Credit Technology Integration Plans Day 2 Nov 7 .pdf

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

November 7, 2008

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Content
 Credit Cash

 Credit Derivatives Flow
 Municipal Cash

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Expected Day 2 Completion Date:

Credit Cash - Day 2 Plan

Feb 23, 2009

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

Systems Requirements

Key Issues

 Firm Accounts (ledgers) / Client Accounts setup in CATS

 Access to legacy Lehman components: ESM, PIPE/AP, FID
Config Server, Cougar, Midas, EES.

 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

 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 realtime updates

 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.

 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

 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


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Credit Cash - Day 2 System Diagram

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Credit Cash - Day 2 Deliverable Benefits and Timelines

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Expected Day 2 Completion Date:
Major Phases: December 8 th, 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

 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)

Systems Requirements

Other Resource Requirements

 Full network connectivity for applications on
legacy Lehman servers at 745 to BarCap 200
Park servers

 PMO, testing and migration resources are being 
used

 Strained capacity of Finance and Ops given
volumes may require additional resources for
analysis and testing
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 Global IT resources have been re-directed to the
integration as a priority, placing prior strategic

projects on hold

 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

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

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

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Credit Derivatives Flow - Day 2 System Diagram

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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

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Expected Day 2 Completion Date :

Municipal Cash - Day 2 Plan

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

Systems Requirements

Other Resource Requirements

Key Issues

 Enable TIMS System (Trust Information Management System) for Structured
Products TOB (Tender Option Bond) trusts business.

 CATS for Trading; ICE for Risk Management;
MOM for eTrading; MuniShop for Pricing;
TIMS for structuring

 N/A

 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#)

 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.

 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

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

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Municipal Cash - Day 2 System Diagram

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Municipal Cash - Day 2 Deliverable Benefits and Timelines

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