CDS Trade Matching and Confirmation

Background

The Bank needed a streamlined STP process for matching and confirming CDS trades being booked in the CDS trading system

Implementation

DTCC was chosen as the trade matching and confirmation platform and we needed to implement connectivity to DTCC to send and receive the trade data.

Various Front office systems in the bank feed in OTC trade data in the application proprietary XML format. Individual Mapping services tranform this data into the FpML based canonical form and persist the trade into the Derivatives platform. This data gets enriched from a number of sources including counterparty static data, LEI information,Master Agreement information etc. The enriched trade would be validated for validity and completeness as per rules defined in the business. Any errors would raise tasks in the workflow management system for users to investigate and resolve. An Eligibility service would check if the trade was eligible to be sent to DTCC for confirmation. If yes, then a Mapping service would map the trade data into the Fpml format required by DTCC. These message would be delivered to DTCC using ActiveMQ. The service also had a Material change logic built in to determine which trade updates would require confirmation. The conversations related to each version of the trade sent were stored in the central data warehouse and were made visible to the users via the common UI.

Main Tech Stack : Java 8, Google Guice, GRPC, REST, JPA, Hibernate, Multithreading, XML, XSD, Xpath, FpML, JSON, Mockito, Fitnesse, Maven, Jenkins, Sybase, Solace, MQ, Linux, SVN/Enterprise GitHub, Nexus Repository.

The end result was a seamless automated system where the CDS trades being booked would get sent over to DTCC and get matched and confirmed. The UI view provided good visibility to the status of trades as well as errors that may happen in the confirmation process.