Credit Integration Plans – Day 2 Front-to-Back Plan Summary

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Presentation transcript:

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

Content Credit Cash Credit Derivatives Flow Municipal Cash

Credit Cash - Day 2 Plan 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 3

Credit Cash - Day 2 System Diagram

Credit Cash - Day 2 Deliverable Benefits and Timelines

Credit Derivatives Flow - Day 2 Plan Expected Day 2 Completion Date: Major Phases: December 8th, 2008, and January 2009 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 such as 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 6

Credit Derivatives Flow - Day 2 System Diagram

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

Municipal Cash - Day 2 Plan Expected Day 2 Completion Date : Q2 2009 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 9

Municipal Cash - Day 2 System Diagram

Municipal Cash - Day 2 Deliverable Benefits and Timelines 11