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Exposure Summary
Rating A2 A 4+
Outlook Negative Negative Negative
· sz~wk· mi!itNi. ·'s:::s~~wi<:{tq'~~~ii511':7itfl~1'tlf:i:ii:il~11~~~J'!ii2; Stock $67.73 $12.02 $16.20 09/05/2008
~g??.P~~~~s 450.8 135.2 325.0 09/05!2008
3: LI.J
Net revenues 3,500 (668) ROE 8.60% (10.4%)
-> Adj. ROE (exc/. DVA gains) 0.81% ·(11.9%)
a::: Gross Leverage Ratio 31.7x 23.9x LI.J
> Net Leverage Ratio 15.4x 14.5x 0 Total Assets 786,000 639,432
LI.J Total Equity 24,832 26,276 a:::i ::l
Total Long-Term Capital1 153,241 154,458
<.n Lending Commitments (funded & unfunded) 28,700 26,596 0 c... Residential Mortgage Positions 31,800 24,902 X Commercial Mortgage Positions 36,100 29,390 LI.J
<.n a::: LI.J 1 Includes Long·Term Debt and stockholder's equity :I: 1- 2 As of 09/05/2008; includes cash, G7 Gov't bonds, U.S. Agency Sees, highly-rated ABS and other 0 liquid securities ' a::: co
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Committed 329 94
Secured 60 ~0
Unsecured 269 34
Uncommitted 62 2
Secured 0 0
Unsecured 62 2
Counterparty 4,626 2,949
Derivatives 3,203 2,316
Securities Trading 177 13
Securities Loan Trading 49 6
Securities Lending 318 2
MBS/Whole Loan Trading 322
Securities Financing 554 42
FftO Clearing 4 0
Risk Participations • LCs 516
Other 3rd PTY Support· RE Deals 52
Overdrafts 0
Total Primary CDS Hedges 0
Derivatives 5,450
lntraday/Funds Trans/ ACH 4,845
Securities Trading/Financing 376
Deposit Guidance/Local 250
LEHMAN BROTHERS
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Committed Loan Exposure
~~i~~·y~~~~U~¥: " Lehman Brothers Bankhaus AG
Lehman Brothers Holding Inc.
USD 1,500
USD 2,000
1 $60MM of the facility is secured by cash collateral.
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........ · .. ·.~:: .. 4:~t~B1~~.P:~~~· Unsecured Apr-1 0
Mar-11
LEHMAN BROTHERS 2
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Uncommitted and Derivatives Exposures
Overdrafts Guidance Line
LEHMAN BROTHERS REAL ESTATE PARTNERS II LP & JOINT & SEV COUNTERPARITES
LEHMAN BROTHERS SPECIAL FINANCING INC
LEHMAN BROTHERS INTERNATIONAL (EUROPE)
LEHMAN BROTHERS COMMODITY SERVICES INC
LEHMAN BROTHERS SPECIAL FINANCING INC
LEHMAN BROTHERS COMMODITY SERVICES INC
LEHMAN BROTHERS COMMODITY SERVICES INC
LEHMAN BROTHERS FINANCE SA
LEHMAN BROTHERS REAL ESTATE PARTNERS LP
LEHMAN BROTHERS FINANCE SA
LEHMAN BROTHERS COMMERCIAL CORPORATION
Lehman Brothers Inc.
Lehman Brothers Holding Inc.
Lehman Brothers Inti. (Europe)
No Requirement
Bank due to Receive
Bank due to Receive
Bank due to Receive
Bank due to Receive
Bank due to Receive
Bank due to Receive
Bank due to Pay
Bank due to Pay
Bank due to Pay
Bank due to Pay
JPMCB
JPMCB
JPMCB
JPMCB
JPMCO
JPMVE
JPMSL
JPMIBL
JPMCB
JPMCB
JPMCB
0
398
17
9
6
4
(1)
(1)
(2)
(16)
50
0
(193)
98
61
104
(48)
15
(13)
24
(22)
80
0 0 Supports tri·party out of London
Supports EURO clearing out of London
Supports EURO clearing
0
(604)
67
53
83
(523)
15
(9)
(39)
56
46
63,016.00
1,079.00
759
3
280
179
120
8
1,214.00
2,452.00
75
35
10
0
15
0
0
3
30
1
20
~~H0_A~~~R~T~~~-INCOR~9-~ATED ·-~~ank duet_? Pay JPMCB -~·--·QD_ ___ (75) ___ __i~)~ __ _1.!65.oo ~·--~~--~o_ ..
* Lehman Brothers Commercial Corporation and Lehman Brothers Special Financing, Inc are PB counterparties
J.PMorgan LEHMAN BROTHERS 3
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Derivatives Exposures
Client LEHMAN BROTHERS FINANCE S.A BSIL
LEHMAN BROTHERS INTL BSB EUROPE
LEHMAN BROTHERS INTL BSCP EUROPE
LEHMAN BROTHERS INTL BSIL EUROPE
LEHMAN BROTHERS SPECIAL BSB FINAN
LEHMAN BROTHERS SPECIAL BSCP FINAN
LEHMAN BROTHERS SPECIAL BSIL FINAN
J.EMorgan
$(551 ,032) $(5,510,784) $(5,061 ,816) $1,000,000 $250,000
$(551 ,733) $1,551,733 $0 $1,000,000 $250,000
$580 so $580 $1,000,000 $250,000
$3,723,601 $25,834,132 $28,557,733 $1,000,000 $250,000
$46,462,738 $(928, 980,779) $(867 ,518,041) $15,000,000 $1,000,000
$1,772,983 $(1 ,661 ,739) $1,111,244 $1,000,000 $250,000
$(7,200,295) $10,213,017 $2,012,723 $1,000,000 $250,000
LEHMAN BROTHERS 4
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Average Intra-day Exposures
Exchange Settlement
Collateral Management
Cash Mgmt/ Treasury
ACH
J.n.Morgan
600 0
800 365
200 2,000
950
0
800 2,000 1,750
365
LEHMAN BROTHERS
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Operational Exposure - IDLS
.. · ·F,a~jhty :i'}'P~/ Client St:lC1rtNarne ;fil!rpos~2 /
LEHMAN BROS INC OPER LMT·INTRADAY GFC US 0/DS
LEHMAN BROS INC OPER LMT·INTRADAY GFC US 0/DS
LEHMAN BROS INC OPER LMT·INTRADAY 0/DS/ Supports GlobeClear activity
LEHMAN BROTHERS OPER LMT·INTRADAY BANKHAUS AG 0/DS
LONDON CLEAR
GFC US
600 1st Priority· Account used to process exchange settlements throughout the day against specific Exchange deadlines. Account also used to process cash side of securities settling through Dealers Clearance.
750 2nd Priority • General corporate purposes; no time specific deadlines but delays in release of payments may raise perception in market of liquidity issues.
5 1st priority, supports securities clearing
60 2nd Priority · General corporate purposes; no time specific deadlines but delays in release of payments may raise perception in market of liquidity issues.
Note: See additional limits and comments on next page.
JJ~Morgan
:< _::£t': '~ ~-;::·:;;>.'!,' "\ ·~: './:~~· ,.:~:~:\,. ··. '~· .. ': ·, < Pgt~i;ltj~l· ~isk+Mitig~~jgn. :,
US Broker Dealer • used to support UK securities clearing. Fully utilised, leave unchanged. Can potentially be moved to secured basis with client's agreement and documentation
Execute master collateral agreement to cover multiple legal entities and exposures. Collateralize large intraday OD exposures with acceptable securities/cash collateral.
ID!1~JI!r:~tlitill!tl~~ ~-m;;:-
LEHMAN BROTHERS 5
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Operational Exposure - IDLS (Continued)
LEHMAN BROTHERS SPECIAL FIN
LEHMAN BROTHERS SPECIAL FIN
LEHMAN BROS HLDGS INC.
JE.Morgan
OPER LMT-INTRADAY 0/DS
OPER LMT-INTRADAY 0/DS
OPER LMT-INTRADAY 0/DS
GFC US
LONDON BRANCH
EUR/CBAG FFT
50 2nd Priority - General corporate purposes for USD business; no time specific deadlines but delays in release of payments may raise perc_eption in market of liquidity issues.
100 2nd Priority - General corporate purposes for multicurrency business; no time specific deadlines but delays in release of payments may raise perception in market of
780 1st Priority. Main Treasury Vehicle for the Group
Execute master collateral agreement to cover multiple legal entities and exposures. Collateralize large intraday OD exposures with acceptable securities/cash collateral.
Execute master collateral agreement to cover multiple legal entities and exposures. Collateralize large intraday OD exposures with acceptable securities/cash collateral.
Execute master collateral agreement to cover multiple legal entities and exposures. Collateralize large intraday OD exposures with acceptable securities/ cash collateral.
LEHMAN BROTHERS
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Operational Exposure - ACH & Swift $..J!'L~ J; L ~Jii:'llU'
AURORA LOAN SERV LLC
AURORA LOAN SERV LLC
NEUBERGER BERMAN LLC
LEHMAN BROTHERS SPECIAL FIN
J.P.Morga:n
CNTL LMT-ACH DEBIT ACH TAMPA REPORT
OPER LMT-ACH ACH TAMPA CREDIT
OPER LMT-ACH CREDIT
CNTL LMT-SWIFT AUTO POST
ACHTAMPA
LONDON BR
0
350
0
1,200 1st Priority - Mortgage P &. I Considering reduction Collections (amount TBD)
0 1st Priority- Mortgage P &. I and T &. I Move to manual prefunding Disbursements
0 Combine the Lehman and Neuberger ACH limits. New total is $15 million
0 100 3rd Priority. Accounts credited on Consider canceling receipt of SWIFT MT103 message up to amount of limit
LEHMAN BROTHERS
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Operational Exposure - Other.
LEHMAN BROS INC
LEHMAN BROTHERS INTL (EUROPE)
LEHIAA~fBRO'$ IHCnd5s IN:(/ ..
LEHMAN BROTHERS EQUITY FINANCE (CAYMAN) LTD
J.PMorgan
CPTY LMT-DEALER CLR RREPO/ WSS BD CLEAR Fail financing for Clearance clients
CPTY LMT-SEC LEND AGENT/ JPM acts as principal to in·~estor and borrower
CPTY LMT-SEC LEND AGENT/ JFM acts as principal to investor and borrower
GENESIS
GENESIS
5
100
8
250 High priority I secured by fed eligible and DTC collateral
Exit securities clearance business
Limit and credit exposure measured in peak exposure terms are conservative and ignore right-wayness (favorable correlation) of most trades
Limit and credit exposure measured in peak exposure terms are conservative and ignore right-wayness (favorable correlation) of most trades
LEHMAN BROTHERS g
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