The bank says the platform, called Merlin, which it has used internally since 2006, enables clients to structure, price and execute complex, multi-legged exotic option transactions online, as well as vanillas.
The platform, which is completely automated, works on a request-for-quote basis. The bank says that it takes on average just 15 seconds to obtain a price on even the most complex structures. Credit Suisse says it has already auto-executed structures containing more than 150 legs and that the platform has significantly enhanced its capacity to trade and process exotics.
Merlin is aimed at the clients of the bank’s clients, and Credit Suisse says it is an integral part of its strategy to differentiate itself. “Credit Suisse has very strong quant capabilities, as well as in trading exotics. With Merlin, we’re looking to cater for more niche, value-added areas of FX. We feel that by offering online trading of structured exotic FX options, we are adding another high value and unique service to our suite of eFX products,” says Ian Green, the bank’s head of algorithmic and electronic trading for fixed income and foreign exchange.