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CLIENT CASE STUDY


Eurex: OTC derivatives using Calypso

Eurex Clearing wanted to design and build a new risk management solution to meet the unique risk characteristics of credit default swaps.

Overview

After selecting Calypso Technology’s core platform and Enterprise Risk System, Eurex Clearing next looked for a design and implementation partner. With Accenture’s help, Eurex Clearing has been able to offer its clients a clearing functionality for OTC derivatives in just four months. Eurex Credit Clear significantly strengthens the client’s clearing capabilities with a sound, reliable and flexible engine to deliver central clearing initially for credit derivatives and subsequently also for further over-the-counter traded asset classes.

Eurex Clearing is one of the world's leading Clearing Houses, offering fully automated and straight-through post trade services for derivatives, equities, repo, energy and fixed income transactions. Jointly operated by Deutsche Börse AG and SIX Swiss Exchange, Eurex Clearing serves more than 114 clearing members located in 10 European countries and processed more than 2.3 billion transactions in 2008.

Opportunity

In late 2008, the European Commission set a deadline to make the $592 trillion global over-the-counter derivative market less risky and more transparent for regulators and investors. This move to a system of central clearing from over-the-counter trading for credit derivatives began after the private trades contributed to a worsening of the global recession.

In its ongoing efforts to achieve high performance, Eurex Clearing wanted to design and build a new risk management solution to meet the unique risk characteristics of credit default swaps. Its goal was to create a central clearing service in eight months to meet the dealers’ self-committed July 31, 2009 deadline and ultimately offer a capability to clear OTC Derivatives over a new platform.

Solution

After selecting Calypso Technology’s core platform and Enterprise Risk System, Eurex Clearing next looked for a design and implementation partner. Eurex Clearing chose Accenture based on its nearly 20-year history of delivering successful projects for Eurex, its ability to meet challenging time frames, and its deep skills with Calypso technology, trading architectures, risk management systems and credit derivatives.

Accenture led the project through its full life cycle for the new credit derivatives clearing platform, Eurex Credit Clear. After finalizing the integration and reporting architecture, Accenture took lead roles in building, testing, deploying and maintenance for the new platform. Accenture’s staggered approach to the implementation for the proof of concept, early risk mitigation and rollout was a key feature for Eurex Clearing.

By leveraging its Capital Markets Center of Excellence, Accenture was able to begin the proof of concept one day after signing the agreement and mobilized an experienced team and the necessary infrastructure in less than a week. The Center contains Accenture solution accelerators developed around Calypso software, including an installation and configuration framework, a comprehensive test and quality framework and a ready-to-use development environment that helped enable the quick start to the project. The project team also leveraged Calypso Fast-Track, a market standard solution aimed for controlling the costs, risks and timelines associated with implementing new trading and risk applications. The Center hosted the development and testing environments for the Eurex Credit Clear solution and provided functional and technical skill sets and configuration management.

Results

With Accenture’s help, Eurex Clearing has been able to offer its clients a clearing functionality for OTC derivatives in just four months. Eurex Credit Clear significantly strengthens the client’s clearing capabilities with a sound, reliable and flexible engine to deliver central clearing initially for credit derivatives and subsequently also for further over-the-counter traded asset classes. It offers the benefits of central counterparty clearing to the OTC derivatives market and thereby improves market safety and integrity.

The deeply skilled resources and proven assets within Accenture’s innovative Capital Markets Center of Excellence enabled the platform to be developed in an extremely short time frame and with a scope that was changing frequently in response to market requirements. With a clearing platform that is enhancing transparency and regulatory reporting as well as reducing systemic risk for the financial market as a whole, Eurex Clearing has taken another step to maintain its position as a high-performance business.

Industry & topics highlighted

Capital Markets