Wells Fargo Securities

Client & Industry

Partnered with Wells Fargo Securities to architect and deliver a mission-critical XVA trading platform. Address stringent CCAR regulatory mandates for credit risk and stress testing. Centralize counterparty credit risk management for the Contingent Credit Desk, enabling proactive hedging strategies.

The Challenge

Overcame significant technical hurdles to deliver the XVA Trading System:

• Building a high-performance desktop application (WPF) capable of handling hundreds of simultaneous, real-time data views.
• Implementing a complex, multithreaded, subscription-based architecture using MVVM patterns.
• Integrating with Oracle Coherence Cache for real-time data updates and managing cache event handling efficiently.
• Designing and implementing a near-real-time data warehouse for analytics, P&L calculations, and reporting.
• Sourcing, persisting, and managing relationships for third-party CVA (Credit Valuation Adjustment) reference data.
• Developing robust ETL processes for loading trade and reference data.
• Applying fair-value pricing adjustments for OTC derivatives, considering close-out risks and counterparty selection.
• Integrating various third-party UI controls (grids, Excel components) seamlessly.

Solution by Nimbletec

Delivered lead database architecture and senior software engineering to spearhead the design and development of the XVA TOP platform:

• Engineer High-Performance Desktop Trading Application: Implemented a sophisticated, Calypso-like desktop application using C# and Windows Presentation Foundation (WPF) with the Model-View-ViewModel (MVVM) pattern. Architected a highly concurrent, multithreaded solution capable of supporting hundreds of simultaneous views, each subscribed to real-time updates from an Oracle Coherence Cache. Development managed within Microsoft Visual Studio using Subversion for version control.
• Master Real-Time Data Subscription & UI Updates: Expertly handled numerous real-time data subscriptions through optimized XAML-defined Views and corresponding ViewModels. Leveraged Language Integrated Query (LINQ) and Parallel LINQ (PLINQ) for efficient data manipulation and population of concurrent collections, ensuring smooth UI updates via careful thread marshalling from `IObservableCache` event handlers within the WPF framework. Enabled a tabbed UI structure where each tab managed its own background subscription thread for optimal resource utilization.
• Design & Implement Near-Real-Time Data Warehouse (DW) & ETL: Architected and implemented a robust Valuation Adjustment (XVA) Data Warehouse on SQL Server, following Kimball methodology by flattening complex domain models into fact/event structures suitable for analytics and future Profit & Loss (P&L) calculations. Engineered near-real-time Extract, Transform, Load (ETL) processes using Microsoft Entity Framework (EF) Model First generation, driven by subscriptions to the Oracle Coherence Cache for immediate DW updates.
• Source, Persist & Manage Complex Reference Data: Sourced critical third-party Credit Valuation Adjustment (CVA) reference data, establishing robust database (SQL Server) and cache (Oracle Coherence) persistence layers. Meticulously defined complex relationships among disparate trading systems, client accounts, legal counterparties, and other entities. Constructed repeatable, automated load processes for efficient data and trade management.
• Integrate Advanced Third-Party UI Controls: Seamlessly integrated and managed sophisticated third-party user interface controls from vendors like Xceed and Syncfusion (including advanced grids and Excel components) within the WPF application to deliver flexible, powerful, and user-friendly front-end capabilities for traders and risk managers.

Key Results & Impact

Nimbletec's expert architecture and engineering achieved critical business objectives and delivered substantial value for Wells Fargo Securities:

• Ensure Comprehensive Capital Analysis and Review (CCAR) Compliance: Delivered a dedicated XVA trading platform specifically designed to meet stringent CCAR regulatory requirements for scenario-based credit risk analysis and stress testing across multiple asset classes.
• Empower Centralized Counterparty Risk Management: Provided the Contingent Credit Desk with powerful, centralized tools built on WPF and Oracle Coherence Cache to effectively manage and hedge counterparty credit risk based on real-time, market-implied default probabilities.
• Deliver Precise Over-the-Counter (OTC) Derivative Pricing: Enabled more accurate pricing of forward-looking OTC derivatives by incorporating sophisticated fair-value adjustments (XVA) and factoring in complex close-out risks and counterparty selection criteria.
• Establish Robust Analytics & Reporting Foundation: Created a resilient SQL Server Data Warehouse foundation, populated via near-real-time ETL processes using Entity Framework, enabling advanced analytics, regulatory reporting, and future P&L calculation capabilities.
• Deploy High-Performance, Real-Time Trading Platform: Successfully deployed a highly responsive, multithreaded C#/WPF application capable of managing complex, high-volume, real-time data streams essential for modern trading operations.