Algo Collateral Newsletter

There are approximately 90 standard Algo Collateral reports at present, including:

• Workflow-driven report - Generates statements in response to a specific situation, event or action
• Data Input Control - Verifies the information entered into the system
• Valuation and Market Data - Identifies possible errors originating from the external systems that feed data into Algo Collateral
• Exposure and Collateral Positions - Shows exposure and collateral information at different levels of detail and perspectives
• Workflow and Tasks - Assess the status of calls, distributions, disputes and feeds
• Management Report - Provides historical or high-level data to support decision-making and overall monitoring

Moreover, Algo Collateral also currently supports and maintains over 250 client-specific reports, across 3 versions and 4 different languages.

Algorithmics is in the process of developing additional reports to leverage the new functionality of Algo Collateral Version 4. These include:

The Algo Collateral Reports Folder
A new client report documentation folder that contains the following information: a client-user guide that provides information on types of reports, set-up and use of reports, details regarding conditions under which reports will show results, output examples, and a troubleshooting guide.

The folder also contains examples of all reports currently available in Algo Collateral  Version 4. As reports are developed or amended, clients will receive update packs for their reports folder.

The Standardized Reconciliation File (310 report)
Many Algo Collateral users have noted that while the reconciliation process in Version 4 is simple, some firms continue to carry overhead because counterparties use inconsistent files that are not designed to produce a standard reconciliation report.

With the help of a number of clients, the German Collateral Working Group, and non-Algo Collateral users, Algorithmics has responded to this challenge by crating a report that contains data essential for reconciliation, good identifiers of an individual trade and additional data suggested for inclusion by user groups. The report has specifically been designed for export to an Excel spreadsheet.

Because this report conforms to the template provided in Algo Collateral Version 4, no mapping of fields in the configuration of the reconciliation is required. If you are using the 310 Report, but it does not match the above layout, please contact Sentry Financial for the latest version.

The ISDA Margin Dispute Notice
Under the new ISDA Margin Provisions, a call recipient must transmit a notice of dispute by 1:00 PM on the same margin business day. In response to this new directive, Algorithmics has created a new workflow-driven Dispute Notice Report, which clients can simply slot into their dispute workflow configuration.

The New Report Requisition and Design Specification Procedures
Additionally, Algorithmics has implemented a new procedure whereby clients complete a request form to handle the growing number of requests for new reports or changes to existing reports.

From the request form, an Algorithmics consultant produces a design document that clearly identifies the deadlines and responsibilities of the report. Development begins once the client has signed off on this design document.

Both the report and documentation are delivered to the client, following standard testing on an Algo Collateral test database. The client can then test the report and formally sign off the report once it has been accepted.

This new requisition and design procedure enables a fully documented process and clear identification of report deadlines and expectations, while promoting an easy and consistent mechanism of communication between Algo Collateral users and their counterparties.

Collateral practitioners can expect new functionality from Algo Collateral in reporting on credit scenarios in the following areas:

• Credit Report - Shows the effects of a credit rating shift on the principal or counterparty or both
• Metric Report - Shows trends in the specific collateral agreements (exposure and collateral positions) and in general over time

ISDA Survey Report - Produces a reporting solution, which will generate all the values necessary to complete the current ISDA Collateral Survey