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November 7, 2008

November 7, 2008. Credit Integration Plans – Day 2 Front-to-Back Plan Summary. Content. Credit Cash Credit Derivatives Flow Municipal Cash. Expected Day 2 Completion Date: Feb 23, 2009. Credit Cash - Day 2 Plan. Brief Overview of Deliverable:

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November 7, 2008

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  1. November 7, 2008 Credit Integration Plans – Day 2 Front-to-Back Plan Summary

  2. Content Credit Cash Credit Derivatives Flow Municipal Cash

  3. Expected Day 2 Completion Date: Feb 23, 2009 Credit Cash - Day 2 Plan • Brief Overview of Deliverable: • Address the cash trading needs of the credit business for a high capacity, high performance trade entry and trade processing platform. • Approach is to migrate trading and sales to legacy Lehman cash trading platforms and integrating them into the BarCap infrastructure • CATS for Trading, with Cash SalesStation for sales and middle office functions such as booking, allocations, etc • Connectivity from BarCap systems and ECNs into CATS and STP connectivity through TradeWeb, Bloomberg, etc • Feeds from CATS to all BarCap downstream systems, including TRACE feeds for regulatory reporting and ICE for EOD and intraday risk • Desk coverage for Day 2: Investment Grade and High Yield (which are supported in both systems) plus Preferreds, Cash CDO, CP • Product coverage: Bonds, Preferreds, Cash CDOs, Futures, Future Options, Equities, Equity Options • Day 2 Approach & Plan Summary • Firm Accounts (ledgers) / Client Accounts setup in CATS • Treasury and futures trade integration with BARX; • Treasury marks from Market Environment • Integration with Impact settlement system • End-of-day risk feeds into ICE; P&L feeds into Glacier • Position and Risk feeds from CATS to SDAPS • Enable SalesStation for BarCap sales, setup - Integration with SDS for customer account info and real-time updates • Re-enable connectivity to TradeWeb, Bloomberg, BlackRock, etc for execution notice and allocations • Initial rollout target is New York; analysis is underway to assess requirements for a European rollout • Evaluation for additional products that are not supported in Day 2 • Systems Requirements • Access to legacy Lehman components: ESM, PIPE/AP, FID Config Server, Cougar, Midas, EES. • Reuters feed continues to function • CTI is used for equity trades feed • Midas is still operational (for currency, curves for EES • Native packaging of CATS/SalesStation for the BarCap infrastructure. • Key Issues • Account Reference Data - Master /sub account concept is not supported within the legacy Barcap client account system, all accounts are considered sub-accounts. Care will need to be taken to ensure the correct counterparty account is entered for sales trades • Glacier requires more sophisticated P&L explains than is currently available in the CATS system • Calculation of standard sales credits are done in both CATS and Barcap's OneView; Having multiple sales credit calculators will have to be rationalized • Some products (i.e. Equity Options) may need to go through NPSO approval Other Resource Requirements

  4. Credit Cash - Day 2 System Diagram

  5. Credit Cash - Day 2 Deliverable Benefits and Timelines

  6. Expected Day 2 Completion Date: Major Phases: December 8th, 2008, and January 2009 Credit Derivatives Flow - Day 2 Plan Brief Overview of Deliverable • Integration and global deployment of legacy Lehman’s flow derivative trading, sales and select middle office platforms into current BarCap front to back infrastructure. Specific Targets for Day 2 include the following: • Complete rationalization and synchronization of reference data with BarCap (accounts, hierarchies, issuer, RED, etc) • Delivery of ICE, Meerkat and Excel marking tools against one unified Credit Curve service/database (CMS), with feeds to SDAPS for downstream connectivity • ICE Blotter & SalesStation for electronic blottering of trader and sales trades • Phased delivery of Dynamix for trade matching, STP to SDAPS for BarCap back-office connectivity and full management of exception-based workflow • Pricing, Marking, EOD and Real-time Trading Risk via ICE using legacy Lehman analytics, leveraging a modified CEM for credit event management. Day 2 Approach & Plan Summary Workstreams Systems Requirements • Full network connectivity for applications on legacy Lehman servers at 745 to BarCap 200 Park servers • Packaging and deployment of LEH apps on standard BarCap machines • Day 1 Tocket access for non-NY trading users • STP trade feed from Dynamix to SDAPS for New Trades. Step Ins, unwinds • Messaging between Lehman data center and BarCap for STP into SDAPs Other Resource Requirements • PMO, testing and migration resources are being used • Strained capacity of Finance and Ops given volumes may require additional resources for analysis and testing • Global IT resources have been re-directed to the integration as a priority, placing prior strategic projects on hold Key Issues • Extremely aggressive timelines • Industry wide initiatives suchas Credit Events, tear-ups and fixed coupon CDS will detract resources from integration • Short term issue of desk risk differing from official risk • Global requirements for Day 2 rollouts will complicate testing/training • Products Covered: Single Name and Index Derivs • Trade Account & Counterparty Migration • Reference Data Synchronization (Issuer, Account) • Curve Marking in ICE/Excel flowing to SDAPS • Trade Migration for Economic Details into Dynamix • End-Of-Day Risk in ICE sourced from SDAPS • End-Of-Day/Live Risk in ICE with Lehman Analytics and trades flowing from Dynamix • Trade Capture using legacy Lehman FO applications • FID Blotter, Sales Station, Dynamix • Post-trade events still current in ODC/SDAPs until full Dynamix trade migration and rollout in early ‘09 • Global Rollout Strategy (London, Asia) Day 3 Considerations • Extend credit derivative product coverage • Remove SDAPs as the gateway for downstream connectivity • Work with the quant team to rationalize the BarCap and legacy analytics and deliver one analytics stack for FO & Risk • Establish a new “Day 3” strategic technology path for FI-Credit, including revisiting the Rates technology

  7. Credit Derivatives Flow - Day 2 System Diagram

  8. Credit Derivatives Flow - Day 2 Deliverable Benefits and Timelines Comments / Assumptions: 1. Reference data issues still need to be sorted out, post this confidence levels may be adjusted

  9. Expected Day 2 Completion Date : Q2 2009 Municipal Cash - Day 2 Plan Brief Overview of Deliverable • Day 1 solution for Municipal cash involved a front to back solution using Lehman Legacy Systems (CATS and TMS) while building automated risk feeds into Barclays Capital systems (Bedrock, GEMS) • Day 2 solution for Municipal cash will involve • Legacy Lehman front-office Systems (MuniCATS and MuniC3) to feed trades and prices to BarCap IMPACT as the back-office system (eliminating TMS & Quest) • Enabling the Tender Options Bonds program to commence trading using TIMS System (Trust Information Management System) • Full connectivity with electronic trading partners for Municipal securities (Bloomberg, TheMuniCenter, BondDesk, TradeWeb) • Products coverage: VRDN, TECP, Notes, Muni Long Bonds and Tender Option Bonds (TOBs) Day 2 Approach & Plan Summary • Enable TIMS System (Trust Information Management System) for Structured Products TOB (Tender Option Bond) trusts business. • BARX is used for booking US Treasury futures, Eurodollar futures and on-the-run treasuries. Automate a feed from BARX into MuniC3 for trade executions. • Enable connectivity to previously used Electronic Markets. Day 1 had offerings at Bloomberg, and Day 2 will include automated executions at previous markets which are BondDesk, TMC (The Muni Center) and TradeWeb. • Automation of Manual Feeds to BarCap Exposure Manager and Risk systems specifically the GEMS (Global Exposure Management System) and Bedrock. Systems Requirements • CATS for Trading; ICE for Risk Management; MOM for eTrading; MuniShop for Pricing; TIMS for structuring • Connectivity between Legacy Lehman Systems and BarCap Systems (GEMS, Bedrock, IMPACT, BARX) • Legacy Lehman E-Trading infrastructure intact (FIX gateways (IDS) and trade executions infrastructure ) • Sourcing data from SDS and Asset Control (BarCap systems) to have the same account and indicative information • IMPACT connectivity to MSRB RTTM for trade reporting Other Resource Requirements • N/A Key Issues • IMPACT support for municipal trade reporting requirements (round-trip from CATS to MSRB RTTM must be accomplished in 10 min) • PIMLink connectivity work will be put on-hold until BarCap back-office connectivity is completed (new DTCC#) • Day 3 Considerations • Day 3 considerations include the consolidation of all Muni products onto one C3 CATs platform – MuniC3. Includes the migration of TECP and VRDN products from MuniCats to MuniC3 • Establish a new “Day 3” strategic technology path for FI-Credit, including revisiting the Rates technology

  10. Municipal Cash - Day 2 System Diagram

  11. Municipal Cash - Day 2 Deliverable Benefits and Timelines

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