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OTC derivatives: Advancing evaluated pricing

Jayme Fagas
Jayme Fagas
Global Head, Valuations and Transparency Services, Refinitiv

Evaluated pricing in OTC derivatives has been enhanced thanks to a partnership combining our pricing data with Calypso technology.

  1. Independent valuations are vital to ensuring transactions in OTC derivatives are executed at the best price available.
  2. Using Calypso applications, our Pricing Service offers benefits in terms of scale, accuracy and consistency.
  3. Clients can submit almost limitless numbers of derivatives at one time, whilst also being certain of meeting regulatory compliance requirements.

In a fast-evolving financial market environment, investment professionals need to ensure they consistently execute transactions at the best price available.

For many in the vanilla derivatives space, independent valuations play a growing role in ensuring they do so, backed by the most reliable data, cutting-edge modeling and a range of portfolio services.

Speaking with colleagues at the recent Calypso Client Conference, I was struck by the enthusiasm with which market participants are grappling with challenges in obtaining the best possible price for over-the-counter (OTC) derivatives.

There was a clear appreciation of the need to ensure price accuracy and to leverage the latest tools and technologies to stay ahead of the curve on evaluated pricing.

Calypso partnership

With that in mind, I was proud to showcase the recent collaboration between Calypso and our Pricing Service.

This partnership has resulted in enhanced vanilla derivatives pricing that we hope reflects the priorities of derivatives users in an increasingly competitive environment.

With the use of Calypso applications, our Pricing Service can now deliver top-quality evaluated pricing through the use of best-in-class modeling, all based on our market-leading data.

The partnership has come at exactly the right time.

Swathes of derivatives regulations have come into force over recent years and there are more on the horizon.

The improved and enhanced Pricing Service pricing enables clients to meet regulatory and reporting requirements across all major global derivative markets.

Evaluated pricing

The new collaboration brings three significant enhancements on previous iterations — scale, accuracy and coverage, and consistency.

  • Scale — Bulk uploading capabilities mean our Pricing Service can now handle high instrument volumes far more swiftly.
  • Accuracy and coverage — More robust financial libraries are available that will result in increased accuracy and coverage.
  • Consistency — our Pricing Service will continue to use our Market Data for price calculation, as it is already a preferred market data source on Calypso.

New Calypso applications powering the service mean clients can submit almost limitless numbers of derivatives at one time, uploading in bulk based on a single easy-to-use, system-readable XML template.

Comprehensive model libraries, meanwhile, allow them to be confident they are receiving the most accurate evaluated pricing for a huge range of swaps and structured notes.

Regulatory compliance

Our unparalleled data integrity and transparency guarantees that derivatives clients can be certain of a consistent service, and can meet their regulatory compliance requirements with ease.

The overall result is market-leading independent pricing for valuing portfolios, optimizing risk, and supporting compliance and trading workflows.

New ways in which our Pricing Service and Calypso can work together are being discussed, including calculations of Greeks, Initial Margins and other derived data.

Stay tuned for additional asset classes and new derived data in the coming months.

Discover more about our Evaluated Pricing Data