Stress Scenario Analysis – Downgrade

Potential Impact on MF Global

• Evaluated and developed a “break-the-glass” plan through discussions

with key global business leadership:

- Downgrade to sub-investment grade by at least 2 rating agencies

- Analysis performed on key operating entities (MF Inc and MF UK Limited)

- Scenarios considered significant disruption to funding capabilities

- Operational plans for each functional area, including preparation and immediate reactions,

have been considered and continue to develop

- Dialogue continues, including maintaining/updating these analyses

• Key message:

- We remain solvent – are able to manage liquidity through stress period as we

reposition our business and stabilize our financing lines

1

Summary

Treasury, Finance and Risk teams developed a downgrade stress scenario:

Potential Scenarios

2

Second Quarter Results

Rating Agencies: No action taken

Equity markets: No reaction

Financing: Funding continues

Rating Agencies: No action taken

Equity markets: Negative reaction

Financing: Funding challenged

Rating Agencies: Downgrade

Equity markets: Minimal reaction

Financing: Funding continues

Rating Agencies: Downgrade

Equity markets: Negative reaction

Financing: Funding challenged

Activate

Contingency

Funding Plan

Business

As Usual;

Monitor

Liquidity

Business

As Usual

3

Key Takeaways

Based on the review of the business, capital and liquidity position as well as

several stressed risk scenarios, including a downgrade below investment grade,

several conclusions emerged:

• Expectations from the business are an approximate 30

percent decline in revenues+ potential equity impairment

• Balance sheet would be significantly reduced

• Revolver and external liabilities would need to be repaid

Significant P&L and B/S

implications

• Current levels of liquidity provides management a relatively

short amount of time to assess and execute tactical and

strategic business alternatives

Buys time to re-evaluate

Liquidity sufficient

• Credit rating may necessitate a review and reshaping of

current business model and strategic direction Reshaping of the business

• Based on the analysis, we believe there is sufficient

liquidity to manage through one month under a severe

stress event

Impact of a Downgrade – What happens?

4

Main Stressed Uses of Cash

Main Mitigants of Cash

1. Financing of corporate paper becomes stressed = $1.0 to $1.5 billion

2. Financing haircuts are increased by MF to maintain liquidity on other asset classes = $100 - $150mm

3. Clearing houses increase margin requirements = $200 - $250mm

4. Reduction in un-committed boxes at BONY Mellon = $100mm

5. Excess client balances are withdrawn (mainly institutional clients) = $100mm

1. Revolver draw = $0.9 billion

2. Liquidation of corporate paper / recover higher haircuts from clients where possible = $0.75 - $1.0 billion

3. Liquidation of other hard-to-finance inventory positions while minimizing P&L impact = $100mm

5

Liquidity Stress Impact (Risk Assumptions)

6

Downgrade Impact By Business

7

Quick Decisions to be made

If a ratings downgrade is imminent, a number of critical decisions will need to

be made:

• Repos - What are the maturities? Do we extend maturities? Do we start now?

What is the P&L impact?

• RTMs - Biggest draw on cash today – how do we respond and what are our

options? Can we novate? Hedge fully? Tenor of hedge (unwind after the

storm)? Need a clear strategy for this.

Repos / RTM

• How do we optimize liquidity while minimizing impact to P&L? Liquidity

Draw on Revolver

• Reshaping the business model: Who do we want to be? What business

do we want to keep? What can be sold? What do we need to keep the

company solvent?

Business Model

• When to draw? How much? How long? What message are we

sending to the banks? To the investors? Drawing too much, too soon

could pre-signal distress.

Internal and External Communications Plan Developed – Employees, Regulators, Banks, etc.

Functional Department Work-Streams Being Developed…

*See appendix for details

- Continue to develop workstreams/action plans within and across

functions

- Additional dialogue on reshaping the business plan to prepare and

respond to such an event

- Ensure communication plans are complete and ready to be executed

- Meetings with the rating agencies Thursday/Friday October 20/21

8

Next Steps

Appendix – I. Downgrade Timeline & Immediate Decisions Required (Details) p.10-11

II. Operational Considerations p.12

III. Key Functional areas and Initial workstreams by function p.13-15

IV. Liquidity Stress Impact (Details of Assumptions) p.16-17

V. Balance Sheet Sources & Uses / Stress Scenario (US & UK) p.18-20

VI. Business Line Impact Details p.21-22

9

I. Timeline…Impact of a Downgrade – What happens?

10

Cash Inflows

Objective:

Optimize Immediate Liquidity

with Minimal P&L Impact

Cash Outflows

Objective:

Meet contractual liabilities +

staunch discretionary outflows

+

prevent off-balance sheet

drains

Downgrade to BB+

or below

T+0 T+1 to T+7 T+ 8 to T+ 30 Beyond T+30

Prepare to draw on $0.9billion Revolver (banks may

enforce MAC / MAE clause) *

Sale of most liquid corporate inventory positions*

Sale of MF boxed positions*

Sale of Commercial Paper investments*

Unwind European RTM book to release margin*

Liquidate Investment Portfolios if

funding from client balances and/or

bi-lateral repo counterparties are lost*

Unwind UN-matched book if repo lines are lost*

Cancel all uncommitted liquidity extensions

Inform traders to pause from using B/S

Communicate to key clients about safety of their

excess and margin balances

Move repo positions to CCPs where possible (higher

haircut + financing cost)*

Unwind UN-matched book if bi-lateral and tri-

party lines are lost (loss of liquidity and income)*

Meet increased clearing house margin

requirements including European RTM portfolio *

Meet ad hoc regulatory calls for more capital +

liquidity buffer infusions *

Prepare to meet panicked client redemption

notices (especially from institutional clients) *

Communicate to banks, equity investors,

employees, issue press release

Treasury and Operations groups working at

capacity

Continue unwinding reverse

repos

Continue sale of inventory

Continue selling less liquid

assets and investments

Release of regulatory capital

as balance sheet contracts

Orderly client redemptions of mid-

market and retail clients

Increased demand from unsecured

vendors for payment ahead of

schedule

Worse financing terms across all

borrowing contracts

Erosion of business franchise as

key employees leave with their

clients to rival firms

Banks attempt to recover drawn

Revolver funds

Possible risk further downgrades

by rating agencies

Re-evaluate business

model and re-build

franchise

Possible sale of

strategic assets

Excess cash situation

due to release of

regulatory capital

Revolver re-payment

due to MAC trigger

Possible debt

acceleration due to MAC

trigger

Possible loss of

primary dealer

designation

Provisions for

possible legal

liabilities/investor lawsuits

Note: All * indicators refer to

the resulting scenarios on the

Risk Liquidity Stress Analysis

I. Immediate Decision Making Required

• Business Impact (Earnings depletion, Balance Sheet shrinkage due to lower leverage, etc.)

- Once the downgrade is imminent (per communication from the credit agencies, etc.) there are a number of critical decisions to make with

significant implications.

• Drawing on the revolver: When to draw (immediately or after announcement); how much of the revolver should be drawn (all or

partial) – a thoughtful, sophisticated analysis needs to be performed on each of these decisions and a need to consider the message

that goes out to the public, relationships with banks; rumors could have significant impact.

• Liquidity - How do we optimize immediate liquidity with the least amount of P&L Impact; sale/unwinding/liquidate inventory and MF

boxed positions.

• Repos – how to respond – extend maturities? Do we start now or wait until downgrade, what is P&L loss, how much liquidity is being

generated, what is the message to the street if we start to do this?

• RTMs – biggest draw on cash today; loss today less the margins posted; generate liquidity with large P&L loss – decisions: hedge

fully, hedge for a short term (2-3 months and then unwind after the storm), novate? How will LCH respond, how much in excess of

margin will be required, time period, can/will they force us out? Legal restrictions, terms of agreements? Need a clear strategy and

plan for RTM portfolio.

• Communication to the regulators, banks, investors, employees – Who communications, what is the message, etc.

- There are restrictions on the credit quality of assets that institutional investors can invest in (most are restricted from holding “non-

investment grade” or “high yield” securities or taking unsecured credit exposure to such Firms). This has both positive and negative

implications.

• Business Model - It is necessary to determine how much is held by institutional investors and to estimate the potential loss; what is

needed to run the business, which businesses do we potentially want to lose and concentrate on the areas we want/need to save;

who do we want to be after the storm? How quickly do we want to send cash back to clients, what is the message if we do not send

immediately, what is the strategy if we want to keep the customer and wait until the storm passes. Do we revert back to agency-type

business.

• Ultimately, clients might not want to do business with us immediately after a downgrade, but it is how we handle ourselves during the

downgrade that will determine if they want to do business with us in the future.

11

II. Operational Considerations and Responses

• Operational Considerations

- How will the multiple lines of business (BO/MO/FO/Static Data/Account Management/IT) co-exist to handle the vast increase in client requests?

• Expected vast increase in redemptions that will put tremendous pressure on all lines of business to handle the excess.

- Each function should have an “Emergency Plan” that would outline roles and responsibilities in a downgrade situation to help prevent disorder and

chaos.

- Investor relations and corporate communications need plans specifically for a credit downgrade and addressing the media and clients alike

- Front Office and IR should plan together on what should be said and what needs to be said. One trader saying something that a client perceives as

negative could spread very quickly across Wall Street and beyond.

- “Weathering the storm” is critical to the plan if the firm is to survive. Senior Management should be briefed on what a potential downgrade could mean to

their roles (i.e., the middle office should understand that they are going to be buried with all kinds of requests coming from both back and front offices

due to redemptions, people cancelling business, etc) and plan to properly communicate to all of their employees the messaging from corporate

communications;

• Operational Response

- Most normal business operations will cease and the firm should focus on “disaster recovery”

- Investor Relations and Corporate Communications ready to respond and handle the situation with a unified, consistent message that is communicated

throughout the organization and externally to all counterparties; Everything from being respectful when answering questions, to being able to properly

transfer them to the account management department to help close their account. Excess manpower should be provided to this group to handle the

rush of calls.

- Directly contact all regulators and start the communication/address concerns;

- Allocate manpower efficiently to handle all of the excess issues resulting from a downgrade;

- Legal/Compliance/Investor Relations/Executive Management/Front Office proactively fielding questions/calls from clients, exchanges and regulators

- All support functions maintaining „all hands on deck‟ with all relevant team members for the foreseeable future

12

13

III. Key Functional Areas

The inner circle represents functional areas that will be most affected; the outer

circle are areas that will provide direction, support or be responsible for

communicating with external stakeholders

Finance

Legal

Technology

Compliance

Investor

Relations

Businesses

Regional

Management

Global

Management

TREASURY

OPERATIONS RISK

FINANCE

DESK

III. Initial Workstreams by Function

Treasury:

Concerns/Plan - concerns for Treasury are reflected throughout this presentation; response to the plan of action are included below:

- Prepare for Revolver draw

- Monitor secured financing stress

- Monitor inventory positions

- Monitor client funds withdrawals

- Monitor funding requirements from clearing houses and regulators

- Monitor off-balance sheet liquidity events (RTMs, customer financing lines, etc.)

Finance:

- All hands on deck from an accounting and analysis perspective;

- Ensure seg calcs are done daily

- Ensure the completeness and accuracy of daily p&l calculations

- Meet all reporting needs (i.e. internal management reporting/external regulatory reporting)

Compliance:

Concerns:

• Messaging to the street: key business decisions (i.e. terming repos) made on reducing exposures could send the wrong message if not handled

appropriately; rumors could significantly impact our ability to survive;

Plan:

• No specific responsibilities but all hands on deck, on the floor, helping respond to queries and actioning, as well as helping to contact regulators as

requested.

Operations: Concerns are addressed throughout the document; response to the plan of action are included below:

• No specific responsibilities above daily and beyond normal business other than handling the sheer volume of client redemptions in a rational and

orderly manner, ensuring customer accounts are handled appropriately; concentration on transactions with external counterparties, sec

lending/borrowing/tri-party trades; but all hands on deck.

IT: Concerns are addressed throughout the document; response to the plan of action are included below:

• No specific responsibilities above daily and beyond normal business other than increased scruitiny around our trading platforms and ensuring they

are stable as more activity on part of some of our traders, pricing of trades and pricing glitches; need to be have appropriate resources to monitor

security on the systems, turning off access as appropriate and providing access where necessary. All hands on deck

14

III. Initial Workstreams by Function (continued)

Investor Relations:

Concerns:

• Significant pressure on equity creating broader client implications

• Analyst downgrades, earnings and price target revisions

• Prominent and broad based negative media coverage

• Client withdrawals

• Liquidity rumors

Plan:

• Investor Relations, Corporate Communications, and Marketing are responsible for communication and messaging both internally and

externally; teams already have detailed plans in place on how to respond to this situation; need to ensure these plans are known by

executive and senior management and that the messaging both internally and external are consistent and executed appropriately.

Legal:

Plans:

- Reviewed (1) all material (non-customer) contracts, including revolver, long term debt, Series A & B, non-committed bank facilities,

etc. and (2) sample customer and other trading agreements (e.g., electronic trading agreements) for any contractual provisions

implicated in the event of a downgrade, liquidity crisis and/or as a result of other trigger events post downgrade (including demands

for adequate assurances);

- Updating information re all regulators, exchanges and clearinghouses and anyone else we are legally obligated to notify (or

otherwise should notify) in immediate response to downgrade (or other triggers); compiled all triggers for notification and/or other

reasons we would reach out, contact points and best relationship people to make contacts; messaging to be coordinated with IR;

- Updating customer document re security of customer funds and improving detail as necessary or helpful;

- Make sure using right assumptions based on where ratings action effective if only by one rating agency vs majority;

- Consider options to current structure of trading relationships (between US & UK) and the regulatory and accounting implications on

any change to this structure;

- Consider whether any limits to the requirements FSA can impose and develop contingency plan to approach Federal Reserve Bank

(NY and Washington) and possibly Treasury for support if FSA requests might threaten firm.

15

IV. Liquidity Stress Impact (Details of Assumptions) - US

16

Driving Scenario 1: MFG downgrade or extreme drop in stock price

Analysis for MFG Inc. (US) Starting Non-Seg Liquidity Pool 992

Starting Seg Liquidity Pool 2,000

Resulting Scenarios Outflow Pool Day 0 Day 1 Day 2 Day 3 Day 4 Day 5 Week 2 Month 1Month 2 Comment

O1

Repo lines gets pulled back, haircut increased, and excess

pulled back; mostly impacting the un-matched part of the repo

book

Haircuts increases for un-matched repo book, and the

treasury inventory financed externally (Trsy, MBS, Agn)NSL -25 -25 -25 -10 -10 -10 -25 Combined we would require $130mm based on increased hair cuts.

Certain Corp paper returned; part of it put into the box, and

part funded internally.NSL -50 -50 -50 -50 -50 -50 -100 -100 -100

Approx 60% of 1.7bn & 300/300mm of IG, or $1000mm of

counterparties such as State Street and AIG returned; approx $500

put into committed and uncomitted boxes; rest financed internally.

Repos are staggered.

Client pull back excess or unwind of un-matched book

causes drop in B/D excessNSL -15 -15 -15 -15 -15 -15 Approximately 1/3 of B/D excess generated from customers

O2SLB increased margin or lines get pulled back by

counterparties

Haircut widening; for matched book and for the customer

inventory financed by SLB.NSL -5 -5 Book is small and perfectly matched; 10mm is conservative

O3 BNY reduces the size of the box, or returns part of the collateral BNY closes a portion of the uncommitted box. NSL -83 Our BNYM box is uncommitted, so they can shrink it at any time. We

assumed approx 1/3rd reduction.

O4 Increased haircuts at CCPs for Repo (EUREX and LCH) LCH NSL -7 Outflow is 90% add-on - As per rulebook; BB+ 200%

LCH.SA NSL -158 Outflow is 90% add-on - As per rulebook; BB+ 200%

EUREX NSL -49 Assuming outflow is 50% add-on

O5 Customers decide to pull back their excess in FCM

1B of client excess is sent back to customers; requiring

Treasury to finance more of their corp book externally and

paying haircuts.

SL -50 -50 -50 -100 -100 -250 -300 -100 $1bn of client access gets pulled back.

In case of client excess pull back ($1bn), more of corporate

bond book needs external financing.NSL -25 -25 -25 -50 -50 -125 -150 -50

only 50% of additional corporate bonds could be funded uses

external lines, rest funded internally using resources including the

secured boxes. Customer don't pull at the same time.

NSL -3 -3 -3 -5 -5 -13 -15 -5 10% of the remaining 50% as haircut required by external

counterparties

O6 Certain large FCM customers decide to leave MFG

Customers xpit out 1B in IM; pulling their excess; reducing

the internal financing of Treasury exchange eligible

portfolio; requiring external financing including FICC

NSL -1 -1 -1 -2 -2 -5 -6 -2 Affects Seg / Margin Excess only (Day 1 -250, Day 2 -250, Day 3 -250,

Day 4 -100, Day 5 -100, Week 2 -50

O7ISDA Thresholds gets triggered, requiring MFG to keep post

more liquidityFX and others NSL -3 -3 -3 -3 -3 Conservative approximation based on FAS161 history

(FX, OTC Comm, others) OTC Commodities NSL -5 -5 -5 -5 -5 Conservative approximation based on FAS161 history

O8 Increased collateral at clearance banks CLS (fx) NSL -25 Currently 50M has been as high as 100M

Non-Seg Liquidity Daily Outflows 0 0 0 0 0 0 0 0 0

Cumulative Outflows 0 0 0 0 0 0 0 0 0

Net Liquidity w/o Mitigants (SoD) 992 992 992 992 992 992 992 992 992

Net Liquidity w/o Mitigants (EoD) 992 992 992 992 992 992 992 992 992

Seg LiquidityDaily Outflows 0 0 0 0 0 0 0 0 0

Cumulative Outflows 0 0 0 0 0 0 0 0

Resulting Scenarios Mitigant Comment

M1Repo Haircut increases or lines get pulled back by

counterpartiesHaircut increase passed onto clients 4 4 2 2 2 4 0 0 15% of increase passed to customer

Liquidation of part of the corp paper 38 38 38 38 38 38 75 75 75 75% of portfolio liquidated

M2SLB increased margin or lines get pulled back by

counterparties

Wind down of the SLB business; keeping only the

minimum client facitation position1 1 1 2 5 Assume orderly liquidation based on current portfolio

M3Reduction in appetite for certain collateral, requiring MFG to

fund mismatchLiquidate part of the returned assets 21 10 0 Liquidate 1/2 of the returned assets

M4 Increased haircuts at CCPs for Repo (EUREX and LCH) Move to counterparties with favourable terms 21Novate some positions to OTC counterparties; benefit is 10% of

exchange increase)

M5 Customers decide to pull back their excess in FCM Unwind positions - smaller liability at exchanges No mitigation

Liquidation of the corp paper portfolio, previously funded

internally19 19 19 38 38 94 113 38 75% of internally funded portfolio liquidated

Losses on Liquidation of Corp Portfolio -1 -1 -1 -2 -2 -4 -5 -3 Approximated at 1/4 point; only for liquidation purposes. Actual can

vary a lot.

M6 Certain large FCM customers decide to leave MFGPotential margin netting benefit; and reduction in reg cap

requirements.No mitigation

M7ISDA Thresholds gets triggered, requiring MFG to keep post

more liquiditySome counterparties will be paying us for forward loses 10

Novate positions to favorable OTC counterparties to reduce impact by

25%

(FX, OTC Comm)

M8 Increased collateral at clearance banks Find alternative relationships We recently negotiated down with BofA from 100 to 50

Non-Seg Liquidity Daily Mitigants 38 59 80 68 76 77 195 193 110

Cumulative Mitigants 96 177 244 320 397 591 784 894

Cumulative Outflows net of Mitigants 0 96 177 244 320 397 591 784 894

Net Liquidity with Mitigants (SoD) 992 1,030 1,088 1,169 1,236 1,312 1,389 1,583 1,776

Net Liquidity with Mitigants (EoD) 1,030 1,088 1,169 1,236 1,312 1,389 1,583 1,776 1,886

IV. Liquidity Stress Impact (Details of Assumptions) - UK

17

Driving Scenario 1: MFG downgrade or extreme drop in stock price

MFG UKL Starting Liquidity Pool 1,297

Resulting Scenarios Outflow Day 0 Day 1 Day 2 Day 3 Day 4 Day 5 Week 2 Mth 1 Mth 2 Comment

O1

Repo lines get pulled back by counterparties, haircut

increased, and excess pulled back mostly impacting

the un-matched part of the repo book

Haircuts double for the o/n rolls -4 -4 -4 -4 -4 -3 Increased haircut of 200% now paid to counterparties based on current

O/N Repo

Counterparties no longer pay us haircut -4 -4 -4 -4 -2 We no longer receive haircut from counterparties

Certain counterparties pull back their lines, and can

be replaced only at higher haircuts-2 -2 -2 -2 -2

We are no longer able to use lines and are liable to higher haircuts to

finance positions

Customers pull back some excess they leave in the

repo book-2 -2 -2 -2 -2

Customers no longer keep excess over requirements with us reducing

the non seg liq pool

O2SLB increased margin or lines get pulled back by

counterpartiesHaircuts double -8 -8 -8 -8 -8 -8 -4 Increased haircut paid to counterparties based on current O/N SLB

Counterparties no longer pay us haircut -6 -6 -6 -6 -6 -3 We no longer receive haircut from counterparties

CFD Book -41 -40 Top quality stocks charged 15% haircut by PB (271M)

Lower quality become SiB and fully financed by MFG (41M)

O3Increased haircuts at CCPs for Repo (EUREX and

LCH)LCH -7

LCH.SA -158

EUREX -49 Assuming outflow is 50% add-on

O4Some customers pull back their excess and others

leave MFGClient non seg free equity -10 -10 -10 -10 -15 -20 -40 -50 -20

Historical data for client withdrawals during 2008

40% reduction in Non Seg Free Cash (464M) over 4 days

O5Reduction in appetite for certain collateral, requiring

MFG to fund mismatch-5 -5 -5 -5 -5 -15 -10 Assume 10% haircut increase for Corporates in Treasury portfolio (499M)

O6As a result of customer leaving, MFG loose some of the

netting benefits at the exchangesUnwind of margin netting benefit -2 -2 -2 -2 -2 -3 -6 -8 -3 Loss of netting benefit is 15% of drawdown.

O7ISDA Thresholds gets triggered, requiring MFG to keep

post more liquidityOTC Commodities -1 -1 -1 -1 -1

(FX, OTC Comm) FX -1 -1 -1 -1 -1

Daily Outflows -24 -258 -45 -86 -50 -53 -108 -68 -23

Cumulative Outflows -24 -281 -326 -411 -461 -514 -622 -690 -713

Net Liquidity w/o Mitigants (SoD) 1,297 1,273 1,015 971 885 835 782 674 607

Net Liquidity w/o Mitigants (EoD) 1,273 1,015 971 885 835 782 674 607 584

Resulting Scenarios Mitigant Comment

M1Repo Haircut increases or lines get pulled back by

counterpartiesMove to counterparties with favourable terms 6 6 Assume re-finance 50% with favourable counterparties

Wind down trading book

M2SLB increased margin or lines get pulled back by

counterpartiesMove to counterparties with favourable terms 13 13 Assume re-finance 50% with favourable counterparties

M3Increased haircuts at CCPs for Repo (EUREX and

LCH)Pass haircut increase to client 213 MFGUK passes any margin increase to MFGI

M5MF Sells the Corporate bond book at the prevailing

market38 MFG sells 75% of the corporate holdings

Daily Mitigants 0 0 213 0 0 0 19 56 0

Cumulative Mitigants 0 0 213 213 213 213 232 288 288

Cumulative Outflows net of Mitigants -24 -281 -113 -198 -248 -301 -391 -402 -425

Net Liquidity with Mitigants (SoD) 1,297 1,273 1,015 1,184 1,099 1,048 995 906 895

Net Liquidity with Mitigants (EoD) 1,273 1,015 1,184 1,099 1,048 995 906 895 872

Outflow is 90% add-on - As per rulebook; BB+ 200%

Conservative approximation based on FAS161 history

18

V. Current Regulated Entity Sources & Uses (Summary)

SOURCES (in millions):

USES (in millions):

NET CASH: $6,189

SOURCES (in millions):

USES (in millions):

NET CASH: $ 292

1) Take undrawn portion of credit revolver ($1.26b)

2) Increase maturities of Repos before stress scenario (thru

CCP) in an amount close to $2.4bn

1) Move Non-CCP Repos to CCP

3) Sell boxed collateral; Sell Investments (HTM)

4) Cancel any uncommitted lines extended to clients

5) Shut-down Contract for Difference “CFD” business and raise

margin levels to 30% (similar to 2007).

6) Increase LCH Margin requirements to $300 million

MFG INC MFG UKL .

1) Currently $583m of available funds to aid in a stress scenario:

• UKL has LAB excess: $320mm

• UKL has non-seg deposits: $199mm

• UKL has non seg cash at bank $63mm

• Total Liquidity: $588mm

Note: this does not include the required LAB of $469mm which

should not be used and is not taken into account for general

use purposes

Note 1: Data is from Aug 31

balance sheet

Note 2: Assuming APAC is

net liquid after stress

scenario

** MFG Inc Repo/Reverse

Repo information is from the

9/30 Gross Tenor Report

***MF UKL Repo/Reverse

Repo data was obtained from

the 10/4 Gross Tenor Report

Cash Inflows: (Green)

Cash Outflows: (Red)

Cash 40

Restricted Cash/Securities 7,400

Reverse Repo & SB 58,227**

Sec. Owned 4,500

Customer Receivables 276

Affiliate (HTM) Rec. 7,375

B/D & Clearing Orgs 565

Other Rec. 1

Total 78,384

Customer Payables (8,780)

B/D & Clearing Orgs Payable (266)

Repos & SL (58,563)**

Secs sold, not yet purchased (3,312)

Affiliate Payable (621)

Accrued Exp & Other Liabs (653)

Total (72,195)

Cash 374

Restricted Cash/Securities 393

Reverse Repo & SB 7,632***

Sec. Owned 1,348

Sec Rec as Collateral 49

Customer Receivables 240

Affiliate (HTM) Rec. 89

B/D & Clearing Orgs 2,021

Other Rec. 84

Total 12,230

Customer Payables (2,623)

B/D & Clearing Orgs Payable (263)

Repos & SL (8,118)***

Secs sold, not yet purchased (107)

Affiliate Payable (456)

Accrued Exp & Other Liabs (322)

Oblig. to return Sec Borrowed (49)

Total (11,938)

Liquidity Impact due to Stress (worst-case scenario) Liquidity Impact due to Stress (worst-case scenario)

V. Stress Scenario Impact on MFG Inc. – with Mitigants

19

V. Stress Scenario Impact on MF UKL – with Mitigants

20

VI. Business Line Impact (based on Product Head feedback)

• Fixed Income

- Overall – significant impact on business (greater than 50% likely); higher haircut and higher expense

- Ratings Downgrade: Junk Status (50%) estimated change lose of counterparties and their funding;

- (A) $4b in Treasury/Agencies (customer cash providers, lose all in terms of bi-lateral business (6 counterparties); funding can be made up with FICC

counterparties (higher haircut/expense); (B) $3b in Agency/MBS, lose 10-12 counterparts ($275m down to 100m in liquidity); (C) Investment grade

Corporates (lose more than half of the 10 counterparts) & lose funding ($2b down to $1b in funding which is a direct drain, no CCP offset; of the

customers that stay, will mean required higher haircuts, cannot fund but can sell out of portfolio and take a p&l hit; (D) match-book income lost – both

sides of balance sheet ($200m funding) – excess liquidity lost; GCF higher haircuts (another $50m loss)

- Financing: impacted immediately, additional margin support required

- Clearing: negative impact on revenues and volume, clients would have to set up new clearing arrangements

• Increased collateral requirements, revised settlement funding lines, increase clearing/settlement charges

- Given current Fixed Income dynamics globally, the profits on the Fixed Income business are already lagging, but any trigger event could reduce the

profits to “razor-thin” levels.

• Foreign Exchange

- Overall – significant impact on business, especially in the US where currently building the business (40% likely)

- Ratings Downgrade: Junk Status (40%) estimated change

- CLS Bank Settlement Impact: - An additional factor following a significant "trigger event" would be the potential reluctance of our CLS settlement bank

to continue to provide FX settlement services. This is something that MFG has experienced historically, and there are a limited number of banks that

offer these services.- Following a downgrade or "trigger event", liquidity providers would be even less inclined to settle trades bilaterally with MFG

outside of CLS (other than in the instances where MFG had "winning" trades which they may wish to delay settlement on if it appeared that we were in

distress), so this would have significant impacts and would mean that we would not be able to execute business.

• Retail

- Overall – potentially less material impact on business (less than 25% likely)

- Ratings Downgrade: Junk Status (25%) estimated change

- General Brokerage (UK/Welch): $1.6b held, benefits from very strong long-standing customer relationships., which with management of the news

flow and reassurance of the Desk Head should limit the flight of customers, and this was the case historically.

- Electronic Direct / Online Trading: (US/Sachs): $1.0b

- CFD + FO (APAC): $200-250 million, we have a greater exposure to white label F/O than we do to CFDs (which are manufactured by DB).

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VI. Business Line Impact continued…

• Commodities

- Overall – significant impact on business (potentially greater than 40% if junk status)

- Ratings Downgrade: Junk Status greater than (40%) estimated change

- Metals: Less significantly impacted than other 2 – from historical figures and customer relationships in UK, believe it would be hit (20-25%)

- Agriculture: Significantly impacted, upwards of 50% decline in revenues;

- Energy: Significantly impacted (already currently impacted due to market cap and stock price); upwards of 50% decline in revenues;

- Regulatory capital for commodities is $300 million; margin requirements $2 to $3 billion, it would cause $800 million in balances to be pulled out (30-

40%).

- Expect Metals (mostly non-seg customers in UK) cash surplus would likely reduce from $200 million to $100 million.

• Equities

• Overall – potentially less material impact to business (approx 10%, maybe 15% if junk status and/or multiple events occurred )

• Ratings Downgrade: not significant impacted due to the nature of the business (85% DVP).

- Cash Equity: makes up 46% of US Equities, mostly DVP and as such, a trigger event will not have a vast impact;

- Equity Derivs: makes up 37%, largely consists of listed derivatives and are largely DVP, a trigger event will not have a vast impact (looking to build up

OTC Equity Derivs, but not applicable at this time);

- Electric Trading: DMA makes up 11% (of which 30% is flat @ EOD) and the rest is 6%, this business is largely DVP, a trigger event will have a

minimum impact;

• Interest Rate Products

- Overall – non-material impact on business between(10%-15%) likely

- Ratings Downgrade: Junk status Lose clearing accounts

- Execution: accounts for close to 85% of the business, given past considerations the phone lines were back up to normal business in a few days.

- Clearing: would not be affected greatly but when the split between execution and clearing trends towards 60/40 in the future the impact will be greater.

• Prime Services

- Overall – non-material impact on business (less than 10% likely)

- Ratings Downgrade: not significantly impacted due to the nature of the business and client relationships;

- Client Solutions: across these lines of business there is $4.6 billion in capitalization in what are considered “Middle Markets”.

- 90% of this is deemed to be safe considering the nature of the client relationships

- The 10% lost will be due to the largest CTA‟s and hedge funds

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