For more information about Luxoft, visit www.luxoft.com www.luxoft.com/financial-services/
case study 13.09.2012
Basel II Reporting and Compliance Solution Summary Develop a system for improved calculation and reporting of risk-weighted assets (RWA) for Basel II compliance.
uu Client: A top ten global investment bank uu Business Area: Regulatory Reporting and Compliance, Risk Management, Middle Office uu Asset Classes: Commodities, Equities, Equity Derivatives, Fixed Income, FI Derivatives, FX, Loans uu Technology Set: Oracle, Informatica, J2EE, Cognos uu Integration: Worldwide trade and valuation data providers; accounting, regulatory and risk management applications uu User Profile: Finance and Financial control uu Geography: Worldwide uu Relationships Status: Ongoing ODC, T&M uu Services Provided: Full cycle: Business analysis, Development, QA/Testing, Maintenance uu Team Size: 30+ team members (Luxoft) uu Duration: 3+ years development and ongoing maintenance
Business Challenge Changes to the Basel II risk framework in 2008 compelled the bank to begin an initiative to upgrade its risk-weighted assets calculations and reporting to comply with the new regulatory requirements and for better capital management to support trading activities. The bank’s existing RWA processes were highly manual and timeconsuming, limiting the ability to actively manage projected RWA and requiring significant and unprofitable capital buffers in order to be aligned with regulatory requirements. The bank recognized the need to automate data collection to support the new risk calculation and to facilitate timelier reporting to achieve the main strategic objective to lower capital requirements by: uu Implementing a more sophisticated risk calculation model uu Providing for more frequent revaluation To support the strategic goal, the technology solution had to meet these high-level objectives: uu Automated data collection of all attributes required for RWA calculation maintained in a central, unified repository uu Increase the frequency of the Basel II RWA calculation from monthly to weekly
Luxoft Delivered Solution The Luxoft team used an iterative approach to deliver critical business functionality faster. The following features were deployed on a monthly release schedule: uu Implementation of a unified data repository for consistent RWA calculation and reporting uu Automated, consolidated data collection for trade capture and valuation into a single, straight-through process uu Validation and monitoring of all incoming data using rule-based analysis for quality and exception alerts
Luxoft - Case Study
02
uu Web-based interface for manual reconciliations and adjustments to data quality exceptions uu Multiple file formats are accepted for inbound data feeds uu Customized, flexible, downstream reporting tools for credit risk and IFRS 7 disclosures Luxoft successfully built a comprehensive, flexible, and scalable solution to that would allow for the addition of new upstream and downstream systems with minimum effort and cost. The main technologies applied were Informatica for ETL, Oracle databases, a Java coding platform, and Cognos for reporting. Despite the complex organizational structure of the project team consisting of bank employees, multiple vendors and the Luxoft team, the project was delivered on time and within budget. Figure 1: System Architecture for Basel II Calculation and Reporting
MESSAGE BASED FEEDS
MIXED BASED FEEDS
FILE BASED FEEDS
FTP SERVER
AI2
AI2
FEED HALDER(2)
FEED HALDER(2)
FEED CONSTRUCTION LAYER
FEED HALDER(N)
FEED STUBMSG
FEED STUBMSG
TABLE(1)
TABLE(2)
TABLE(N-1)
TABLE(N)
PRE-STAGING AREA(TEXT, DATA, SOURCE SPECIFIC STRUCTURE)
TABLE(1)
TABLE(N-1)
TABLE(1)
TABLE(1)
COMMON STAGING AREA (TYPIFIED DATA, SOURCE SPECIFIC STRUCTURE)
CORE FIELD LIST SPECIFICATION (CFL)
CHUNKS
GCDS+TE
IDS (INBOUD DATA STORE) (FCL, DATA STRUCTURE)
DOWNSTREAM SLICES
ODS (OUTBOUND DATA STORE)
VALIDATION
DOWNSTREAM VIEVS
Luxoft - Case Study
03
Benefits With Luxoft’s technical expertise and advanced business domain knowledge, the client realized the following benefits: uu Lowered capital requirements resulting from the transition to a Basel II risk model and more frequent revaluation uu Significantly improved data quality and availability by removing manual processes and providing rule-based governance of the incoming data uu Substantially improved capacity for both current and future business needs with a flexible, scalable, and costeffective architecture uu Boosted performance and facilitated better decision-making via straight-through processing of trade capture andvaluation data
Customer Feedback Detailed feedback will be provided on request.
Luxoft - Case Study
04
About luxoft
Luxoft, a principal subsidiary of IBS Group, is a provider of advanced application and software engineering outsourcing services for global and regional enterprises. Luxoft builds partnerships with its clients, such as Boeing, IBM, Deutsche Bank, UBS, Harman, Avaya, Alstom, and Sabre, based on the culture of engineering excellence, innovation, and deep domain expertise. Luxoft offers international delivery capability through its network of state-of-the-art delivery centers in North America, Eastern Europe, and Asia. Luxoft`s customers benefit from the right mix of technology skills, industry knowledge, proprietary processes and methodologies, and a choice of engagement models. For more information about Luxoft, visit www.luxoft.com www.luxoft.com/financial-services/
Š 2012 Luxoft