Algo Collateral Newsletter

Following our last newsletter we would like to update you on the progress of the Algo Collateral Next Generation Exposure Reconciliation product.

Throughout the summer the Algo Collateral group has met with representatives of collateral teams situated both in EMEA and NA. The purpose of these meetings and workshops has been to show the new direction for the reconciliation tool, allow customers to use the tool, and to gather feedback. In addition, we have shared ideas for future functionality, including possible screen designs, and based on the feedback received we have defined a roadmap for delivering the first release of the Algo Collateral Next Generation Exposure Reconciliation product.

Listed below are the key features planned for our first release in December 2006:

• Performance: reconcile a +20,000 trades portfolio in only a few minutes
• Algorithm: Many-to-many matching
• Usability: minimize set-up

Algo Collateral will also include two extension options to the reconciliation tool; the Dispute Management (DM) module and the Management Information (MI) Disputes dashboard module. Note: These extensions have not been released and are still under development.

The DM module enables users to manage their reconciliation process using a reconciliation workflow, define counterparty reconciliation schedules, trigger ad-hoc dispute reconciliations, and define rules for prioritizing the reconciliation tasks. The reconciliation tool allows users to identify problem transactions and the associated root cause. The resolution of these problems becomes a task that is handled by the DM module. The DM module helps users manage the correction of mis-booked transactions, investigate MtM differences, and track ownership of tasks through to closure. All problems can be passed to other internal areas (or external parties) for investigation/correction and tracked using a workflow.

The MI module collects information about the reconciliations performed, the different root causes and the statistics related to both the reconciliation and resolution process. This enables effective monitoring and management of the dispute process. Managers can perform current and historical analysis and compare reconciliation results over time. Additionally, internal processes can be improved with the ability to identify the departments where mis-bookings or missing trades have originated.

For those who have already participated in our workshops we would like to say a big thank you! We hope that you enjoy being a part of the decision-making process surrounding our new reconciliation tool.

If you are interested to attend similar events or have any other questions please do not hesitate to contact Elisa Nordstrom for further details.

During 2006 we have had many clients upgrade from their current version to 4.8. The current distribution of our client base for each version is as follows:

If you are thinking up upgrading please do not hesitate to contact:

EMEA - Terrance Baum, terrance.baum@algorithmics.com, +44 (0)20 7392 5932
NA - Farina Hering, farina.hering@algorithmics.com, +1 215 220 4025
SEA - Greg Ballesty, greg.ballesty@algorithmics.com, +61 2 9255 4666

Algo Collateral has made the export of grids in Excel considerably faster in version 4.8.10. In previous versions, it can take more than 6 minutes to export approximately 1500 trades to Excel, while in the latest version it will take only 6 seconds.

We have always maintained a policy that only clients may close issues raised on the support site. We have reluctantly decided to change this policy given the increasing number of issues set to status of 'Info Required' or 'Client Test' with NAB (next action by) 'Client' that are not receiving a response. Unfortunately, an increasing amount of our time is being spent managing such issues and chasing for responses, such that we feel this is now having a detrimental impact on the time it takes us to respond to your ongoing production support issues. Therefore we will be implementing the following revised policy with immediate effect.

If we have requested a response to an issue three times over a period of two months and received no reply we will take the following action:

1. Send a warning email to the issue owner and, if different, the last person to respond on the issue.
2. Update the issue that an email has been sent and attach to the issue a .msg file version of the email.
3. Close the issue if no response if received after two weeks.
4. Annotate the issue that it has been closed due to a lack of reply.

Please note that this policy will not apply to issues awaiting upgrade by you before the issue can be tested and closed.

We feel that this revised policy remains considerate given that other companies have support desk policies to close issues within ten days of a failure to respond. However, if you would like to put other arrangements in place, such as a regular client's review meeting of open issues, please contact your PS Account Manager. In any event we would urge all our clients to have someone responsible for monitoring all issues raised by your company. If you cannot see all issues you need to select the Search Issues option and ensure that the 'Issues I've Posted' checkbox is not selected.

If you have questions please do not hesitate to contact your regional support office. Please refer to the end of the newsletter for email addresses.

We are pleased to announce that our Mt. Laurel, New Jersey office has now moved as of August 2006. The new address is:

Algorithmics
Cira Center
2929 Arch Street, Suite 300
Philadelphia, PA 19104-7399
USA

The new North America support number is +1 215 220 4005.

Our London-based staff also moved offices. As of October 2006 the new address is:

Eldon House
2 Eldon Street
London EC2M 7UA
UK

The new EMEA support number is +44 (0) 207 392 5754.

For your convenience, please be sure to update your records with the new addresses and support phone numbers.

The Algo Collateral team continues to be involved in collateral management market initiatives. Representatives from Algo Collateral have recently spoken at the following market functions:

• September 20, 2006. Federal Reserve Bank of New York: Derivatives Portfolio Reconciliation
  "The Process, Challenges, and Potential Solution for Derivatives Reconciliations"
  
  Armando Hernandez moderated a 2-hour discussion to 30+ examiners at the Fed on portfolio reconciliations along with brief overview of Algo Collateral.
  
  
• September 27, 2006. Financial Technologies Forum event: Best Practices for Reconciliations and Exception Management
  "Implementing an Automated Solution - Maximizing ROI on Technology Investments"

If you are interested in finding out more about these meetings and the presentations given or have any other questions please do not hesitate to contact Armando Hernandez (+1 212 625 5274) for further details.

Sindy Galander has joined the Algo Collateral family as an Associate Business Analyst in the consulting and implementation team in EMEA. She joins us from MSCI Barra and previously worked as a technical engineer with Business Objects providing developer support. She is proficient in Java and has working experience of VB, .NET and is fluent in German, English and Portuguese with some Spanish.

Anthony Barron is moving to our Philadelphia office after being based in London for two years. We wish him the best of luck!

It has been quite a year for new babies on the Algo Collateral team.

Evelyn Dewaele recently welcomed an addition to her family. Her son Alexander now has a sister, Annabel, born in September 2006. Evelyn will be on maternity leave until December and Richard Barton (+1 215 220 4022) will be taking over Evelyn's responsibilities during her maternity leave. In other news, Elena Lorente recently had a baby girl, Siena, and just returned from her maternity leave. Earlier this year there was a baby girl for Richard Barton, a boy for Armando Hernandez, and a boy for Brian Pickard. Please join us in congratulating them!