Credit Trading Reference Data Integration in Leading Investment Bank
The company is a leading global financial services firm with assets of over $1 trillion and operations in more than 50 countries. The firm is a leader in investment banking, financial transaction processing, asset and wealth management, and private equity.
Requirement: STP in Credit Derivative Trading
The company is using PolarLake to improve the efficiency and accuracy with which trading systems are updated with credit default swap affirmations originating from inter-dealer brokers, such as ICAP, Creditex and GFI. By doing so the bank is improving both trading performance and competitiveness levels.
Solution: Automated Mediation Across Multiple Systems
Credit default swap affirmations, originating from trades with external inter-dealer brokers, and formatted in FpML (Financial Products Markup Language) format, are processed by a PolarLake server within the bank's 'Credit Message Broker' in order to support the needs of front and back office systems, and specifically Murex. These systems rely on the delivery of this information in as timely a manner as possible in order to support the trading function of the company. Murex itself had been adopted in order to ensure total compliance with regulatory requirements.
The PolarLake Server:
- Performs complex transformation logic in order to present these transactions in formats appropriate for downstream applications (for example MXML for the Murex trading platform)
- Incorporates and attaches Reference Data relating to trades where necessary
- Routes each transaction, via WebSphereMQ or other appropriate transport mechanisms, to the relevant downstream systems
Why PolarLake? Flexible, Extensible Architecture
The initial project was focused upon the delivery of straight through processing between inter-broker dealers and Murex. However, since deployment additional elements have been added to the solution:
- The range of incoming trades has been extended to include those from ECNs within North America such as Bloomberg and TradeWeb.
- Integration with the Tzero platform, supplying post-trade services, including affirmation, greatly increases the accuracy and speed with which credit default swaps are settled. PolarLake detects trades requiring routing to Tzero and runtime.
- Support for other lines-of-business, such as Prime Brokerage, that may also wish to trade credit default swaps, has been added, enabling them to also enjoy the benefits of straight-through processing of these financial instruments.
The finished project thus supports the credit default swaps business throughout the bank, handling integration with all relevant internal and external systems in order to deliver, in the most efficient way possible, data that is both timely and consistent – which in turn improves trading performance and competitiveness.