L approaches

    Key market risk analytics for FRTB include:

    • Centralized calculations across trading systems
    • Regulatory delta, vega, and curvature sensitivities
    • Default risk charge and residual risk add-ons
    • Support of national/jurisdictional discretions
    • UMR- and FRTB-compliant backtesting

    XVA

    Adobe stock photography of digital light streams on a dark background.

    We provide real-time, intraday, and EOD XVA metrics to support your trading, accounting, hedging, and regulatory reporting.

    Key features:

    • Single pricing layer between XVA software and front office
    • Fully consistent with our front-office pricing engine and collateral functionality
    • One set of CSAs and legal agreements shared with back office (BO) and collateral functions
    • Performance accelerated by mathematical optimization

    XVA metrics:

    • Risk-neutral and real-world calibration models
    • LMM and Hull & White diffusion models
    • Marginal and pre-trade incremental XVA
    • Post-trade XVA optimization
    • XVA sensitivities for Basel III’s FRTB SA-CVA
    • XVA software explained

    Key features:

    • Single pricing layer between XVA software and front office
    • Fully consistent with our front-office pricing engine and collateral functionality
    • One set of CSAs and legal agreements shared with back office (BO) and collateral functions
    • Performance accelerated by mathematical optimization

    XVA metrics:

    • Risk-neutral and real-world calibration models
    • LMM and Hull & White diffusion models
    • Marginal and pre-trade incremental XVA
    • Post-trade XVA optimization
    • XVA sensitivities for Basel III’s FRTB SA-CVA
    • XVA software explained

    Initial Margin

    We deliver a comprehensive margin calculation solution for all instrument types covering ETD, OTC cleared, and OTC bilateral trades.

    Adobe stock photography of digital light streams on a dark background.

    Our margin calculations can be used for more than 50 exchanges at every stage of the trade lifecycle and for stress testing.

    Key features:

    • Native integration with our clearing and collateral management solutions enables an end-to-end collateral workflow
    • Compliant with Basel III UMR regulation
    • Latest ISDA SIMM and schedule/grid methodology
    • AANA computation
    • UMR dynamic and static backtesting
    • ICE IRM 1.0 and 2.0
    • CME SPAN and SPAN 2
    • EUREX PRISMA

    Key features:

    • Native integration with our clearing and collateral management solutions enables an end-to-end collateral workflow
    • Compliant with Basel III UMR regulation
    • Latest ISDA SIMM and schedule/grid methodology
    • AANA computation
    • UMR dynamic and static backtesting
    • ICE IRM 1.0 and 2.0
    • CME SPAN and SPAN 2
    • EUREX PRISMA

    Counterparty Credit Risk Analytics

    Nasdaq Calypso Front Office

    We deliver a complete range of analytics that enable you to assess the credit and counterparty risk of your transactions through the complete trade lifecycle.

    Key features:

    • Exposure at default (EAD) measures based on CEM, SA-CCR, and Monte-Carlo PFE methodologies
    • Native integration with our front-office (FO) solution for consistent derivatives pricing
    • Collateral information to enable comparison of collateralized and uncollateralized exposures
    • Marginal allocation of a portfolio EAD per netting set and per trade

    Key features:

    • Exposure at default (EAD) measures based on CEM, SA-CCR, and Monte-Carlo PFE methodologies
    • Native integration with our front-office (FO) solution for consistent derivatives pricing
    • Collateral information to enable comparison of collateralized and uncollateralized exposures
    • Marginal allocation of a portfolio EAD per netting set and per trade

    Profit & Loss

    We enable cross-asset P&L metrics, from intraday live P&L analytics, to EOD official P&L, combined with limit and compliance checks.

    Nasdaq Calypso 311 Integration 101

    Our front-to-back integrated platform standardizes and reduces operational burdens associated with P&L production and enables consistency of EOD and intraday live P&L.

    Key features:

    • EOD official P&L
    • Live P&L
    • P&L explained and attribution metrics
    • Actual and hypothetical P&L for backtesting
    • End of Day and real-time pre-deal check stop loss limits
    • Cloud ready

    Key features:

    • EOD official P&L
    • Live P&L
    • P&L explained and attribution metrics
    • Actual and hypothetical P&L for backtesting
    • End of Day and real-time pre-deal check stop loss limits
    • Cloud ready

    Limits & Compliance

    Our clear, consistent implementation of internal risk control frameworks and regulatory rules enables confident intraday and EOD compliance for trade lifecycles and/or portfolio risk profiles and integrates seamlessly with our solutions front to back.

    401 UMR Solutions

    You can easily keep your trading activity within pre-defined boundaries via our intraday checks on eligibility rules and risk limits.

    Comprehensive limit monitoring

    • Complete set of limit risk metrics: Counterparty Credit Risk (CEM, SACCR, Monte-Carlo PFE), Market Risk (duration, sensitivities, VaR), Issuer Risk, Concentration Risk, Settlement Risk, Liquidity Risk and Stop-Loss
    • Baseline updates facilitate intraday and pre-trade limit processes
    • Top exposures, breaches, and exceptions tracked via dashboards

    Compliance tools

    • Dashboard
    • ESG-based rules
    • Pre-and post-trade compliance
    • Eligibility checks

    Flexible exposure measures

    • Pricers
    • User-defined formulas

    Comprehensive limit monitoring

    • Complete set of limit risk metrics: Counterparty Credit Risk (CEM, SACCR, Monte-Carlo PFE), Market Risk (duration, sensitivities, VaR), Issuer Risk, Concentration Risk, Settlement Risk, Liquidity Risk and Stop-Loss
    • Baseline updates facilitate intraday and pre-trade limit processes
    • Top exposures, breaches, and exceptions tracked via dashboards

    Compliance tools

    • Dashboard
    • ESG-based rules
    • Pre-and post-trade compliance
    • Eligibility checks

    Flexible exposure measures

    • Pricers
    • User-defined formulas

    Benefits

    Why Nasdaq Calypso Middle Office & Trading Risk?

    Natively integrated with Nasdaq Calypso's front-to-back platform

    Our trading risk metrics are consistent with the front-office pricing engine by design. This significantly reduces implementation and reconciliation time and effort.

    Regulatory analytics embedded in daily trading decisions

    With access to regulatory metrics in intraday, real-time, and pre-deal check limits,we enable you to better capture and cascade regulatory cost and guidelines inside your organization.

    Cloud ready

    Whereas our solutions can be utilized on-premises,they are designed to fully leverage the computing capabilities and benefits of a cloud deployment.

    Performant, scalable grid computing infrastructure

    We leverage state-of-the-art technologies to provide the level of performance and quick response times your front-office users expect.

    Real-time pre-deal limit checks

    We deliver the ability to concurrently check new trades prior to executing them. 

    360 holistic view of trading risk

    We provide a comprehensive view of your trading portfolios’ risk profiles that combines internal and regulatory credit, market, and liquidity risk analytics.

    Interoperability via REST APIs

    Using REST APIs, you can remotely control calls to the Nasdaq Calypso platform from other software – to produce regulatory analytics, read current limits usage, or perform pre-deal limit checks – for enhanced operating flexibility.

    Explore how the modular Nasdaq Calypso capital markets and treasury platform serves the financial ecosystem.

    Nasdaq Calypso

    Get started with Nasdaq.

    Let's start a conversation

    Interested in Nasdaq's Middle Office & Trading Risk solution? Complete this form to get in touch with our team. Let's start a conversation.

    Resource Library

    Additional Information

    Explore Additional Resources →

    FT_Case_Study_Resource_Asset

    Mauritius Commercial Bank Case Study

    Read why the Mauritius Commercial Bank chose Nasdaq Calypso to drive strategic growth, scale operations with a comprehensive front-to-back capital markets solution and accelerate its cloud journey.

    Nasdaq Financial Technology Brochure

    Nasdaq Calypso Middle Office and Trading Risk Solution

    Read about how this integrated middle office and trading risk platform makes it possible to optimize profitability in a world of volatile markets and an ever-changing regulatory environment.

    FT_Thought_Leadership_Resource_Asset

    The Basel III Endgame

    The US Federal Deposit Insurance Corporation (FDIC), the Board of Governors of the Federal Reserve System (US Fed), and the Office of the Comptroller of the Currency (OCC) jointly issued the long-expected notice of proposed rulemaking (NPR) that will revise the measurement of risk-weighted assets (RWA) and the definition of regulatory capital applicable to large banking organizations with a new framework of reforms — commonly referred to as the Basel III Endgame.