case-study-commodity-pricing-banking-luxoft-for-top-ten-global-investment-bank

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For more information about Luxoft, visit www.luxoft.com www.luxoft.com/financial-services/

case study 13.09.2012

Commodities Pricing and Risk Management System Summary The bank’s front office, middle office and operations department use the system for trading and risk management in the field of commodities.

uu Client: Top 10 Global Investment Bank uu Business Areas: Trading, Risk Management, Pricing Analytics, Position Monitoring, Market Data and Exchange Connectivity uu Asset Class: Commodities uu Technology Set: Openlink Endur, Oracle, TIBCO Rendezvous, IBM MQ Series, C++, J2SE, J2EE, JMS, Crystal Reporting uu Integration: Reuters, LIM, SWIFT, NYMEX, ICE & Globex trading gateways uu User Profile: Front Office, Middle Office and Operations (3000+ users) uu Geography: US, EU uu Relationships Status: Ongoing ODC, T&M uu Services Provided: Full cycle: Business analysis, Development, QA/Testing, Maintenance with production support uu Team Size: 10 team members uu Duration: 2 years


Business Challenge The client’s corporate and investment banking (CIB) business faced the challenge of managing trading transactions across multiple commodity markets affected by significant volatility in energy prices, the emergence of electronic trading hubs, and new regulatory requirements. The bank’s existing transaction management system had limited functionality and could not effectively support the business needs. Facing tight deadlines to enhance the system and lacking IT resources, the bank was looking for a partner with the domain knowledge, technology expertise, and a capacity to provide a secure development environment. The bank was also looking for resources experienced in OpenLink technology. The primary business goal was to significantly decrease timeout between the requests of new features and enhancements for OpenLink system coming from application users and the implementation and delivery of solutions without compromising quality.

Luxoft Delivered Solution Luxoft began development of the solution, meeting stringent requirements for data and IP protection in the established for the bank offshore development center. The platform’s new functionality enabled the bank to manage transactions across multiple commodity markets including Crude Oil and Refined Products, Electricity, Natural Gas & NGLs, and Coal. The solution supports both exchange-traded derivatives (ETD) and over-the-counter (OTC) instruments such as futures, options (vanilla and multiple exotics, including Asian, Digital, Barrier and many others), option strips and swaps. The services provided by Luxoft included: Implementation of additional functionality in a Transaction Management system: uu Pre-processing of deals (including deal verification) uu Post-processing of deals uu Reporting The new Transaction Management system includes the following enhancements: custom deal entry screens, custom validations, credit/risk checks, generating of SWIFT messages. The system interfaces to commodity Luxoft - Case Study

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exchanges, market data vendors, accounting and settlement systems, as well as to any custom application on the client side. The solution supports multiple exchanges including ICE, NYMEX, Globex and CME. Quantitative and analytic services: uu Incorporation of custom pricing tools and calculators uu Development and integration of proprietary and/or third party valuation models. Development and integration of a sophisticated position keeping and risk reporting solution: uu Open position and trade reports uu Realized, unrealized and historical profit & loss (P&L) statements uu Mark-to-market (MTM) value reports uu Greeks and Greeks distribution reports uu Cash flow and settlement reports uu Trade tickets and confirmations uu Invoice/Billing reports uu Custom document forms uu Other analytical reporting

Benefits The bank received an advanced solution to support commodity trading that was delivered on time and within the budget. The system is a powerful application for energies trading reinforced by a robust platform that brings unparalleled advantages to trading, risk management, operations professionals.

Customer Feedback Detailed feedback will be provided on request.

Luxoft - Case Study

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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


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