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

case study 13.09.2012

Liquidity Management and Analysis System Summary Develop a system to monitor, analyze, and report liquidity risk for use by the bank’s Treasury and Liquidity Risk Operations departments.

uu Client: A top ten global investment bank uu Business Area: Investment banking liquidity risk management uu Asset Classes: Equities, fixed income, loans, equity derivatives, FI derivatives uu Technology Set: Oracle, Oracle BI, PL/SQL, Core Java, JMS, Spring, Hibernate, Jasper, Tomcat, WebLogic, Messaging, KSH Scripts, Control M Jobs, SharePoint, QlikView, iRise uu Integration: Oracle, Ad-hoc Integration uu User Profile: Treasury, Liquidity Risk Operations uu Geography: Worldwide (US, UK, Europe, Asia Pacific, Latin America, South Africa) uu Relationships Status: Ongoing ODC, T&M uu Services Provided: Business analysis, Development, QA/Testing, Production support uu Team Size: 20+ team members uu Duration: 3+ years development and ongoing maintenance


Business Challenge Increased regulatory requirements that followed the global financial crisis compelled the bank to seek a new solution for liquidity management. They wanted a flexible, scalable system that would measure and analyze the end-of-day liquidity position in a way that complied with Basel II regulatory requirements and that supported proactive liquidity management by ensuring bank’s ability to meet obligations on time without incurring unacceptable losses.

Luxoft Delivered Solution The bank began the software development internally with support from an offshore vendor. As the system’s complexity and size hit critical levels, the bank looked for a new partner to complete system development and delivery. Luxoft was selected as the bank’s new software development partner and the project moved from India to the Ukraine. Luxoft successfully delivered the system on time and within the budget, providing the bank with the following key business functions: uu Management of short-term liquidity gaps against existing limits uu Management of overnight funding exposure uu Scenario Analysis uu Collateral Management uu Maintaining liquidity reserve in the form of liquid assets uu Internal and Regulatory Reporting uu Analysis of liquidity risk drivers (ratings, regional crises, insecure funding, insufficient collateral, etc.) for stress testing The Liquidity Measurement and Analysis system performs the critical tasks of extracting and cleansing data from upstream systems, modeling and generating cash flows, running stress test scenarios, and publishing liquidity risk data for end users and downstream systems. It manages over 70 data feeds and generates over 100 reports and is optimized with data quality and performance enhancements.

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UPSTREAM SYSTEMS

TRADING DATA (TRADES, CASH FLOWS, POSITIONS, COLLATERALS)

STATIC DATA (SECURITIES, COUNTERPARTIESS, BUSINESS HIERARCHIES)

LIQUIDITY RISK MANAGEMENT AND ANALYSIS SYSTEM

ETL

MAPPING

LIMITS MANAGEMENT

ENRICHMENT

MODELING

QUALITY CONTROL

REPORTING

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DOWNSTREAM SYSTEMS

USERS

STRESS TESTING ENGINE

TREASURY

FINANCE

LIMITS MANAGMMENT SYSTEM

LRO

EXTREMAL REGULATORS

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Benefits With Luxoft’s technical expertise and advanced business domain knowledge, the client realized the following benefits: uu Increased financial flexibility by monitoring changes that require strategic adjustments uu More efficient distribution of investments through accurate, end-of-day liquidity positioning uu Reduced operational and management costs by fully automating the data input and output uu Increased visibility to, and thereby the control of, the cash flow uu Improved decision-making and minimized risks with an enterprise-wide solution uu Provided more rigorous risk management for the Treasury and Liquidity Risk Operations departments uu Provided full compliance to Basel II reporting requirements

Customer Feedback The detailed feedback is provided upon the specific request.

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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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