Emerging Markets IT

DRAFT EM Credit Roadmap

25th November, 2008

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Summary

• The Credit business is moving to hLBI systems for both Cash and Derivative products

•Promised benefits to Credit are improved front office workflow, easier trade entry, extended exchange connectivity for Cash (NY only), wider product support and consolidated real time risk.

•Flow Derivatives (CDS) are already live in NY on a standalone instance of Dynamix (trades dual keyed into SDAPS)

•STP to SDAPS go-live early December.

•EEMEA deployment will follow (Date TBA)

•Cash (Bonds) are set to migrate from CDT to CATS in NY Mid Feb. No date set for other regions

•Emerging Markets would also like to get the benefits of hLBI systems. This document looks at:

•Features unique to EM

•Support for local currency, correlation, exotic and hybrid products

•The existing EM Risk consolidation tool

•Operational issues

•A proposed game plan

•Timeline

•Costs

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System Map

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Product Coverage (LATAM, EEMEA) [Hybrids?]

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Risk Consolidation (LATAM, EEMEA)

Current hLBI Proposed

EM Risk is used extensively for risk consolidation in LATAM and EEMEA

All products are consolidated including Cash, Repo, Bonds, Flow Credit, Structured, Offsys & IRD

EM Risk calculates many analytics as these are unavailable in QA or CDA

Risk is produced EOD. A large number of customised reports are distributed each morning

ICE is used for consolidated risk

Risk for products booked in CATS and Dynamix appear in ICE in real time.

ICE can be fed risk from other systems EOD or Intraday

EM should use ICE to consolidate risk for all products

Products traded in CATS and Dynamix will appear in real time

Other risk would be brought from EM Risk once a day

This requires setting up an EM ICE instance and feed development

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Operational Issues

The initial deployment scope of Dynamix does not cover all products / events CDS & CDX are in scope. We must be careful not to split trades that are part of a

structure containing other trade types Trade history is not transferred and therefore not all trade events are covered. E.g.

Novations. The workflow must be agreed with Operations \ PCG

Market and Static data stores There is no plan for a single store at present Curves and static data are transferred automatically from Lehman to SDAPS

[NEEDS MORE DETAIL]

Market Risk EM Risk is already considered offsys. GFRM compare results with SDAPS and

highlight issues A similar process for hLBI systems must take place until they feed official risk

FED Targets The FED requires 100% of all eligible trades are affirmed by June 2009. EM IT are

investigating if any of our Credit markets are included in this

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Gameplan [TO BE UPDATED]

Suggest we start migration to Dynamix in NY immediately

Can start testing CATS for NY as soon as test system is available

Get agreement to use Credit systems

Start testing EM products in Dynamix straight away.

Start with NY CDS population

Blah Blah

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EM Credit Roadmap

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Costs: Nov 2008 – Dec 2009

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Analytics – EM Coverage

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Appendix I : Stakeholders – Emerging Markets

• Pravin Mouli (MD) – Head of Latam Rates Trading

• Srini Kopparapu (MD) – Head of Latam Corporate/EEMEA Credit Trading

• Gregory Gentile (MD) – Head of Sovereign Credit Trading

• Lucy Dorr (Dir) – New York Operations

• David Russell (Dir) – Credit Derivative Operations