Pierpont Derivatives Goes Live With Calypso

Stamford, Connecticut-based broker-dealer Pierpont Derivatives has gone live with Calypso Technology's platform to support the launch of a new swaps trading business. The platform is being employed for trade pricing and capture, consolidated P&L, and risk management for interest rate swaps, futures and treasuries.

Pierpont says it selected the Calypso system based on its front-office functionality for OTC derivatives and other capital market products, as well as its central clearing capabilities and integration with swaps market participants. It wanted Calypso's core OTC derivatives valuation support and flexibility, especially as it continues to build out its proprietary models.

"Speed to market was absolutely crucial due to how quickly the swaps market is changing," says Akshay Das, managing director and head of derivatives at Pierpont. "We needed an innovative technology solution that could comprehensively support the launch of our new business─as well as allow us to enter new derivatives trading markets in the future."

The post-crisis changes in the swaps market include an industry shift in interest rates swaps pricing, including a move to Overnight Indexed Swap (OIS) discounting from LIBOR discounting. Calypso enables Pierpont to clear, directly and centrally, its interest rate swaps through its clearing broker, or futures commission merchant (FCM), on CME Clearport and the SwapClear platform of LCH.Clearnet through a MarkitWire interface.