FX SPOT CREDIT LIMIT CONSOLIDATION SYSTEM

December 13, 2005Presented by:William HaysAmy Jackson

Confidential

2

PRESENTATION OUTLINE

BackgroundOverviewGoalsMethodology ResultsOverview of new process Demonstration of new systemConclusionsRecommendations

3

Project Background

FX tradingSpot credit limitsBroker services systems Reuters Electronic Broker System (EBS)

Credit Work Station (CWS)

4

PROJECT OVERVIEW

Matches prioritized

Check if credit limit exists

Requests sent to analysts

Credit limits assigned

Investigations logged

Limits entered on trading floor

Spot and Forward matches received

Current FX credit data received

2 Data

5 Manual operation

1 Manual input

Legend

Symbol Count Description

Estimated Total Manual Time: 2:40

5

1. View of the total FX limit allocation for each client.

2. Log of the clients.

3. Clean-up of sub-entities.

4. System’s interface integrated into CRM website.

5. Internal Technology team member to maintain and update system.

6. Knowledge of FX trading and credit limits.

PROJECT GOALS

6

METHODOLOGY

UNDERSTAND CURRENT PROCESS

DESIGN NEW PROCESS

IMPLEMENT NEW SYSTEM

FINALIZEDOCUMENTATION

TEST NEW SYSTEM

MOVE NEW SYSTEM TO

PRODUCTION

7

RESULTS: Understand the Current Process

User meeting notes Research on systems involved Research on credit limits and FX trading Documentation of current process

System

*

*Use-Case

User

8

RESULTS: Design the New Process

Functional requirements

Use-case and Sequence diagrams

Proof of Concept

Database structure

Interface prototype

REBS_legal_entities

REBS_client_history

REBS_subentities

REBS_source_update_history

REBS_legal_entities_log

REBS_reports

9

RESULTS: Implement REBS FX

Database structure

Views/Stored

procedures

Application layer

10

RESULTS: Move REBS FX To Production

TESTING

STAGING IN Q & A

PRODUCTION

11

OVERVIEW OF NEW PROCESS: Steps

5 Manual operation2 Stored data2 Data received 1 Manual input

Legend

Symbol Count Description

Data sent to technology

Database updated

Problematiccounterparties

updated

Requests sent to analysts

Investigations logged in REBS FX

Credit limits entered on trading floor

Matches checked with

REBS FX

Current FX credit limit

data received

Spot and Forward matches received

Unlinked/new groups

investigated

Credit limits assigned

Estimated Total Manual Time: 1:55

12

OVERVIEW OF NEW PROCESS: Demo.

13

CONCLUSIONS

Requirements met:

User

Technical

Informational

2:40

1:55

0:00

0:28

0:57

1:26

1:55

2:24

2:52

1st Qtr

Previous ProcessNew Process

14

RECOMMENDATIONS

Post Project

Long Term

Automated feeds

Readily available CRM implementation standards

REBS FX extension

Global use of REBS FX

WPI project continuation

15

ACKNOWLEDGMENTS Lehman Brothers:

Ayoob, Mahvish Burton, Scott Chang, Scott Eisen, Daniel Fox, Andrew Girard, Jocelyn McConnon, Thomas Moeller, Christian Murphy, Brendan Tan, Ford Wilkins, Simon Wong, Leesan

Worcester Polytechnic Institute: Abraham, Jon P. Ciaraldi, Michael Gerstenfeld, Arthur

16

QUESTIONS

17

18

DatabaseStructure

Database Structure for new system

credit..REBS_legal_entities

PK entityID

dealing_code group_name line_limit source change_date

credit..REBS_subentities

PK subentityID

dealing_code description

credit..REBS_entities_subentities

PK,FK1 entityIDPK,FK2 subentityID

credit..REBS_client_history

PK historyID

description actiondate actioncodeFK1 entityID user_code

credit..REBS_legal_entities_log

FK1 entityID dealing_code legal_name line_limit source client_code change_date delete_date

credit..REBS_source_update_history

PK updateID

filename source file_asof load_date

credit..REBS_reports

PK reportID

query_string description reportname author filter_fields sort_fields check_column highlight_regex last_run create_date

19

Demonstration (1)

First screen shows possible reports. The default is the unlinked entities (that have been imported from Retuers/EBS systems)

20

Demonstration (2)

Second screen shows a list of possible reports (from the reports table)

When a report is selected, it is queried for viewing.

21

Demonstration (3)

Third screen shows the “existing limits” report corresponding to limits related to all CWS counterparties

22

Demonstration (4)

When a user clicks on a CWS client code in the reports window, the details for that counterparty are shown.

Shown are the associated Reuters/EBS accounts.

23

Demonstration (5)

Below the associated accounts are the sub-entities (or branches) related to the counterparty.

24

Demonstration (6)

Below the sub-entities is a log of the history for that client.

History entries are changes to the database as well as user-entered history items.

25

Demonstration (7)

Wherever an entity ID is shown, the entity detail page can be opened.

Shown on this page is linking/unlinking to CWS counterparty functionality.

26

Demonstration (8)

The user searches CWS for the counterparty name and then updates the link to the counterparty once one is found.

27

Demonstration (9)

Further down on the entity detail page you will find similar sub-entity and history information as found on the client detail page.

28

Demonstration (10)

This is an example of an unlinked entity. This will occur for new clients and clients that do not exist in CWS.

29

Demonstration (11)

This is an example of a changed limit when importing from Reuters/EBS systems.