Proxy connection?

Hello All,
My Client want to set up Proxy connection between Bank system and Client system.
they are not talking about ABAP proxy or Java Proxy...... But they told about Proxy connection and they want to use PI to send and receive data using PI.
If any one done this requirement  before please put your points on this  connection type.
Thanks,
Chinna

I had call today , in the call they mentioned that they want to establish the proxy connection between the bank and client
and PI need to monitor.
So does it mean that both sender and receiver will be a Proxy (i.e. SAP systems)
PI need to monitor means that they need to ensure data is received from the source proxy and delivered to the target proxy...you actually need to track the message flow.
Normally bank interfaces include some level of message security....not sure if the same can be implemented in a proxy communication.
Regards,
Abhishek.

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