Calypso Integrates Andrew Kalotay’s Financial Libraries to Provide Market-Standard Fixed Income Analytics

San Francisco, CA, July 28, 2009 – Calypso Technology, Inc, a global application software provider of an integrated trading and risk management application suite to the capital markets industry, today announced that it has integrated BondOAS™, a market standard in callable bond analytics, from Andrew Kalotay Associates, Inc. The partnership expands the automated functionality of the cross-asset, front-to-back office Calypso platform.

BondOAS™ allows the Calypso Trading and Risk Management Platform to accurately and quickly value fixed rate, step-up coupon and amortizing bonds with embedded calls and puts. Andrew Kalotay Associates is a recognized leader in capital markets analytics for their proprietary models, which produce accurate results with excellent computational speed. Calypso's integration of BondOAS will allow these market standard analytics to be used in all Calypso features including pricing, P&L analysis, risk measurement and management. BondOAS produces option-adjusted spread (OAS) given price or price given OAS, along with risk measures such as effective duration, convexity and DV01 that are instrumental in comparative valuations and hedging.

"In the current turbulent markets where speed and transparency are key, bond traders and risk managers need a reliable cross-asset platform for trading, powered by well-tested, widely accepted models. We are excited to have partnered with Andrew Kalotay to provide seamless access to market standard analytics," states Pieter Hamman, Vice President, Business Development, Calypso Technology. "Providing connectivity to leading market standard providers is an important part of our support for our customers’ objectives to achieve automated end-to-end processing."

"We are very pleased to be working closely with a market leader, Calypso Technology, to provide streamlined integration with our analytics," comments Andrew Porter, Managing Director, Andrew Kalotay Associates.

About Andrew Kalotay Associates, Inc.
Andrew Kalotay Associates, Inc. is a leading provider of high-precision, high-speed fixed income analytics and debt management advisory services. AKA’s clients include banks, trading and risk management software vendors, data service providers, rating agencies, asset management firms, as well as fixed income exchange traded fund (ETF) sponsors. The firm is soon to receive a patent for its CLEAN™ MBS valuation and prepayment model.