Emerging Markets IT DRAFT EM Credit Roadmap 25 th November, 2008

2 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

3 System Map

4 Product Coverage (LATAM, EEMEA) [Hybrids?]

5 Risk Consolidation (LATAM, EEMEA) CurrenthLBIProposed 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

6 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 EM IT are investigating if any of our Credit markets are included in this

7 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

8 EM Credit Roadmap

9 Costs: Nov 2008 – Dec 2009

10 Analytics – EM Coverage

11 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