Client is a leading broker dealer that participates in several multi-dealer trading electronic trading platforms for fixed income and credit derivatives products. The desired application is a part of a multi-level trade offering suite and is used, along with several tools, to provide professional market participants the ability to trade cash and derivative products and remain within counterparty credit limit thresholds set by the client.

The application was to incorporate a sophisticated calculation methodology, as well as to conform to strict service-level requirements related to performance.   Requirements dictated a need for rapid credit limit calculation, as well as instantaneous message updates containing revised counterparty limits. The initial user base began with 200 clients and was expected to triple every two years. The solution had to be computationally solid, fast, scalable, flexible, and reliable in order to handle the growing product sets, as well as large volumes of data.

A system was developed and implemented that disseminated updated credit counterparty limit information to users of the trading platform every 20 milliseconds.

• PERFORMANCE
  
  • THROUGHPUT
    Analysis showed that the new system could handle an optimum throughput (number of messages per second) for loads of up to 1500 users, thus enhancing the scalability of the application.
  • LATENCY
    Proposed solution had lower latency, ensuring real-time counterparty credit limit trade data dissemination to traders.
  • CPU CONSUMPTION
    Load testing analysis showed that the solution maintained CPU consumption within permissible limits.
• BETTER TRADE EXECUTION
  This application helped Interest Rate and Credit Derivatives traders use real time credit information to achieve better quality, risk adjusted trade execution.
• RISK MANAGEMENT
  Risk managers and compliance staff would have improved control over counterparty credit risk and thereby reduce credit risk inherent in the ever growing credit portfolio of the firm.