FpML-based Data Architecture for Investment Bank

Situation

A large international investment bank wanted to reduce its costs and risks for its derivative trading business including equity and fixed income derivatives and interest rate swaps. It decided to centralize its middle and back office functions for confirmation, settlement, accounting and risk management. Each trading desk ran separate booking systems such as Murex, Summit, Calypso, and Wall Street Office. In order to centralize, they decided to use FpML (ISDA standard language for data sharing) as basis for their internal messaging standard.

What we did

Created data architecture to integrate booking systems with central middle and back office processing units.
Defined data model for trades, pricing, reference data, accounting and settlement of OTC equity and fixed income derivatives.
Designed FpML extensions to support products and data not defined in ISDA standard.
Created standards for information representation such that risk metrics could be aggregated for the firm.
Modeled data requirements for all derivatives product types.
Defined mapping of Murex, Calypso and Summit trades to FpML.
Leveraged Metro Solutions participation in FpML Working Groups to identify best practices for FpML extensions.

Obstacles

Strategic data architecture had to be implemented with in short-cycle time frames of trading businesses. Used incremental approach to build out message infrastructure as part of other funded initiatives.

Results

Initial phase of Confirmations process successfully implemented using FpML-based messaging. Program established to implement remaining products and systems.

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Skills

Data Modeling

Architecture

Business analysis