luxoft software development

1. For more information about Luxoft, visit
www.luxoft.com
www.luxoft.com/financial-services/
case study
Basel II Reporting and
Compliance Solution
Summary
13.09.2012
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

2. Business Challenge
Luxoft Delivered Solution
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
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
02Luxoft - Case Study

3. 03Luxoft - Case Study
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
TABLE(1) TABLE(2) TABLE(N-1) TABLE(N) PRE-STAGING
AREA(TEXT, DATA,
SOURCE SPECIFIC
STRUCTURE)
COMMON
STAGING AREA
(TYPIFIED DATA,
SOURCE SPECIFIC
STRUCTURE)
IDS
(INBOUD
DATA STORE)
(FCL, DATA
STRUCTURE)
ODS
(OUTBOUND
DATA STORE)
TABLE(1) TABLE(N-1) TABLE(1) TABLE(1)
DOWNSTREAM VIEVS DOWNSTREAM SLICES
AI2AI2
FEED
CONSTRUCTION
LAYER
FEED HALDER(2)
CORE FIELD LIST SPECIFICATION (CFL)
VALIDATION
FEED STUBMSG
FEED HALDER(2)
FEED STUBMSG
FEED HALDER(N)
CHUNKS GCDS+TE

4. 04Luxoft - Case Study
Benefits
Customer Feedback
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
Detailed feedback will be provided on request.

5. 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/
© 2012 Luxoft