Bespoke Global Credit and Market Monitoring & Analytics platform

Background

ReformIS was commissioned by a mid-sized US based Asset Manager to provide requirements gathering and implementation leadership for a new “greenfield” project (application) in support of their new liquid alternatives fund range. Given the increased complexity and sophistication of these new funds, the new platform was a hard dependency for their (fund) launch.

 

Business Problem

The funds utilize specialized investment management techniques and require niche or esoteric asset classes for their implementation. Whilst the client’s existing platforms could facilitate the basic needs of the fund i.e. trade capture and execution, a new platform was needed to provide specific credit functionality:

  • credit screening and monitoring
  • hedging
  • profit and loss analysis
  • market indicators and data e.g. indices, reference rates to support the funds quantitative analysts and financial engineers
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    In addition to providing effective support to the fund managers and supporting teams, the platform is highlighted within the funds marketing materials and is used to inform and demonstrate to clients the funds’ unique investment management strategies and portfolio implementation.

     

    Implementation

    Within strict deadlines, ReformIS worked closely with the fund managers and other supporting investment professionals to quickly crystalize their vision. This included gathering high-level requirements and subsequent creation of a project plan; including required materials to support budgeting and project approval at the executive board level (C-level).

     

    ReformIS provided project management and technical leadership to a blended team of internal resources and external contractors. Given a demanding deadline and evolving requirements, ReformIS recommended and subsequently introduced the client to AGILE based project methodology. As a result, a number of the processes and materials created and introduced by ReformIS have now been adopted as standard practice throughout the client’s project delivery processes and project life cycle.

     

    Solution

    The platform utilized modern (logical) n-tier architecture with a hybrid reference data and time series based database design. Daily changing numerical data e.g. spreads, are stored as time series with instrument and index data being stored in a traditional fashion to provide context to the daily & historical time series.

     

    From a technology perspective, the solution utilized the Microsoft technology stack with Microsoft SQL Server providing database management services. The core application was developed using Windows Presentation Foundation (WPF) and .NET 4.0. Additional .NET libraries such as Unity (Dependency injection) and PRISM were also used to reduce development effort and time to market.

     

    The delivered platform provided the following functionality and capabilities:

    • 5 Years of CDS, Credit Index and Tranche data (Spread, Sensitivities, Liquidity and Upfront pricing)
    • 1000+ indices from Barclays, S&P, Russell and JP Morgan (including history)
    • Bond/Reference Obligation reference data and associated Credit Ratings (S&P, Moody’s and Fitch)
    • Flexible and configurable Analytics Engine – calculates a number of standard mathematical and financial calculations e.g. Model/hypothetical spread, Spread Trend, Spread Momentum and beta
    • Modern, flexible and marketing friendly User interface
    • Excel API (similar to Bloomberg Excel API)
    • MATLAB API

     

    At completion, the solution had over 170 million (time series) records, while producing over 120,000 new analytics observations (records) on a daily basis.

     

    The project was completed on-time and to budget.