WALL STREET WPI MQP Banc of America Securities New York Trade
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1 WALL STREET WPI MQP Banc of America Securities New York Trade Capture Project
Transcript of WALL STREET WPI MQP Banc of America Securities New York Trade
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WALL STREET WPI MQP
Banc of America Securities New York Trade Capture P roject
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1 Preface This report is our written documentation of everything we completed while we worked for Bank of
America. We documented every interview, meeting and phone call so that employees that follow our work
after we are gone will be able to reference all the information that we gathered.
2 Abstract The main goal of this project was to map a current state analysis of trade capture through the Global
Credit Products desk. We interviewed and analyzed employees from different divisions of Bank of
America to accurately portray the operational flow of this financial institution.
3 Acknowledgements We would like to take the time to thank the following people that were heavily invested in this project. We
would not have been able to complete this task if it was not for your support and help along the way. We
are appreciative of this opportunity and your courtesy does not go unnoticed.
• Sheldon Andrews • Carter Bateman • Mehreen Bashir • Howard Berger • Jon Bergman • Scott Burton • Will Enright • Adnan Gandhi • Professor Arthur Gerstenfeld • Ksenyia Nahornaya • Brad Pastorek • Cara Richardson • John Rothrock • Jing Shih • Rick Singh • Julie Smirnova • Whit Smith • Bryan Stonebraker • Jason Tondreau
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• Christina Topol • Kurt Vile • John Wong • Priscilla Wong • Josh Woodby • Mark Zeltser
4 Executive Summary
In the last seven weeks we have put together business process models, we have analyzed data
regarding trade edits, we have interviewed, presented and we have recommended. We come to the
completion of our project and feel as though our work was value-added. We leave Bank of America with
business process models spelling out the current state of trade capture, cheat sheets for application
assistance and recommendations toward future improvements.
The analysis of trade capture we concluded that the system works, however, could be improved.
In such an automated society businesses are forced to keep up with new technology or they will be
slower and less efficient than competitors. In the current Middle Office CDS/CDSI Trade Flow there are
many interruptions with the system. This would be fine if the errors could be fixed and continue in their
automated system. However, there are many instances when an error will occur early in the system, will
be fixed but then forced to get pushed through the system manually, instead of entering back into the
system where it would be automated. An example of this would be when eBlotter returns a matching
status of N/A. The trade must be booked manually instead of pushed back into the beginning of the
system.
Our recommendations hopefully will eventually be used again and possibly implemented. Our
permission grouping idea we felt was the strongest; this has already been touched on, however we feel
that if implemented, could provide a huge benefit for years to come. This would be a centralized Data
Reference Application, saving time and money for employees that could be spending more valuable time
performing other tasks. We feel that the original task of assigning permissions to groups would take
around 4 weeks and the application formation, substantially longer. However, the time it would take to
centralize all of the permissions for all applications would pay itself off by the time saved by employees to
not manually click each permission for each application.
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Our analysis of Trade Edits and Volume along with our visual aids for application assistance are
tangible deliverables that we hope will be of help to employees in the future. In a large process, at times,
members of the process lose sight of the big picture. Our project objective focused on capturing the high-
level view of Trade Capture through GCP and helping to guide employees to fix problems completely as
opposed to quick fixes that will reappear. Our Cheat Sheet for eBlotter Matching Statuses is a guide for
employees to try to fix errors that occur in an application and cut back on the phone calls to Technology
to fix problems that have been amended so many times previously. We hope our deliverables will be used
at Bank of America in the future to help in the process that we studied.
Upon spending seven weeks here, we felt as though there was little coordination at times
between groups. Technology is reacting to what the Trading Assistants and Sales Assistants need and
the Trade Support is reacting to feedback from everyone. We feel as though there should be more
communication, such as quarterly meetings across all groups in the Front Office in GCP. This would set
goals for the desk and let people know where other employees stand on issues and future improvements.
We also felt that our strategy of interviewing was the best approach to gather the massive amount
of information that was thrown at us and still comprehend it. Had we tried to read and decipher all the
information we obtained we would never have made our timeline.
We are grateful for the opportunity to work for such an esteemed Financial Institution and we
have learned a lot about work flow and operational processes in an investment bank. This was the
greatest experience for both of us throughout all of collegiate studies; we owe thanks to WPI and Bank of
America for this opportunity.
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Table of Contents 1 Preface ....................................................................................................... 2 2 Abstract ...................................................................................................... 2 3 Acknowledgements .................................................................................... 2 4 Executive Summary ................................................................................... 3 5 List of Figures............................................................................................. 6 6 Introduction................................................................................................. 6 7 Methodology............................................................................................... 7
7.1 Familiarization of Industry Applications ........................................................................................... 7 7.2 Interview Strategies.................................................................................................................... 11 7.2.i Middle Office ............................................................................................................................. 12 7.2.ii Front Office................................................................................................................................ 13 7.3 Interviews................................................................................................................................... 14
7.3.i Middle Office.......................................................................................................................... 14 7.3.ii Front Office ............................................................................................................................ 16
7.4 Presentation Strategies .............................................................................................................. 18 7.5 Coordination with London Counterpart........................................................................................ 19 7.6 Collaboration with Jason Tondreau............................................................................................. 20 7.7 Communication with Project Advisor........................................................................................... 20
8. Information Gathered .............................................................................. 21 8.1 CDS Front Office Flow................................................................................................................ 21 8.2 CDS Middle Office Flow ............................................................................................................. 24 8.3 Bond Front Office Flow............................................................................................................... 27 8.4 Bond Middle Office Flow............................................................................................................. 28
9 Recommendations ................................................................................... 29 9. 1 Front Office Recommendations ................................................................................................... 29 9.2 Middle Office Recommendations .................................................................................................. 30 9.3 Global Recommendations ............................................................................................................ 32
10. Appendixes............................................................................................ 35 10.1 Glossary of Terms...................................................................................................................... 35 10.2 eBlotter Matching Status Errors ................................................................................................. 36
Appendix 10.2.i: N/A....................................................................................................................... 36 Appendix10.2.ii: Waiting for Pairing................................................................................................. 37 Appendix10.2.iii: Unsuccessful match ............................................................................................. 37
Appendix 10.2.iv: Error ................................................................................................................... 38 Appendix 10.3 Data Analysis Results (Metrics)................................................................................ 39 Appendix 10.4 Workflow Diagrams.................................................................................................. 41 Appendix 10.5 Pain Points .............................................................................................................. 55 Appendix 10.6 Cheat Sheet............................................................................................................. 56 Appendix 10.7 Meeting Minutes...................................................................................................... 57
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5 List of Figures Figure 7A- Screen Shot of eBlotter .......................................................................................................... 8 Figure 7B- Screen Shot of Odin Runs View.............................................................................................. 9 Figure 7C- Screen Shot of Odin Closing View........................................................................................ 10 Figure 7D- Screen Shot of Bloomberg ................................................................................................... 11 Figure 7E- Picture of Trading Floor in a Front Office .............................................................................. 13 Figure 7F- Screen Shot of our Share Point with London group............................................................... 19 Figure 8A- Screen Shot of eBlotter Quick Ticket and Add Function ........................................................ 22 Figure 8B- Screen Shot of Quick Ticket ................................................................................................. 23 Figure 8C- Screen Shot of Add New Function........................................................................................ 23 Figure 8D- Screen Shot of Bloomberg Fee Calculation Screen .............................................................. 24 Figure 8E- Screen Shot of Advantage.................................................................................................... 25 Figure 8F- Screen Shot of IRP............................................................................................................... 26 Figure 8G- Screen Shot of Bloomberg Sell Ticket .................................................................................. 27 Figure 8H- Screen Shot of Bloomberg Buy Ticket .................................................................................. 28 Figure 9A Example of Possible ODIN Quick Ticket Interface.................................................................. 30 Figure 9B- Example of New Functionality that is requested to be added to STP Compare...................... 31 Figure 9C- High-level Example of Grouping Recommendation............................................................... 33 Figure 9D- Current State of Search Function in eBlotter......................................................................... 34 Figure 9E- Example of recommendation for search function in eBlotter .................................................. 34 Figure 9F- Current State of Filter in eBlotter........................................................................................... 34 Figure 9G- Example of Filter Recommendation...................................................................................... 34 Figure 10A – eBlotter status N/A............................................................................................................ 37 Figure 10B – eBlotter status Waiting for Pairing ..................................................................................... 37 Figure 10C – eBlotter status Unsuccessful Match .................................................................................. 38 Figure 10D – eBlotter status Error.......................................................................................................... 39 Figure 10E – Volume / Edit percentage breakdown................................................................................ 40
6 Introduction
In today’s volatile market there is always a need for as much efficiency as possible. There may be
processes in an employee’s daily routine in which they feel could be improved if someone had the time or
direction to do so. For our project Bank of America devised a project to analyze and investigate the
current state of fixed income trade capture.
We were asked to gather information across a specific desk called Global Credit Products. The
reason this is needed is because during the course of one’s work day, employees may find themselves
fixing day to day problems without having time to evaluate the root cause for the occurrence. By having
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our team analyze the workflow of trade capture and gather information on how the process is performed
we were able to provide insight towards possible improvements and elimination of non-value added
activities.
For the seven week time frame of the project to be successful we developed an outline for our
methods of gathering information throughout the exercise. As a partnership in this project, we could have
read all the manuals that Bank of America provides or we could have done research in the public folders
of the company to obtain our knowledge. However, we realized that interviews and observation would
serve as a much better learning tool and we would be able to more specifically ask questions and obtain
answers to our inquiries without having to sort through massive amounts of information.
Our work here at Bank of America gave us a unique multi-level exposure to the industry and
provided us with great work experience. We are grateful to have had this opportunity and hope to see our
work help improve fixed income trade capture at Bank of America
7 Methodology
In this chapter we discuss the methodology behind our familiarization of the specific applications
used for trade capture by the Global Credit Products line of business. This chapter will also cover the
actual interviews that we performed including any problems or pain points along the way, our strategies
when presenting to specific members of the bank whom are invested in our project. Lastly we will discuss
the methodology behind the collaboration with our London counterpart; which performed a very similar
project in which results could be compared. We setup interviews with MO, we developed questions
guided by project sponsors, sat with them for extended interviews to observe daily activities and walk
through, illustrated the process and returned for clarification and feedback. We did this iteratively
throughout the project.
7.1 Familiarization of Industry Applications The first thing this project entailed was to get familiar with the applications that are used and
referenced in everyday speech here at Bank of America. When first meeting people at the bank we would
be asked if we know how to use “Odin” and “eBlotter”, applications that we would have no way to become
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familiar with previous to this project. This is because these programs are secured proprietary applications
made by Bank of America. We realized quickly that the first step in our preparation for information
gathering for the bank would be to get access and start using these applications.
Next, we started obtaining access to the necessary programs, starting with eBlotter. EBlotter is
primarily used to book Credit Default Swap (CDS) trades; we needed to become familiar with this
program because it is heavily involved in the everyday trade capture.
Prior to our interviews we received demonstrations, read over existing documentation and worked
with the development team to gain a better understanding of the eBlotter
application.
Figure 7A- Screen Shot of eBlotter
We started learning about eBlotter by reading the User Manual that was made available to us by
the public folders through Bank of America. We read about the functionality and advantages to the
program to establish a knowledge base and drive discussion and interview questioning.
After sorting through the user manual we met with members of the eBlotter development team
and discussed the main reason for the development of this application. We also were able to watch a
developer give our team a detailed demonstration of the functionality of the application. After sitting with
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the Development Team and watching demonstrations, reading the user manual and speaking to users
about the goals of eBlotter we were ready to start using the program.
Throughout Week 1 we got more and more familiar with eBlotter and learned the different color
coordination symbols and customizable preferences. After Week 1 we were comfortable enough with
eBlotter that we were able to form specific questions to ask the Middle Office users so that we would be
able to understand and interpret their answers with respect to this program.
Figure 7B- Screen Shot of Odin Runs View We underwent a similar process with the familiarization of a proprietary application called “Odin.”
We were able to obtain access to the User Acceptance Testing (UAT) Odin client; this is the testing
environment of this application where users can simulate actual use of the program prior to actual release
of new functionality and features. During Week 1 we were able to get used to the user interface and more
specifically understand the function and use of Odin. Odin is linked to the massive universal system
called Bloomberg, which is an application traders and salesmen use everyday. Bloomberg is where
trades are booked, the trade information and details are automatically sent to Odin where this information
is analyzed and stored. Odin is primarily used for Bonds and when we had to capture the trade flow of
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Bonds through Front Office we had to be knowledgeable about the use of
Odin.
Figure 7C- Screen Shot of Odin Closing View
We also became familiar with Bloomberg the global fixed income trading application... We were
able to observe the user interface and get familiar with the shortcuts by watching other employees use
the application on our computer. This helped immensely because when we sat down with the traders and
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watched them do their day-to-day routines we were able to follow their navigation through
Bloomberg.
Figure 7D- Screen Shot of Bloomberg
Some other helpful tools that we obtained access to were the SharePoint and the N:\. These are
the public folders that we are able to post and retrieve information that other bank employees post on
these drives. Our communication with our London counterpart relied heavily on the use of SharePoint, a
collaborative tool that allowed us to share documents overseas with counterparts in London, England.
7.2 Interview Strategies
After becoming familiar with the applications and introductory materials we were ready to enter
the interview and observation stages of our project. This is something that can be referred to as social
engineering . Social Engineering is the practice of obtaining information through the use of social skills.1
We had to explain how our high level analysis will help in the big picture of the process flow of the banks
1 http://www.windowsecurity.com/whitepapers/Social-Engineering-The-Weakest-Link.html
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operations. We had to construct our questions specific to which we were speaking with and the time that
they had to speak with us. For example, our interview questioning for Front Office ended up being much
different than that of Middle Office. This was largely because Front Office does not have much time to
stop and talk because every second that is wasted could be a position that is missed in the market. They
are constantly reacting to what the market tells them, where as the Middle Office who works in a support
role to the traders are reacting to the actions of the trading events... It was very interesting to note the
differences in the way we formed questions, the differences in the type of answers we received and the
analysis that we were able to form from the information received.
7.2.i Middle Office Our strategy for questions to ask Middle Office and how to approach them was much different
than that of Technology and Front Office. We realized that Middle Office will have more time to speak to
us. They were able to take an hour or so to speak with us and not get too far behind in their workload.
Front Office, however, was the opposite. We knew that we needed to keep our questions to Front Office
very specific and be able to interpret their answers without having them explain too much to us.
Part of the reason that we started with Middle Office is because they had the time to explain the
different application usage and we got a chance to understand and see the applications in action. We
were then able to take what we learned from the applications and understand the answers that we were
getting from Front Office regarding those specific programs and not have to ask for explanation, which
they would not have time to do.
Upon the completion of our interviewing with the Middle Office we would ask them if it would be
alright to revisit them with any further questions. We asked for their email addresses and if we were
missing pieces of information from the workflow we were able to ask them via email or Microsoft Office
Communicator, quick questions so that we did not have to set up times to go speak with them while they
were busy. This served to be a great informational tool, the relationships we built during our friendly
interviews helped later by the ability to ask informal questions and get specific answers.
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7.2.ii Front Office
Figure 7E- Picture of Trading Floor in a Front Office
Our strategy for the Front Office had to be different than that of Middle Office for availability
reasons. We knew that the Trading Assistants and Sales Assistants, whom were the employees
represented by Front Office to which we spoke, would not have much time to sit and talk with us. We had
an experience where a member of our partnership had a one-on-one interview and did not obtain much
information because the Trading Assistant was far too busy to elaborate on any question that was asked.
Another strategy that we had for the Front Office that differed from the Middle Office was, we broke up
our team and had one-on-one interviews with the Trading Assistants and Sales Assistants. Instead of two
people asking questions while they were trying to perform their tasks we broke up and covered double the
amount of people and therefore obtained double the information. This was a successful interviewing
strategy considering the situation we were faced with.
Another difference between the interviewing strategies that we used between the two offices was
the way we asked for more information after the interviews were over. We communicated with the Sales
Assistants and Trading Assistants mostly by email after our interviews. In the Front Office they
communicate internally through Bloomberg Messenger. We did not have access to Bloomberg
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Messenger, and we did not want to interrupt their process of evaluating positions, so email worked best
because they could get back to us at their convenience.
This interviewing process was a great learning experience; it was valuable because we had to
master the process of information gathering, which is important in any industry. More often than not, how
you approach the question will depend on the quality of answer that you receive.
7.3 Interviews This is where the majority of our time was spent, the actual interviews. The following is our log of
the people who we spoke with and the information they shared with us.
7.3.i Middle Office Our first interview was with Julia Smirnova and Mark Zeltser (see Exhibit Meeting Minutes
10.28.08), these are Technology employees that support the applications that are mainly used by the
Middle Office. Julia and Mark are considered to be on the eBlotter Development Team, they deal with
functionality and the development of the programs that are being used. We sat with them first so that we
could get a demonstration of the eBlotter application and obtain access to this program, as we previously
stated the familiarization of these applications helped us later when talking to everyday users who
assume we have knowledge of their program.
Our next interview was with Kseniya Nahornaya (See Exhibit meeting minutes 11 3 08 MO and
Middle Office Ksenyia), this is where we asked the set of our pre-prepared questions (see Exhibit NY
Trade Capture Questions). One thing we noticed as a team was the high volume of information that we
had to sort through, to get the information that we needed. Ms. Nahornaya gave us so much information
about her role in eBlotter and the functionality of the program; we needed to separate the information that
we were getting into the information that is needed for this project. This taught us an important lesson; we
needed to make our interviewees more aware and understanding of the goals and outlines of our project.
We needed to do our best to guide them towards giving us the information that we are looking for and try
to stray away from all the roles of the job of a Middle Office employee. One thing good thing that we took
from the interview with Ksenyia was the general understanding of the flow of information and trade flow in
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and through Middle Office. She served as a great soundboard to ask quick questions whenever we
needed a little more guidance on a specific flow.
The next interview that we performed was with Mehreen Bashir, Mehreen is a Middle Office
employee with the title of Trader Support Analyst. Mehreen was very helpful and understood the purpose
of our project; we had more specific questions for Mehreen because we had just sat with her counterpart
in Ksenyia so we were able to fill in any gaps of information by asking Mehreen. Some specific questions
that we asked Mehreen were the color coordination and status messages that appear on eBlotter. We
realized that throughout this trade flow that we have been analyzing, trades hit problems and these seem
to be represented by status messages such as : N/A, Waiting for Pairing, Unsuccessful Match and Error.
We were able to watch Mehreen’s everyday tasks and see examples of these errors. We realized that this
was a part of the trade flow that we will need to further analyze. Mehreen gave us information on these
matching statuses and also cleared up some examples of technical problems that she has faced (See
Exhibit Middle Office Meeting 2 with Mehreen Bashir). We looked further into these statuses and
throughout our analysis created a simple workflow diagram of reasons for the statuses and steps to solve
these problems (See Exhibit Cheat Sheet). Mehreen was a big help in our Middle Office workflows
because she was very willing to share information and quickly return our questions. We ended up having
a follow-up informal interview with her to finalize our knowledge of the workflow throughout Middle Office
(See Exhibit Mehreen Follow-up).
The next employee that we interviewed was Christina Topol (See Exhibit 11-5-08 Christina Topol
Meeting); Christina is a Senior Analyst for GSP (Global Structured Products). We interviewed her mainly
for perspective on the difference between GCP (Global Credit Products), which is what we are analyzing,
and the Structured side, which helped our counterpart in London. We met with the London group and
obtained the questions they wanted us to ask Ms. Topol and relayed the answers to them. This interview
was more to assist in the progress of the London project than it was to benefit ours.
Another employee that we spoke with was Bryan Stonebraker (See Exhibit Bryan Stonebraker
Meeting), who is the Vice President of Trader Support. We asked Bryan what he knew about the Middle
Office Flow of Bonds, he was not able to help in that area because he does not deal with Cash Bonds,
however, pointed us to a man by the name of Robert Mondazzi who will help us. He did realize our goals
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of the project and provided us with some workflows of the DTCC Documentation Confirmation Process
(See exhibit Docs Flows).
Brad Pastorik became our Middle Office contact in Charlotte. But given the busy times, along with
the intense work load that the Charlotte Middle Office has, due to the Merrill merger, we could not get any
phone time with Brad or any of his colleagues. However, Brad took a list of questions that we sent him
and answered them in an email question by question. (See appendix Brad Email) At this point in our
project we only needed a few holes filled and even through an e-mail he did a good job of filling those
holes. Without his efforts we would not have fully understood how BANA and BAS worked together to
hedge some CDS Trades, nor would we have known the Middle Office involvement in this.
All of these interviews helped tremendously; after we were completed with this information
gathering we were able to put together a well crafted workflow diagram of the trade capture of Middle
Office (See Middle Office Bond Workflow & Middle Office CDS/CDSI Workflow).
7.3.ii Front Office The first Front Office employee we met with was Josh Woodby (See Exhibit meeting min
11.13.08 Josh). Josh is a trading assistant for one of the senior traders on the floor. A trading assistant is
someone who is a direct hand to a trader, they keep up with everything their trader is doing, booking
trades, keeping track of profit and loss, and helping them watch for potential positions. Josh was our first
look at the difference between Middle office and Front office. Josh was the busiest person we sat with, his
trader does the highest volume of any trader on the floor and it really showed when we sat down to ask
him questions. The first thing we learned from Josh was that he didn’t only book trades, he was
constantly keeping a running tally of everything going on, in an Microsoft Excel sheet. He told us it was
because he needed to keep track of his profit and loss statement as close to real time as he could.
Throughout the day traders with change their strategy based upon how they are doing. If they do very
well in the morning they may be able to make a riskier move in the afternoon and vise versa.
While one of us was interviewing Josh the other was interviewing another trading assistant, Ricky
Singh. (see exhibit meeting min 11.13.08 Rick) As this was our first day interviewing Front Office, we both
learned that we had to ask questions with precision in order to obtain useful answers. Unlike Josh, Ricky
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was a wealth of information, having only one trader above him he was able to talk a lot more then Josh.
He went over his job and booking a trade, showing us the different applications he uses while he did his
job. It was good that we had spent the prior weeks getting used to the applications because part of the
challenge was gathering information at a fast pace. It takes a trading assistant only a few seconds to
book a bond or a trade, thus capturing the process took a few trades to understand the flow. These two
trading assistants were very knowledgeable and offered us a lot of information, a perfect basis for us to
formulate questions and dig deeper into the process.
After we completed our interviews with the trading assistants we felt comfortable with that end of
the trade flow. However, we knew that there was another side, Sales, that has to match with trading. We
had not yet learned about that side and we wondered if the flows would be different or if they would only
have a few areas of difference. This is when we sat with the Sales Assistants.
The first interview we held with the Sales Assistants was with John Wong (See Exhibit Meeting
with John Wong Front Office). He was very helpful in spelling out what he did on the Sales side. He did
not know many differences off the top of his head because he was never a trading assistant, so he was
not as familiar with their trade flows. Some helpful information he did share was a step by step process
for the Front Office Cash Bond Flow. This was extremely helpful in our workflow diagrams because we
were able to put his steps into a visual representation. He also shared some information about time
tables for Bonds, such as Corporate Bonds are T+3 (Trade date + 3 days) versus Treasury and CDSs are
T+1 (Trade date + 1 day).
The next interview was with Will Enright (See Exhibit Meeting with Will Enright FO), who is also a
Sales Assistant. Will served as a very helpful resource because he had information from both the trading
and sales side. He was presently a trading assistant for many years and had just recently moved to be a
sales assistant. Will was able to provide insight to our working diagrams on the Trade Capture workflow
from both the CDS and Bond sides. He was very helpful in filling in gaps on the questions that we had
because he had experience on both sides. Will ended up being our most informative interviewee.
The last sales assistant that we sat with was Sheldon Andrews (See Exhibit meeting minutes
Sheldon FO). He filled in some gaps that we had regarding direct trades, he was the last Front Office
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employee that we spoke with, so at that point we had a clear view of the flows and he filled in the gaps
that we were unclear on.
After sitting with all of the Front Office employees our partnership obtained a clear view of the
workflow throughout Front Office and how it flows to Middle Office. With this information we were able to
put together a workflow diagram broken up by product across GCP.
These interviews made up the bulk of our daily routine and work load. We had to schedule
meetings with people, deal with cancellations, deal with lack of information and excess of information.
This was a project that was geared for students with personal skills, those who are able to obtain
information in an efficient and professional manner. Interviewing is an art that includes preparation,
performance and punctuality, all characteristics that made this process successful.
7.4 Presentation Strategies Before our final presentation we had presented our progress of the project twice, once to
Kurt Vile and again to Priscilla Wong and Carter Bateman. These are senior employees at the bank who
were interested and helpful in our progression. We knew these presentations would serve as both good
experience in presenting to professionals and also good practice for our final project in which we will be
presenting to Scott Burton, the most senior employee we have come across here at Bank of America.
Our strategy for our presentations was to approach it visually with a Microsoft PowerPoint in
which we displayed chronologically our progress weekly. We listed who we met with and what information
was shared along with the deliverables that we have created. We put an example of a deliverable on the
PowerPoint and also handed out hard copies of both the PowerPoint slides and the deliverable diagrams
and charts.
Upon the completion of our presentations we would also focus on improvement and suggestions
from those in which we presented. We encouraged comments and suggestions because we harped on
the fact that this was a work in progress and any suggestions that employees may make we had full
intentions on carrying out.
Presentations were something that we enjoyed doing because it gave us a chance to show all the
hard work and effort that we put into this project in a tangible way. We enjoyed listening to improvements
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and answering questions that employees had. This was great experience for the business world and any
presentation that we will have to make in our careers.
7.5 Coordination with London Counterpart Upon our introduction to this project we quickly learned that we would have a counterpart in
London that would be performing a very similar project task. However, originally the London group did not
have the resources that we did as far as connections with employees to interview. We had the help of
Jason Tondreau, whom was largely responsible for our ability to access the resources we needed. So to
help our London counterpart along we both posted our work and documents on a local shared page
called Share Point.
Figure 7F- Screen Shot of our Share Point with London group
Another way that the London group and our group stayed in contact was our bi-weekly meetings
every Monday and Thursday at 10:30 EST (See exhibits “London Group Meetings). We would hold
conference calls twice a week to see their progress and if either group has any questions for the other.
Their project focused on similar product lines, but had the difference in the area. They focused on GCP in
London while we focused on GCP in the US, this served as interesting comparison when the analysis
was completed.
Some of the London group’s resources were here in New York, so to help in their progress we did
an interview for them to obtain some information for their project and for perspective for ours. We
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interviewed the before mentioned Christina Topol, whom served as a good resource for the London
groups Middle Office research in GCP.
Having a counterpart for this project was great experience; we had to communicate bi-weekly
over the Atlantic Ocean to London, England. It was great experience for performing professional
conference calls and also keeping others informed daily on progress. We were happy to be of help to
another group.
7.6 Collaboration with Jason Tondreau Jason Tondreau is a Capital Markets Tech Associate, he served as the single most important and
helpful individual in our project. We met with Jason many times throughout the week (See Exhibits
“Jason Tondreau Meetings”), he provided us with insight, clarity and direction for this project. He
understood our project ideals and goals and helped us every step of the way in attaining those goals.
As group if we seemed to be confused about a specific operation in the bank, Jason served as a
soundboard for us to bounce questions off and he provided us with answers that were pertinent to our
goals. Another benefit of Jason being our overseer was his availability to us, we were able to ask him
quick questions and he would provide timely answers. He set us up with the interviews that we performed
because of his personal relationships with the people we spoke to.
His efforts in this project helped escalate it to the level where it has reached and without his help
and collaboration we would not have been able to accomplish as much as we did in the time that we had.
In a corporation the size of Bank of America it is not an easy feat to accomplish interviews and
information gathering in seven weeks. With Jason’s help we were able to manage our time accordingly
and eliminate non-value added time such as figuring out who to interview and how to contact those
employees.
7.7 Communication with Project Advisor We have met weekly with our Worcester Polytechnic Institute Project Advisor Arthur Gerstenfeld
and spoke about our progress. We held conference calls every Friday at 9AM EST with Professor
Gerstenfeld and answered some questions that he would have regarding our project. Some standard
21
questions that he would ask would be, what we had accomplished in the previous week, what we had not
accomplished and what we have planned to accomplish the following week.
Professor Gerstenfeld also required a one page summary of our progress for that week including
the answers to what we had not accomplished and why. We would write Professor Gerstenfeld
summaries every Thursday and have follow up conversations on the following Friday. This was a good
resource to have because it reminded us weekly that this is very important not only to us as students but
also to the institution of WPI as well. He reminds us that we are representing our college and our work
here will reflect Professor Gerstenfeld and WPI. We are fortunate to have been selected for this project
and are honored to represent Worcester Polytechnic Institute.
8. Information Gathered This section covers the information that we obtained in the 7 weeks that we spent at Bank of America. We
gathered this information through the use of various tools and employees that were willing to share their
knowledge of the process.
8.1 CDS Front Office Flow The process at Bank of America in which a credit default swap trade goes through seems simple
at first glace. Most think it is as simple as booking a trade and the trade going to the clearing house.
However, it is a very complex task, one that heavily relies on technology. Understanding how technology
interacts is the key to understand the trade flow in the company.
The Front Office, otherwise known as the trading floor, is where the process starts. Every trade
has a sales side and a trading side (with few exceptions). Generally the sales side of the trade is the side
that deals with the customers, and the trading side is the side that represents the bank and their positions
in the market.
There are four main ways a sales assistant or a trading assistant finds a trade after their
salesman or trader agrees on the terms. Some write the information down on a paper blotter and the
assistants stop by and get them on a regular basis. This is not common however; the more common ways
lie in the tools they use. E-blotter has two ways an assistant can check on their superior, one way is using
the filters that the program has, and the other is using a report called the mismatch report. Finally, the
22
assistants are constantly checking Bloomberg Messenger for information on what their traders are doing.
Many of the traders and salesmen use this as their main source of communication with their assistants.
Another more technological based way that trades happen here at BOA is through a program
called Robots. (see Robots interview with Howard in attachments) Robots is a program that allows
customers to electronically send a list of positions and in a short period of time find out where many
traders stand within those boundaries. Robots takes a spreadsheet and then identifies the fields needed,
it then communicates with the other systems to match what the customer is looking for to the traders that
trade within those industries. Then, the trader gets a message from Robots and displays the list that the
customer sent out. Then they respond with any moves they want to make and submit it back to the sales
side where the customer will be contacted. Trades get struck many different ways, what happens to them
after that was the process we were asked to analyze.
Once a trade is booked the assistants on both sides of the trade have to book the trade into the
appropriate system. For Credit Default Swap trades, Bank of America uses a proprietary program called
E-blotter. E-blotter is the first place the trade information goes once it leaves the traders or salesmen.
Other programs reference E-blotter and take information from it. In the blotter there are buttons that are
used to navigate through the different functionality of the application. When booking a trade there are 2
main buttons; the Quick Ticket button, (usually used in booking single name trades) and the Add button
(index trades).
Figure 8A- Screen Shot of eBlotter Quick Ticket and Add Function
These buttons bring up 2 different windows that allow the employee to fill in the required data for
trade input into the system.
23
Figure 8B- Screen Shot of Quick Ticket
Figure 8C- Screen Shot of Add New Function
24
As the assistants are filling in the required fields they need to see if the trade has a fee attached
to it. Fees are one way that banks make money. There are 4 different categories that cause a fee to be
calculated. If a trade is labeled “Unwind” or “Assignment” then to calculate the fee, the employee uses
Bloomberg and fills in original effective date, original price, new price, and notional price. If the trade is
labeled “Point up front” a fee is charged as a percentage of the notional. Finally if a trade is labeled as an
“Index trade” then the fee is calculated by entering the notional and price into Bloomberg.
Figure 8D- Screen Shot of Bloomberg Fee Calculation Screen
Once all the fields are filled in, the trading assistant or sales assistant clicks the OK or Save Button and
the trade then enters E-Blotter.
8.2 CDS Middle Office Flow Once a trade is saved, it shows up in eBlotter with a status flag attached that says “Needs
Matching”. At this point eBlotter checks every trade before sending them to Derivmatch for matching.
Derivmatch is a matching application that the bank uses to pair and match trades. EBlotter scans each
trade to be sure all fields have a valid entry. If it does not have a valid entry or the desk is set up not to
25
auto match eBlotter will attach an “N/A” flag to the trade (see N/A for problem resolution). Next, TEA, the
messaging system used to transport information from application to application, transports the trade
information to Derivmatch. Derivmatch sends a message back to eBlotter to attach the flag “Waiting for
Pairing” to the trade. This means that Derivmatch has received the trade information and is going to
attempt to find the other matching side. If the trade stays in the Waiting For Pairing status for more than
25 seconds then something could be wrong (see waiting for pairing for problem resolution). The entire
process thus far takes seconds.
Once Derivmatch finds a match, it sends a signal back to eBlotter through TEA to attach the flag
“Successful Match”. EBlotter then categorizes the trades into either single name CDS or index CDS
products and puts them into the corresponding loading tables. These tables are then queried by other
applications. The application that queries the index trades is Advantage, an application designed to be
another holding tank for trades. Advantage performs calculations and contributes to the back end of the
system of trade capture (after the trade is captured a lot of information processing goes on, Advantage is
one place it starts for indexes).
Figure 8E- Screen Shot of Advantage
26
The application that queries the single name CDS trades is called IRP. IRP is an application also
designed to be a holding tank for trades, it also does calculations and contributes to the back end of the
system (after the trade is captured a lot of information processing goes on, IRP is one place it starts for
single name CDS trades).
Figure 8F- Screen Shot of IRP
Once the trades have made it into these applications they are then queried by another
application, Avalon. Avalon reads whether the trade is suitable for the Depository Trust and Clearing
27
Corporation. If it is not, then it goes back to Middle Office to be amended and double checked. If it is then
it goes on to the DTCC for matching.
8.3 Bond Front Office Flow The Flow of the Front Office for Bonds is similar to that of CDSs. Through various resources
traders and salesmen agree on terms of a trade. It can be initiated from either side Sales or Trader,
Salesmen would be contacted by a client with positions and traders would trade positions that they feel
will become profitable.
After the assistants find the trade they enter the proper information into their Buy or Sell ticket in
Bloomberg. Some fields they will enter are Ticker symbol, Coupon and Yield to
Maturity.
Figure 8G- Screen Shot of Bloomberg Sell Ticket
After the trade terms are agreed upon the salesmen and traders contact their respective
assistants. Traders will contact trading assistants and salesmen will contact their sales assistants, and
they will find the trade that just happened. Some ways assistants find the trade is by Bloomberg
28
Messenger, a Paper Blotter, a mismatch report, filters in eBlotter etc.
Figure 8H- Screen Shot of Bloomberg Buy Ticket After both parties have entered their respective Buy or Sell tickets, the trade goes to the
matching phase. Both Sales and Trading must have identical tickets for this to match in Bloomberg. If the
trade does not match then the sales assistant or trading assistant contacts the necessary party to amend
the error.
Once this error is fixed the trade should match, if it still does not it goes back to the trading
assistant or sales assistants’ desk and they must contact more employees to resolve this issue.
If all goes well and Bloomberg matches the trade successfully, the trade then goes to Back Office
and DTCC.
8.4 Bond Middle Office Flow It was difficult to gather information about the Middle Office bond flow. The people who deal with
bonds in the Middle Office were in Charlotte, with the merger fast approaching they were far to busy to
speak in depth about this with us. We did however; gather enough information to have a basic
29
understanding of what the Middle Office has to do with Bonds. Bonds are booked through Bloomberg and
go directly into the clearing house, what the Middle Office has to do with bonds is to double book them in
IRP IF they are to hedge a CDS position. Hedging a CDS position is when a trader wants to buy a risky
CDS but cut down on the risk by also buying a guaranteed bond. The trader will purchase the CDS under
one entity of Bank Of America (BANA) and then the risk-less bond under another (BAS) when Middle
Office sees this they will book a Total Return Swap buy ticket in the opposite entity that the bond was
booked in (BANA). Then they will book a Total Return Swap sell ticket in the entity that the bond was
booked in (BAS). This protects the risky CDS without ever purchasing the bond in the entity that the CDS
is purchased in. This allows the traders to take positions they wouldn’t normally be allowed to take without
affecting their portfolio. The Middle Office takes care of the booking these in order to keep the books
balanced.
9 Recommendations
Upon the completion of our project we came across many aspects of trade flow and operations
through GCP that could be improved. We started with the Front Office, took suggestions from employees
and also brainstormed our own. We came up with a list of recommendations and ordered them by priority
and also labeled by Long Term and Short Term.
9. 1 Front Office Recommendations Our first recommendation for Front Office is to develop a process that makes obtaining trade data
more accessible. Most TAs use some sort of blotter, whether it be paper blotter or an electronic Microsoft
Excel spreadsheet blotter, they are all different. Our recommendation is to find a way to minimize the
effort take by the trader, and enter the information that they are currently inputting into a system that will
constantly be calculating Real Time PnL. A way that this could be implemented would be to tie Flash and
ODIN more closely. Flash is the system that is constantly producing PnL for the Trading Assistants but if
ODIN could have Flash-like characteristics this would be advantageous. Traders and Trading Assistants
are already inputting information, just in different places depending on the trader, this recommendation
would consolidate and also be the first steps toward Real Time PnL.
30
The next step in this process would be to develop a Quick Ticker function in ODIN that would be
a pop-up when a curve in ODIN is selected. There would be information in the curve that would be
automatically generated into the Blotter view in ODIN, and all that would be left to fill in would be Notional,
Trade Price, Counterparty, Broker, and Sales Person.
Figure 9A Example of Possible ODIN Quick Ticket Interface
inventory of Paper Blotters. Also this would eliminate the copying and pasting from Excel to Odin.
Our next Front Office Recommendation is to create a Technology Maintenance Team. This
team’s specific job would be to clean up the applications used on a daily basis for trade capture through
GCP. Employees in the bank have expressed the fact that it would be possible for them to work all day
just on that task. We felt as though it would be beneficial for a team to clean up areas of applications such
as eBlotter. Examples of areas to clean up would be the eBlotter audit trail, portfolio names, trader
names, user access etc. Some examples of ODIN cleanup would be User Access, Security Ownership,
Book creation and links to Bloomberg etc.
This recommendation would be a short term one, a team could be created to perform such tasks
and stop the bogging down of applications and improve the trade capture process.
9.2 Middle Office Recommendations
31
The first Middle Office recommendation would be with STP Compare, STP Compare is a function
of eBlotter that allows Middle Office employees to compare the trades booked in eBlotter with trades that
IRP show. This function allows users to run reports based on the information, these reports can be filtered
by Region, Desk and Blotter Date. The issue is that users would like the functionality to be able to filter
by All Desks, and by product such as CDS, Bond, CDS Index. This would improve the usability of the STP
Compare reports that are generated.
Figure 9B- Example of New Functionality that is requested to be added to STP Compare
The next Middle Office recommendation we decided to include would be focusing more on
Advantage. Currently single name CDS are processed in IRP and CDS Index are processed in
Advantage. Advantage is a relatively new application with a massive amount of functionality. Employees
in the bank expressed the feeling that we are currently using less than 40% of the functionality of
Advantage. It does not make sense to have the two similar products being processed by two different
applications. As far as the volume is concerned, IRP handles 96% of all trades that are booked on
average throughout the four main desks of GCP. Advantage handles 2%, with more support and
functionality Advantage seems to be able to handle the volume that IRP does and would then consolidate
the products to one system.
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9.3 Global Recommendations
The first recommendation that we discovered was grouping of permissions throughout specific
applications. Currently permissions to applications are given one-by-one in the specific application that
the user needs. For example, if a new employee joins the Technology group, someone must go into every
application and grant that user permission one-by-one; which leaves room for human error. Our
suggestion was to link all employees to their corresponding groups that they are a part of. These groups
would then be linked by the function of permissions to their corresponding group permissions by
application. For example, if a new member is hired, and he/she joins Technology group, the only change
made would be to add the person to that group. Then their group is already linked to the corresponding
permissions that they should have.
We decided to spell out the steps that are needed to perform this task; 1. Identify All Unique
Groups within GCP. 2. Identify all Restrict able Functions of permissions. 3. Identify corresponding
permissions that are needed by specific groups. 4. Link employees to respective groups, which are linked
by function to permissions. 5. Build Reference Data System into an application called “WPI>RPI”. 5. Link
“WPI>RPI” to all relative applications that require permission assignments.
33
Figure 9C- High-level Example of Grouping Recommendation
Next we will discuss the recommendations that we developed for eBlotter improvements. When
we sat down with the office employees the first thing we would ask them is if they could think of any pain
points, or functionality that they wish they had in their applications. In eBlotter we noticed that employees
would like a Broker Tab for the Mismatch Report, this would help Middle Office employees get in contact
with the Brokers that most likely caused the mismatch. We were pleased to see that just weeks after we
had noticed this need for change, it was implemented in the latest release of eBlotter.
The next suggestion that we came up with was to add a free text form to the search function in
eBlotter. This would serve the purpose of easier searchability and minimize time take for drill down lists
and mis-clicks. There are often times where employees want to search by something that is not available
Matt Doherty Tyson Nason
Jason Tondreau Adnan Gandhi
Whit Smith
Technology Trader Support
Trader TA SA
TradeModifier STPLoader
Configuration Audit
Delete CDSISalesCredit
EMPLOYEES PERMISSIONS GROUPS
WPI>RPI
ODIN eBlotter Risk Engine
34
from the drop down list, this causes problems and a free text form would alleviate that.
Figure 9D- Current State of Search Function in eBlotter
Figure 9E- Example of recommendation for search function in eBlotter
Lastly in eBlotter, improving the filter would help everyone. Middle Office employees want to be
able to filter by indexes, and also include date ranges . The eBlotter filter should be able to be used for
both single name CDSs and indexes as well, with the functionality to filter by certain dates.
Figure 1F- Current State of Filter in eBlotter
Figure 9G- Example of Filter Recommendation
The last Global Recommendation would be Quarterly Coordination Meetings between Front
Office Groups. Technology, Trade Support, TAs, SAs and Principals should all sit down quarterly to
discuss their current state and how the processes that are currently being run are performing. There are
35
currently meetings to discuss future releases and functionality, but we felt that there should also be
meetings to discuss current state. The more coordination and cooperation the better a system and team
works.
10. Appendixes
10.1 Glossary of Terms 1. Advantage: System to book, value and manage interest-rate and credit derivative positions. 2. Bloomberg: A financial services company that provides information and tools, including e-mail
(e.g., Bloomberg to Bloomberg, Bloomberg to Internet and Bloomberg instant messaging). 3. Bond: An interest-bearing debt obligation issued by a government or corporate entity that is usually
repayable on a specified date or dates and which carries a specified rate of interest payable periodically.
4. Coupon Yields 5. Credit Default Swap (CDS): an over-the-counter contract to transfer credit-risk, in which the buyer of
protection pays a premium and the seller of protection makes a payment in the event of defaulti 6. Credit Default Swap Index (CDSI) a number of credit default swaps that are traded together. 7. Depository Trust Clearing corp. (DTCC) A 3rd party clearing corporation that clears all CDS trades
between banks. 8. Derivmatch: Proprietary trade matching application 9. EBlotter: an application that serves as a storage warehouse for CDS and CDSI trades 10. Error: Status flag that eBlotter attaches to trade if there is something wrong with TEA or Derivmatch 11. Fixed income: Fixed income securities are issued by governments or corporations, and have a
maturity date, when the issuer has to pay the investor the principal plus interest. 12. Front Office 13. Global Credit Products (GCP): Business entity that all credit products are traded under. 14. Global Structure Products (GSP): Business entity that all structure products are traded under. 15. IRP: The Capital Markets back-office system, used to support the combined company of NationsBank
and legacy Bank of America, that interfaces with Model Bank's Integrated Mainframe Monetary and Control system (IMPACs) and Global Corporate and Investment Bank's (GCIB) Institutional Demand Deposit Account System (IDS) through a Transaction Exchange (TrX).
16. Merrill Merger: Bank of America acquired competing entity Merrill Lynch, Merrill’s stock holders passed the acquisition in early December of 08.
17. Middle Office: A division of BoA that monitors and regulates trades done across the GCP and GSP network.
18. N/A: Status flag that eBlotter attaches to trade if a trade is supposed to be booked manually or there is something wrong with the way it was set-up in the system.
19. Odin: front end pricing application 20. Quick Ticket: a button in eBlotter that allows for a speedier booking of a CDS or CDSI trade. 21. Robots: An application used by the sales team that allows the customer to send a list of positions to a
list of sales members and traders. 22. Sales Assistant: Employee working directly under a Salesman, booking trades and helping with
research and other various tasks. 23. SharePoint: Bank of America's enterprise collaboration platform that allows teams to create sites for
information and knowledge sharing, as well as document and workgroup collaboration, benefits that help increase individual and team productivity. Leverages BANK 2000/ 2003 and is tightly integrated with Office desktop applications.
24. STP Compare: A Button in eBlotter that allows the user to compare what the blotter has recorded to what IRP has recorded.
25. T+#: the number of days a trade takes to clear. 26. TEA: Application used to move data from app to app. Example: moves trade data from eBlotter to
Derivmatch.
36
27. Technology Division: Intermediaries between the development teams and the traders. They help out the floor and the developers to make sure everything runs smoothly.
28. Total Return Swap (TRS): A swap in which one party pays the total return (dividends plus capital gains) on a reference asset, and the other party pays a floating rate such as LIBOR.
29. Trading Assistant: Employee working directly under a Trader, booking trades and helping with research and other various tasks.
30. Unsuccessful Match: Status flag that eBlotter attaches to trade if it finds the corresponding trade but not all fields match.
31. Waiting for Pairing: Status flag that eBlotter attaches to trade when a trade has reached Derivmatch and waiting to be paired
10.2 eBlotter Matching Status Errors This section will explain and show what happens when eBlotter returns a specific matching status. These
diagrams will explain why the status happened and how to resolve it.
Appendix 10.2.i: N/A If there is an un-entered field, the field was set-up wrong initially, or the desk was set-up to be
manually checked every time (most common) then eBlotter will not send the trade to Derivmatch and will
attach a N/A flag to it. The first thing the Middle Office employee does is check to be sure the desk is not
set up to feed back N/A. Some desks are initially set up to be N/A because the bank does not trade with
them often, has never traded with them before, or has seen many problems booking with a specific broker
or counterparty they would like the Middle Office to check the trade over before booking. If the desk is set
up to feed back N/A the Middle Office will manually book it, checking that all fields are accurate. If it is not
because the desk is set up to be N/A, then the Middle Office has to manually find the other side of the
trade match. If they can not find the other side of the trade by searching for it then they call the trading
assistant or sales assistant in the Front Office that booked the trade and ask them for assistance. Once
the trade is found, it can go through two different processes. If the trade change is non-economic, it
needs to be changed by the Middle Office and booked by them. If the trade change is an economic error
then the Front Office must fix it and re-enter it in the auto matching system. If for some reason the trade
can not be found or still will not go through, then the Middle Office needs to call the Technology Division
on the trading floor to get things worked out. The Tech Division will find the problem and either fixes it or
contacts the appropriate Development Team and collaborates with them to resolve the issue.
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Figure 10A – eBlotter status N/A
Appendix10.2.ii: Waiting for Pairing If a trade gets stuck in Waiting For Pairing that means that Derivmatch can not find the trade.
When this happens Middle Office will then attempt to manually find the trade. They will search the Trade
ID and use the filter function in the blotter to show them unique parts of the trade such as counterparty or
trader. If the trade error is an economic problem then the Front Office will fix it and re-enter it in the auto
matching system. If for some reason the trade can not be found or still will not go through, then the Middle
Office needs to call the Technology Division on the trading floor to get things worked out. The Tech
Division will find the problem and either fix it or contact the appropriate Development Team and work with
them to resolve the issue.
Figure 10B – eBlotter status Waiting for Pairing
38
Appendix10.2.iii: Unsuccessful match Derivmatch can match a trade as long as it knows if the trade is a (1)Buy or Sell, (2) the trader,
(3) the notional, (4) the price, (5) the counterparty and the (6) ticker. All other fields can be different, but in
the case where one or more fields are different Derivmatch will send a signal to eBlotter (via TEA) that it
has found the other side of the trade but not all fields match. EBlotter then attaches a flag that changes
the status from Waiting For Pairing to Unsuccessful Match. The Middle Office or the Front Office
employee will then use a button in eBlotter called Mismatch Report. This report shows the differences
between the similar trades. Middle Office will then evaluate if it is an economic change that needs to be
made or not. If the trade is an economic error then the Front Office will fix it and re-enter it in the auto
matching system. If for some reason the trade can not be found or still won’t go through then the Middle
Office needs to call the Technology Division on the trading floor to resolve the issue. The Tech Division
will find the problem and either fix it or contact the appropriate Development Team and work with them to
resolve the issue.
Figure 10C – eBlotter status Unsuccessful Match
39
Appendix 10.2.iv: Error One function of the Middle Office is to enter new information into the various databases. If they
forget to check a box or input a name incorrectly when that piece of information is referenced it does not
respond, thus, resulting in an error message. Another way a trade could be flagged with an error
message is through a direct trade. This is when two traders, one in Bank of America and another outside
of the bank, strike a deal, but they need a sales person to facilitate one side of the trade. The sales
person will facilitate that side but the trade does not belong to them, it belongs to their affiliate trader. All
three will enter the trade and the system knows to match the 2 traders and leave the sales leg alone. If an
error message is not because of a direct trade, then the Middle Office has to resolve the problem. If they
can not find the data that is not in sync, then they have to call the Technology Division on the trading
floor. They will then attempt to find the problem and if they can not they will call the Corresponding
Development team.
Figure 10D – eBlotter status Error
40
Appendix 10.3 Data Analysis Results (Metrics)
Figure 10E – Volume / Edit percentage breakdown
Volume Percentage Breakdown by Trade Type
0.00%
20.00%
40.00%
60.00%
80.00%
100.00%
120.00%
Bond CDS CDS -Index
CDS -IndexHY
FX GovBond
Trade Type
Per
cent
age
of T
otal
0.16% 0.20%
2.43% 0.31% 96.79%
0.11% % of Total
28876 45 57 701 90 279533 Grand Total
826 3 823 US - Distressed
701 691 10 US - CST - Index
18739 29 51 2 77 185613 US - CST - IG
8610 16 6 5 3 8560 20 US - CST - HY
Grand Total
Gov Bond
FX
CDS Index
CDS - Index
CDS
Bond
Trading Desk
Trade Edits in eBlotter from 10/20/08 -11/17/08
41
Appendix 10.4 Workflow Diagrams This represents the majority of information gathering that we performed. We decided representing this
information in a visual manner would be the best way to easily present and understand the flows of Bank
of America. These diagrams start with Front Office operations for Bond products followed by Middle Office
Activity for Bond products. Next is Front Office operations for CDSs followed by its corresponding Middle
Office Flow. Last is the potential matching statuses that may occur in eBlotter and how they happen.
42
43
44
Both
Tra
der
Sale
s
Global Credit Products Current State Front Office Flow CDS / CDSI
Salesman
Customer contacts
salesman
Phone, Email, Word of
mouth
Trader
Works towards position
based on strategy. Or
Contacted by Salesman
Phone, Email, Word of
mouth, Bloomberg,
Robots
E-Blotter
Agree on terms of trade
Phone, Email, Word of
Mouth, Bloomberg
Phone, Email, Word of
Mouth, Robots
Sales Assistant
SA finds trade through
various methods
Paper blotter, e-blotter
(mismatch report,
filters), Bloomberg
Messenger
Trading Assistant
TA finds trade through
various methods
Paper blotter, e-blotter
(mismatch report,
filters), Bloomberg
Messenger
SA/TA
Both parties use Quick
Ticket or Add New in E-
blotter to fill trade
details in
E-blotter
Fees?
Yes
NoSA/TA
Saves Trade in E-blotter
E-blotter
No
Yes
No
SA/TA
Assignment, Unwind
need to fill in original
effective date, original
price, new price,
notional
Bloomberg
Index?
Assignment,
Unwind?
SA/TA
Fill in Notional and Price
and fee is calculated
Bloomberg
SA/TA
If Trade is an Unwind,
Assign, or Points Upfront
fees must be calcualted
Bloomberg
SA/TA
Points Up Front fee is %
of Notional (calculator)
Bloomberg
TEA Derivmatch E-BlotterManual AdvantageIRPBloombergExcel This pages covers Front Office CDS / CDSI Flow
Middle
Office
45
46
STRAIGHT THROUGH PROCESS NOTES 32. E-Blotter
• eBlotter is Bank of America’s trade managing system used to book CDS and CDSI trades. 33. Have all required fields?
• E-blotter checks every trade before sending it to Derivmatch for matching. It scans each trade to be sure all fields have an entry. If there is an un-entered field ,the field was set-up wrong initially, or the desk was set -up to be manually checked every time (most common) then e-blotter will not send the trade to Derivmatch is will attach a N/A flag to it.
34. TEA • Tea is a messaging system that transfers information between applications
35. Derivmatch • Derivmatch matches trades by looking at each entry field and finding its counterpart. As it is looking, it feeds TEA a signal to tell E-blotter its looking when the
blotter remains in that status for more then 30 seconds to a min, depending on volume, then Derivmatch can not find a match. 36. Waiting for Pairing
• Once Derivmatch send back a signal that it has received the trade and has put it in it’s queue to find a match it gives back the waiting for pairing status 37. What is a Flag
• Every status message is a flag that is attached to the trade by e-blotter letting the systems communicating with it know where it is going or what to do with the trade
38. Tables • Based on product type e-blotter categorizes each trade into 2 tables based on what system they will be stored in. The first table is IRP Loads table, the second,
Advantage Loads table. These tables correspond with the IRP system used for single name trades and the Advantage system used for Index trades. 39. IRP
• IRP is “a data holding tank” for single name CDS’, as well as other products. Single name CDS’ get stored here after matching, other system applications can then access the information.
40. Advantage • Advantage is “a data holding tank” for Index CDS’. Like IRP products get stored here after matching and other applications draw from Advantage and process the
information. 41. Queries
• Derivmatch queries the IRP Loads Table, (IRP is the database single name CDS and Bond Trades go for storage) TEA messaging system queries the Advantage Loads Table ( Advantage is the database that all CDS Indexes and associated products go for storage)
42. Avalon • Avalon is one of the programs that access IRP and Advantage to process the matched trades. Avalon’s function is to check whether the trade is suitable to be sent
to the clearing corp. (DTCC). If it is then the trade gets sent through the pipe, if it isn’t then it gets sent back to middle office for fixing. 43. DTCC
• The Depository Trust & Clearing Corporation provides clearance, settlement, and information services for equities, corporate and municipal bonds, unit investment trusts, government and mortgage-backed securities, money market instruments, and over-the-counter derivatives. It is a public company that is user-owned and directed; it automates, centralizes, standardizes, and streamlines processes that are critical to the safety and soundness of the world’s capital markets.
47
48
STATUS N/A NOTES 1. Problem with TEA 2. TEA won’t send the signal because e-blotter has not attached the proper flag (Needs Matching). This is because there is something set up
wrong or technically wrong with the trade. 3. N/A
a. E-blotter attaches the flag N/A onto the trade because something is missing in the trade or it is set-up to not auto-match (not send the signal to Derivmatch)
4. Desk set up to be N/A a. Some desks are initially set up to be N/A because the bank doesn’t trade with them often, has never traded with them before, or
has seen many problems booking with a specific broker or counterparty they would like the M.O. check the trade over before booking.
5. Tea cant read sales person or broker a. If the desk is not set up to feed an N/A status back then it is a critical data entry that is blank, unrecognized, or unreadable. If Buy
/Sell, trader, notional, price, counterparty are not entered correctly or if the trader, broker, or sales person has never traded with the bank before then e-blotter will attach an N/A status.
6. Set-up to feed N/A a. If the desk is set –up to feed back an N/A status it is because the bank has chosen to manually check every trade that comes
through that desk. This could be because of frequent errors, or because of infrequent trading with the desk. 7. Economic Field
a. If an adjustment has to be made to an economic field the middle office has to send it back to the front office to be fixed. Economic fields include price, notional, and fees.
8. Find match (Ways to find trade) a. There are a few ways to find a trade in the current system:
i. Looking at the sales blotter and the trading blotter side by side is the typical method used by M.O. ii. Mismatch report iii. Bloomberg recap
49
TEA Derivmatch E-BlotterManual AdvantageIRP Other
A3 Automated
Stuck In Waiting for Pairing Status
E-Blotter
Automated
Derivmatch can not find
pair for trade
Derivmatch
Manual
M.O. User attempts to
manually find both sides of trade.
Compares E-blotters
Manual
Checks Broker
Confiramation to see if it is a system problem
Check Broker
Confirmation
A5
Global Credit Products Current State Middle Office Flow – 4. E-blotter Status CDS / CDSI- Waiting For Pairing
Manual
M.O. User fixes non-
economic field
Trade is Inspected
Manual
TA Gets Message and
references trade details
TA/ SA Receives Message
Manual
Fixes Economic field and
Books Trade
TA/SA
Economic
Field?No
Yes
Find Match?
Manual
Calls TA/SA ( Person who
booked trade for BOA)
M.O.User
Yes
No
Manual
M.O. User Calls Tech
M.O. User
Manual
Tech looks into problem
Tech
Fix Themselves?
YES Manual
Fixes Problem
Tech
NO
Manual
Tech troubleshoots with development teams
Development teams
System
Problem?
YES
Manual
M.O. User books trade
M.O. User
Manual
Lets Middle Office Know
Problem has been resolved
TechNO
This pages covers Trouble shooting for E-Blotter Status Waiting for Pairing Each Number corresponds to a Note each bubble corresponds to an interruption in the process
1
2
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STATUS WAITING FOR PAIRING NOTES 1. Ways to find trade
a. There are a few ways to find a trade in the current system: i. Looking at the sales blotter and the trading blotter side by side is the typical method used by M.O. ii. Mismatch report iii. Bloomberg recap
2. Economic Field a. If an adjustment has to be made to an economic field the middle office has to send it back to the front office to be fixed. Economic
fields include price, notional, and fees.
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Global Credit Products Current State Middle Office Flow CDS /CDSI – 5. E-blotter Status - Unsuccessful Match
Automated
Derivmatch matches
trade but finds some
fields that do not match
Derivmatch
A4
TEA Derivmatch E-BlotterManual AdvantageIRP Other This pages covers Trouble shooting E-blotter status for Unsuccessful Match
Manual
User clicks Show
Mismatches and
Identifies differing fields
E-blotter
A5
Manual
M.O. User fixes non-
economic field
Trade is Inspected
Manual
TA Gets Message and
references trade details
TA Receives Message
Manual
Call TA/SA (Person who
booked trade for BOA)
Phone or Email
Manual
TA Fixes problem and
books trade
TA
Economic
Field?
No
Yes
Find Match?
Manual
Calls TA/SA ( Person who
booked trade for BOA)
M.O.User
No
Still no match?
Manual
M.O. User Calls Tech
M.O. User
YES
Manual
Tech looks into problem
Tech
Fix
Themselves?YES
NO
Manual
Tech troubleshoots with
development teams
Development teams
NO
Manual
Manually Books Trade
M.O. User
Manual
Tech Fixes Problem
Tech
Manual
Lets M.O. Know Problem
Resolved
Tech
YES
Each Number corresponds to a Note each bubble corresponds to an interruption in the process
12
3
4
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STATUS UNSUCESSFUL MATCH NOTES 1. Unsuccessful match
a. Derivmatch can match a trade as long as it knows if the trade is a buy or sell, the trader, the notional, the price, and the counterparty. All other fields can be different, but in the case where one or more fields are different Derivmatch will send a signal to e-blotter (vie TEA) that it has found the other side of the trade but not all fields match. E-blotter then attaches a flag that changes the status from Waiting For Pairing to Unsuccessful Match,
2. Mismatch a. The M.O. User will click on the trade and hit mismatch report in the blotter, that feeds back the mismatched fields and then the
M.O. User can fix the problem or turn the TA/SA onto the problem. 3. Economic Field
a. If an adjustment has to be made to an economic field the middle office has to send it back to the front office to be fixed. Economic fields include price, notional, and fees.
4. Find match (Ways to find trade) a. There are a few ways to find a trade in the current system:
i. Looking at the sales blotter and the trading blotter side by side is the typical method used by M.O. ii. Mismatch report iii. Bloomberg recap
53
54
STATUS ERROR NOTES 1. Direct Trade
a. A direct trade is when 2 traders strike a deal, but they need a sales person to facilitate one side of the trade. The sales person will facilitate that side but the trade does not belong to them, it belongs to their affiliate trader. So all three will enter the trade and the system knows to match the 2 traders and leave the sales leg alone.
2. Ref data not in sync a. One function of the middle office is to enter new information into the various databases. If they forget to check a box or input a
name wrong then when that piece of information is referenced it does not do what it is supposed to. Thus resulting in an error message.
3. Automatic Logging rule a. The automatic logging rule corresponds with e-blotter knowing to match the 2 traders’ trades and leave the sales trade in the
system. 4. Dead
a. The trade remains on e-blotters screen until it clears the system overnight
55
Appendix 10.5 Pain Points This chart lists pain points that employees of Bank of America expressed during our project. We includ ed possible frustrations along with possible improvements that were discussed.
PAIN POINTS THROUGH GCP
FRONT OFFICE MIDDLE OFFICE
PR
OB
LEM
S
• Manual Granting of Permissions • Disorganization of Trading Blotters • Paper Blotters • Differing Excel Blotters • Application Maintenance Need • Lack of Coordination between Groups
• STP Compare issues • eBlotter Functionality Changes
o Filter doesn’t include index trades when a trader is filtered o Filter function is limited
• IRP Inferior Support
o Only few members to support system • Advantage has entire support team
IMP
RO
VE
ME
NT
S
• Grouping of Permissions
o “Bucket” Permissions by Group
• To Standardize Electronic Blotter (Excel, Odin)
o Standard P & L excel sheet o Electronic P & L in Odin
• Technology Maintenance Team • Quarterly Coordination Meetings • Discus goals for future releases, applications
• Add Broker Tab to Mismatch report in eBlotter • Improve Filter function to include free text Form, include indices, • Move away from IRP
o Consolidate systems o Advantage can handle the products and has the support to
take on the added load • STP Compare
56
Appendix 10.6 Cheat Sheet This chart represents a reference guide that could be used when eBlotter matching status problems occu r. This covers why the problem
happened, what to do to fix it and who to call for help.
57
Appendix 10.7 Meeting Minutes This appendix represents all of the notes and docum entation of every meeting that we
performed at Bank of America. We standardized the fo rmat to be able to reference these
documents. The documents tell the reader what infor mation was shared and what actions
are expected to be completed after the interview is completed.
Minutes of Meeting: Front Office Meeting with Sheldon Andrews Participants : Tyson Nason, Sheldon Andrews Date: 11.20.08 Time: 10:00 am Location: 3rd floor Agenda: Finish Initial SA interviews to have open communication between the maximum number of people Information Shared:
• I showed Sheldon the drafts of the flow diagrams that we have made to see if he had any input advice on his side of things.
o The only thing he has to add was the direct trade flow is a little different for him � Being that he checks 2 other apps on the regular to be sure he doesn’t fall
behind (or miss a direct trade he should have booked) � The first app is Oasis; it is an auto allocation system that many of the customers
use. � The second is a Bloomberg window, he called it a trading slate, it shows all
activity on his desk, this allows him to see what’s happening and since he knows the people he works with and their tendencies he can either recognize a trade he should book or ask the proper person.
• I asked him the difference in flows between TRS and Cash bond flows o His answer was he couldn’t remember the last time he booked a TRS
• Finally we talked about Pain Points o The filters are not working correctly (they don’t show index trades if filtered by trader) o He would like to see some more transparency in what happens down stream with a trade,
he will fill out a trade correctly and then get a call from the customer saying it didn’t show up correctly in DTCC.
Actions
• Adjust workflow diagrams to represent new information learned. • Add to pain points
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Minutes of Meeting: Front Office Interview with Rick Singh Participants : Ricky Singh, Tyson Nason Date: 11/13/2008 Time: 2:00 pm Location: 3rd floor Agenda:
• learn as much as possible about front office process Information Shared
• Some traders don’t use paper blotters • The biggest problem for TA’s are trades not being b ooked • Bloomberg’s biggest use is cash, bonds, messaging s ystem, reference system.
o There are the 4 main screens, the messenger, charts and indexes that can all be on the screen at once
• Ways to know when trade is done: o Mismatch report (heavily used)
� 0 days aged = today o Check the recap in Bloomberg
• E-blotter filters -> TA’s use this heavily to find and organize data • Trading can see sales blotter but sales can not see traders blotter • Step 1: Find out Trade happened • Step 2: Find trade • Step 3: Open QT • Step 4: If fee is applicable ( Index, Assign, Unwind, Points up front) • Step 5: Calculate fee (if applicable) • Step 6: Record transaction on running excel P&L
o Margin is an insurance policy to mitigate potential loss o Time to book trade 20 sec o A thing that could be fixed is the mismatch report could have a broker column it would
help
Actions
• Come back to Rick with any additional questions regarding information shared
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Minutes of Meeting: Front Office Interview with Rick Singh 2 Participants : Rick Singh, Tyson Nason Date: 11/17/2008 Time: 2:00 pm Location: 3rd floor Agenda: Follow-up questions with Rick Information Shared:
I wrote out what my understanding of his process flow was and the showed it to him. • CDS/CDSI
o Step 1: Trader agrees on trade terms. (direct trade, broker trade, trade from sales) o Step2: TA finds trade. o How? – Paper blotter, E-blotter (filters and mismatch report), Bloomberg Messenger, e-
mail o Step3: Quick Ticket or Add new ( E-Blotter) o Fill out information from trader in appropriate fields o Step4: Calculate fees (fees only applicable if trade is an assign, unwind, or points up front
trade) o Step5: Hit save o Step6: Running P&L
• Bond
o Step 1: Trader agrees on trade terms o Step2: TA finds trade. o How? – Paper blotter, Bloomberg Messenger, e-mail o Step3: Enter ticker, coupon and YTM into Bloomberg o Step4: Book trade o What system records actions done in Bloomberg? o I understand middle office manually inputs bond dat a into IRP and the blotter, from
where do they get the info? o Step5: Running P&L
• TA’s book bonds and then the middle office manually puts them where they need to go (IRP) if the
bond is meant to hedge a CDS then the middle office will input it into E-blotter. Actions
• Email Middle Office to find out bond questions and technical processing questions.
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Minutes of Meeting: Front Office Interview with Josh Woodby Participants : Matt Doherty, Josh Woodby Apologies : None Date: 13 NOV 2008 Time: 2:30 AM EST Location: 3rd Floor Agenda
• Interview FO TA to find out the flow of information and products that take place during the work day
Release Schedule Information Shared
• Josh Woodby is a Traders Assistant for Nick and Sean George, his responsibility also extends to FX trading.
• The role of a TA is to book the trades that are agreed upon by traders and to handle the PnL for the traders.
• I asked Josh what he knew about CSI and he said that it is more of a tool for Sales Assistants and traders do not deal with this application
• He has an ongoing electronic blotter that he made to keep document of the trades he books and makes. He wishes that Odin would automatically feed into t his blotter and he wouldn’t have to keep pasting from Odin.
• Suggestion that he gave was to have one standardized electronic blotter tha t automatically updates PnL. Also on this electronic blotter he wis hes that there were check boxes in stead of manual “x” s also would like an execute button t o update the blotter .
• I asked Josh if he uses QuickTicket or the normal interface more. He responded that QuickTicket is used much more. I also asked him how long it takes to book a normal trade, Bond or CDS and he said about 20 seconds.
• Josh said that he books CDSs much more than Bonds. He gets the information from the traders about the trades from Bloomberg messenger or Phone or Email or word of mouth.
• I asked Josh when he usually books the trades he has, he responded to tell me that Cash trades have 15 minute windows but CDS and Bonds can be booked at any point during the day, however if he saves them all for last minute Middle Office will get backed up.
• Josh stated that Counterparty is the most edited field from MO. • I asked Josh if there was anything that he feels could be more efficient, he said that the work and
time it would take to make something more efficient in this process would create more backup than it set out to eliminate.
Actions
• Continue to interview FO TAs and work on workflows
