Home

LBEX-LL 1175483 - Stanford University

1. E EE Ut HORE ec Futures London Prime Braker Reports kargin Cali Reports Sample Trade Exposure Report 65 LBEX LL 1175549 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC Account Sex Comin Maturity Dt Des Vet Tyge P Tra Bax P Client 9332900 0332900 TINT 11 15 2009 15 Nov 2009 912833GF1 131KI80 USD 1 680 000 03 Jan 2005 RE 84 0004 1 680 009 OPEN ESMICATS 84 0000 13 Jan 2005 332900 FEDERAL HONE LOA USD 2 2508 085 EE 1 230 442 EMACATS 15608 Le fane 2005 Paydown Report Illustrates how margin exposure on an MTS repo account 15 affected by monthly mortgage paydowns by showing the change in factor face amount and exposure on a trade and summary level To run report Click on Reports button Double click on FI Financing folder and highlight Paydown Report Enter in run criteria in right hand side of screen Then click run 66 LBEX LL 1175550 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC READING THE EXPOSURE REPORT To read the report use the headings at the top and read from top to bottom to identify specifics of trade The post margin exposure if figured the second column from right Look at t
2. Trades Screen CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC LBEX LL 1175511 INFINITY QUICK REFERENCE GUIDE The following pages contain some important tips rules for using Infinity General Broadcasting must appear at the top of the Infinity application at all times If RUN BROWSE appears in red at any time click on it If Broadcasting does not re appear immediately call the Infinity hot line at 212 526 2988 When first accessing nfinity as a multi user those that enter process both Government Mortgage and Canadian trades Government appears with an arrow to the right of Broadcasting If you click on the arrow you may choose Mortgage or Canadian Changing from Government to Mortgage or Canadian changes the Trade Browse view allowing a multi user to see all their Government Mortgage and Canadian trades on different screens Columns on Trade Browse Position Browse or Collateral Manager may be sorted by left clicking at the top of the column Left clicking again reverses the same column Right clicking on another column makes that the second sort Left clicking on another column changes that sort to the first etc Trade Entry Fields with an arrow be entered by typing a value alpha or numeric Infinity will look for the closest match to each character entered When the desired value has been found press Enter or use the arrow again where the list displayed will begin at the
3. Ifa trade is substituted the Current Exposure should be increased decreased based on whether buy or sell trade Ifa trade is cancelled where the trade had exposure included in the Start of Day Exposure the Current Exposure column should be increased decreased based on whether buy or sell trade Modification of a field that affects the calculation of exposure where there was exposure in the Start of Day number should increase decrease the Current Exposure column End of Day Exposure Current Exposure plus or minus Reprice Payable Receivable Reprice Detail Double clicking on a summary line will drill down to the trades that make up the summary number To reprice a trade enter the new price and release If interest only is to be paid type P in the Int field Override interest may also be entered in conjunction with a reprice or to be paid on the contract Rate Board The Rate Board allows for daily rate updates to variable rate trades The information is displayed by Customer and groups all trades by Cusip and Ledger A rate applied to a line in Rate Board is applied to all trades that make up this line These trades may be seen by drilling down on the line If the prior day rate for one trade making up a line is different than another the Old Rate field will display Multiple cusips can be grouped together for ease of many rate updates by creating a Category in the Customer Profile where trades from specific ledge
4. 31 800 000 00 31 800 000 0 2921300000 28 213 000 50 000 000 00 27553 There are many reports and shredders within CAMEO most of which are geared towards margin related tasks and others designed for pricing trading or other operational functions A report is displayed on a user friendly printable format a shredder is raw data that can be exported to excel for further manipulation Reports and Shredders are broken down into different sub categories by product type Click on Reports or Shredders buttons on top of CAMEO screen to view selection of either reports or shredders Sce screen print below for Reports menu CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC 63 LBEX LL 1175547 28 interest Liquidation Margin Call Tracking Orphan Collateral Outstanding Repos Collateral Receive Pledge Redemption Management OLD Collateral Recelve Pledge T ED EH EB Ed Ed E Fl Financing Exposure Economic Exposure Product Market Fluctuation Report Pay Down Now Trade Ropa Tradar Specific Margin c One report frequently used by Sales amp Branch Ops Support for Repo is the FI Financing Trade Exposure Report which shows repo exposure for margined trades within an account This report contains all trade attributes associated with the FI Financing business Please note that
5. Special Purpose Vehicles amp CDOs Sovereigns Robert Lutey Group Manager Forex Settlement amp Reporting Credit Reporting Credit Reporting Credit Reporting Credit Reporting Credit Reporting Quantitative Analyst Quantitative Analyst Credit Reporting Latin America Credit Reporting Credit Reporting Credit Reporting Quant UE TUE 5 52555505 s a 59555 55 o 2 2 m 5 55 RE RES M 5 d o o o o ircu k on Cred ts and ha ic Documents and cl To find the appropriate Cred assignmen CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC CREDIT RISK MANAGEMENT To find haircut on EMG bonds go to sub menu under Client Limit Utilization and click on F I Financing The following appears Repo li B AR Activity Pa 2605 Search Surasdzheste C entMeme Credt nakui 0 Legal Sntiy 7 ej dent Limite 2 Instructions Enter Partial or fall name or og name 2 ULUHeip Guide IF A NCTIORAL LIMIT ES 18 bafd THEN TEMPORARY LIMIT IS IN EFFECT FOR THESE CASES PLEASE CALL FOE amp PPRONVAL OF ANY ADDITIONAL TRADES Page 4 of 41 Nest 17TH STREET FUND 24 598 000 314 COMMONWEALTH INC 0 0 ABBEY NATROMAL SECURITIES INC 982 789 938 M12 JORG
6. Manager 201 499 8461 Tom Wilson 201 499 8512 John Venner Supervisor Govt s Agencies 201 499 8508 David Hughes 201 499 8395 Calixto Lito Escobar Physical 201 499 8473 Helene Decamp 201 499 8472 Chad Lucas 201 499 8464 Mike Kahn TMS 201 499 8483 Oscar Caiazza 201 499 8467 Grace Furia 201 499 8476 Margin Department TMS MTS Bridge Balancing Kristin Desario Manager 212 526 7065 Larry Zucconi 201 499 8188 Carol Dort 212 526 1210 Peter Seok 201 499 8189 Rebecca Myers 212 526 3950 Don Logan 201 499 8179 Elena Kondombo 212 526 5745 Joaquin Escamille 212 526 3466 Kayvan Parvin 212 526 4242 Output Management Infopac Michele Kahne 212 526 9862 Hotline opt 6 then 4 973 533 3000 Dala Vongsa 212 526 4244 John McShane 973 533 3400 Ex LBEX LL 1175487 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET LBEX LL 1175488 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET TABLE OF CONTENTS I LEHMAN BROTHERS AS MARKET LEADER u INTRODUCTION TO THE FINANCING MARKET FINANCE MARKET PARTICIPANTS A Investors Dealers o Central Banks and Official Institutions CHARACTERISTICS OF FINANCING Repo Interest Rate lt Type of Collateral Settlement of Transactions Term of Transactions Right of Substitution Margin Supply and Demand RISKS IN THE FINANCE MARKET Collateral Risk Count
7. Trade Px Dore Pedig Fig Aste MTM Client 596200 BORY ONLINES CURSTODLAR LEI 249 Sales Pason SALES DESE T 2139 Sales fice LGOSCNY 5806 00 US TREASURY BORD E125 15 Aug 2013 12B10E05 USD 395 425 253 508 103 288 01 51 1002 RE 1555535 401 81 250 000 7 02 54 1001 11 077 1 1363533 03 2005 5805300 B ND E1325 15 Aug 2019 12E10FT 21E 2221138 137 17 100 000 2 2500 103 000 02 P amp 2005 LE 1345145 134555 180 508 17 042 151 203 ATE 2 820 1 1372731 03 6 2003 5806300 US TREASURY BORD E358 15 Aug 2020 12B10FC9 2500810 Uem amp 023 45 5 483 000 23500 103 000 05 Fat 2005 EE lugo 8058029 2 481 I 93 8 1002 ATO 225 023 1 1482199 03 Feb 2005 BE TOTAL ORIGINAL TOTAL PRINCIPAL TOTAL ANANCEINT TOTAL CURRENT FACE TOT AL MARKET WALL TOTAL CPN INTEREBT 3 875 000 8 256 944 AN 5 875 000 5 596 396 240 519 DNI SDNIGTOH S 3H LO IS NVINHAT GALSANOTY LNAWLVIAL TVLLNAGIINOD 2999211 11 991 RUM DATE 2445 3 30 35PM LEHMAN BROTHERS REPORT ID 2 4 05 5 30 35PM C AMETS Margin Exposure Report PM und Ko Hen Coupon Maudit Dt IBKACUBIP Pool Ko Ratings Arm Trade Date Deal ID Grigisal Face F haclg Rare MARGN Gre On Deal Type 1 cea B
8. Trd Hoch Girer Fa Fhasclig ln rest CIT Px Man OT Erer ID Bs MART PX 18 METPX Gil Sone Facor Hare Esc ption mar Trd Gays Lett Trt Px Tett Trade Pr Px Dae Peidlig Fig Fx Ame M TH Parow I thc Client DRLINES AR STSTODLAM Sales Person SALES DESK 7 4129 TOTAL Lis WAL TOTAL HAIRGUT WALU E gU E TOTAL MPM VALUATION C TRIGGER Ua FERE Y n HLINHITS AT CTE DOIAN TOTAL 69
9. nfinity application From the collateral closeout screen right click on a collateral to Release Undo Approve undone closeouts where the screen has not been refreshed may be approved Overnde Instructions upon release these will be sent to MTS popup per sales team s will appear starting at 8 45 AM when there are approved closeouts for that team s When all closeouts have either been undone or released the popup will no longer appear A Customer Contact box pops up when releasing a closeout where the user is prompted to enter a contact name If this is not required uncheck the flag next to Customer Contact at the top left hand part of the Collateral Closeout screen Interest may be overridden to another interest amount or to zero for a collateral All override interest is sent to MTS X Exposure Summary Infinity provides a summary by Sales Team of Exposure per account The following columns appear on the summary screen SOD Exposure Start of Day Exposure Total Exposure for all active trades as of the completion of the Start of Day This number includes the exposure on trades that are auto closed out This number should never change Current Exposure originally Exposure after Returns should update during the day with each type of activity that may affect the exposure reflected in the Start of Day for that customer Activity includes substitution cancellation and modification New trades due t
10. 1 0 1 25 1 25 0 00 0 00 0 00 17 0 75 0 75 1 00 1 00 1 50 1 50 1 50 2 00 200 0 00 0 00 0 00 1 00 1 00 1 00 1 5096 1 50 1 50 2 00 2 00 200 275 279 200 0 00 011 179 175 34 0 00 000 0 00 07 0 75 0 755 1 00 1 0096 1 1 50 1 50 1 50 225 12 9 25 Haircuts are based on a combination of the creditworthiness of the client and the characteristics of the bond The tier of the client is determined by the Credit Analyst at the time client is approved to do repo 42 LBEX LL 1175526 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC 8 212 525 34 212 526 8271 212 526 5561 212 525 5083 4137 5935 9189 0247 0250 3228 0483 5601 9984 2671 4136 3309 7141 526 526 526 526 526 526 526 526 526 526 212 212 526 2794 212 212 212 212 212 212 212 212 212 212 526 212 526 212 526 noc 212 526 7734 212 526 5083 305 789 8734 ier t 2 LBEX LL 1175527 fer to sub menu under t Analyst Coverage ies re t Analyst for repo approval 1 inquir t 43 1 CREDIT RISK MANAGEMENT itative Analyst 8 2 2 x x Re lt 5 indes funds Steve Simunte Gropp Manager
11. 212 526 6606 Michael Mazzola 212 526 9950 Andrew Carey 212 526 9950 Coupons Payments for EMG Aracelis Lucero 212 526 9950 Paul Carter 44 20 710 22989 Brian Marchellos 212 526 9950 email slprq lehman com Pete Woroniecki 212 528 9950 Matt Linnane 212 526 9950 email repo trade support DATA ENTRY Eleuterio Marcelino Marcie 212 526 3696 INFINITY SYSTEMS SUPPORT Ruth Weinreich 212 320 6094 Alex Robayo 201 499 9167 Hot Line 201 499 9250 nt LBEX LL 1175486 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC REPO CONTACTS CLEARANCE CLEARANCE ITS Lenny Legotte Head Supervisor MTG amp GOVT 201 499 8396 EMG Securities DTC 5229 amp EUROCLEAR Hot Line 201 499 6633 John McKissick 201 499 8304 Bill Liebscher 201 499 8178 Mortgage Backed Securities Fed Wire PTC Aida Mendez physical cage 201 499 8305 Anna Garner Supervisor 201 499 8393 Nicole Wolleon 201 499 8431 Maureen Leiner 201 499 8281 Governments Agencies Disco s Fed Wire Mike Maher Supervisor 201 499 8397 CLEARANCE ITS EUROCLEAR 92904 John Arancio Bonds 201 499 8389 Yvonne Day London ops 44 20 710 28461 Roger Cabrera Bills 201 499 8391 Shelia McGoldrick 44 20 710 23042 David Hughes Notes amp Redemptions 201 499 8395 Lisa Austin 44 20 710 24252 Anthony Collura Notes 201 499 8392 Rob Chapman Manger 44 20 710 22031 Stephen Pisciotti Agencies Discount Notes Strips 201 499 8398 Tom Wilson Security Redemptions 201 499 85
12. 5mm Minimum amount of 500 000 debit in notional balance required 20 1175504 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC TRADE LEDGERS IV TRADE LEDGERS LBEX LL 1175505 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC DNI SDNIGTOH S 3H LO IS NVINHAT GALSANOTY LNSIALLVRIELL TVLLNAGIINOD 90SSZLL 11 X391 TRADE LEDGERS ISSUE BUY SELL BORR VS CASH DOLLAR ROLL TRADER FIRM FUNDING MATCHBOOK Bills Coupons 1yr GC Term and TIPS Any MBS ABS trade with Floating rate Agency Specials cac Larry Servidio Andrew Helming Jon Wiegand Mike Ellsworth Steve Brown George Van Schaick Mike Webb Anish Vasisth Kevin Croutier Phil Mooney Tom Conti Megan Orsen Geoff Allen V SALES CREDIT SCHEDULE LBEX LL 1175507 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC DNI SDNIGTOH S 3H LO IS NVINHAT GALSANOTY LNSIALLVRIELL TVLLNAGIINOD 8099741 TTX381 GLOBAL FINANCING ALL GOVERNMENTS 1007 MIT FE 100 IMM YR 2 weeks 100 MIMU YR L00 IUIIVI YR 100 MMIYR 100 4M YR 100 MIMUYR 100 TU ME YR 100 MIMI YR 100 14 MP YR 500 MM YR 200 MM YR S500MMYR 3200 MM YR 50yMMV YR 3200 4M YR 200 MM YR GOVERNMENT SPECIALS f350vMM YR 200 MM YR AGENCY SPECIALS 50yMM YR 200 4M
13. GUIDE Pool or Security Description may be entered in the Description field on the collateral maintenance portion of the Trade Entry screen In Price defaults when entering collateral Updates to a Products Price and or Bulk Mark are not Broadcasted when done via Product Maintenance to Trade Entry The Page Up Down keys will take you from one tab to the next i e Collateral Maintenance to Delivery Instructions to Calculations etc and vice versa MBSFIN for Mortgages is the dummy security that may be used on forward starting contracts only When a forward Mortgage trade is entered MBSFIN is automatically dropped into the collateral maintenance screen upon selecting Approve or Release This is not the case for Governments rather one of the many dummy government securities speak with Trade Support for the specific cusips must be manually typed into the Description on the Collateral Maintenance screen NOTE On Settlement Date a cancellation of any MBS or the government dummy securities 1s sent to MTS and the shell is reinstated on nfinity to be collateralized that day If the MBFIN or Govt dummy trades have already been cancelled on MTS Infinity will get naked for the cancellations sent to MTS Profiles Customer The Auto Fax flag on the Customer Profile drives the faxing facility Ifa MBS Repo ora GOVT Repo or Reverse Repo is done through a Broker then the trade 1s faxed to the Broker not the Custom
14. TOTAL SALES CREDIT UPON TERMINATION REPRICE TICKET 01 13 2005 P O VS REPO RE PRIC 48 RE PRICED TRADE LBI ACCOUNT NAME LBI ITS ACCOUNT NUMBER LBI ITS IR NUMBER FINANCING TYPE RE or RR SECURITY DESCRIPTION SECURITY ISIN NUMBER NOMINAL AMOUNT for RR for RE NEW LOAN AMOUNT for RR for RE NEW PRICE DELIVERY INSTRUCTIONS TOTAL PRINCIPAL AND INTEREST ON EXISTING TRADE NEW LOAN AMOUNT CASH PAIR OFF PROCEEDS PAIR OFF AMOUNT LEHMAN OWES CLIENT IF POSITIVE CLIENT OWES LEHMAN IF NEGATIVE LBEX LL 1175532 LBIE LBI TICKETS AND SETTLEMENT INSTRUCTION FOR ITS Delivery Instructions for EMG Collateral LBI Euroclear number 22780 used when delivering bonds to and from TMS acct to ITS LBIE LBIE Euroclear number 92904 Cash Wire Instructions Citibank N A ABA 021000089 A C 40610137 A C LBIE Settlement Terms EMG Cash trades T 3 EMG Repo trades T 2 also known as spot T 1 also known as tom amp should be ok d by desk T same day or daylight must be ok d by desk EMG reprices for margin 1 MG rerates 2 Both sides must instruct and match at least 24 hours in advance 49 LBEX LL 1175533 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC X DOMESTIC SETTLEMENT INSTRUCTION GUIDE LBEX LL 1175534 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC DOMESTIC SETTLEMENT INSTRUCTION GUIDE Fixed Income Lehman Brothe
15. and sold for the same value date If the purchased security fails to be delivered to the dealer the dealer will often borrow this security in order to deliver on his cash sale and receive the proceeds Futures and Options The growth ofthe derivatives market has fueled an increased demand to borrow lend securities for fixed periods of time As these markets continue to expand the repo and securities lending products will also expand to enable efficient pricing of these transactions gt Re LBEX LL 1175497 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET V RISKS IN THE FINANCE MARKET When evaluating the feasibility of entering the Repo market investors should be aware of the following potential risks K Collateral Risk Fluctuations in the market value of the collateral relative to the cash invested with the dealer may cause one Repo counterparty to experience credit exposure to the other Repo counterparty For example if the market value of the collateral held by the investor falls relative to the cash the investor would incur unsecured exposure to the dealer in an amount cqual to the difference between the current market value of the collateral held by the investor and the cash invested with the dealer Conversely if the market value of the collateral held by the investor increases relative to the cash invested with the dealer the investor would be over collateraliz
16. defense Understand and get comfortable with the type of collateral vou are receiving Be certain that you can price it accurately and that vou understand the mechanics of settling securities in the particular country of the issuc Mark to market your positions daily This enables you to request additional collateral if necessary and remain fully collateralized at all times Documentation Two standard agreements have been developed to govern Repo market transactions These documents are used by many Repo market participants including Lehman Brothers Participants in the U S Repo market generally use the standard Repo agreement developed by the Bond Market Association BMA Additionally participants in the global Repo markets generally use the standard Repo agreement developed jointly by the International Securities Market Association and the BMA The BMA Master Repurchase Agreement describes the explicit terms agreed by both the buyer and seller ofthe repo Such terms include settlement interest payment margin maintenance trade confirmations collateral substitution and events of default All participants in the repo market are advised to fully understand this legal contract Agreements can be obtained through the appropriate documentation team at Lehman Brothers N Checklist for Getting Started Prior to investing in the repo market it is important to determine the parameters you will work within 15 LBEX LL 1175
17. etc or Letters of Credit for securities lending transactions General Collateral the universe of securities eligible for repurchase agreements security is not trading as a special issue it is considered general collateral Matched Book a major profit center at primary dealers is where a trader reverses in and repos out collateral to the same or different dates When the maturities of the reverse repos and repos are the same he or she 15 said to be running a matched book But in reality most matched books are actually mismatched in that a trader will reverse in collateral to dates which are different than those maturities on the corresponding repos A trader does this to profit from future shifts in interest rates that might occur between the unmatched maturities on the reverse repos and repos 16 LBEX LL 1175500 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET Rebate Interest in a securities lending transaction the borrower of the securities receives interest for the term of the borrow This rebate interest compensates the borrower of the securities for the loan of the cash collateral Repurchase Agreements repo a sale of securities vs cash with a simultaneous agreement to repurchase the same securities at a future date The buyer of the securities receives interest on the cash investment Revers
18. is for an LBI or an LBIE account by highlighting all trades for LBI accounts as below LBI ITS ACCOUNT NUMBER ITS IR NUMBER As opposed to the below for an LBIE trade LBIE ITS ACCOUNT NUMBER 47 LBEX LL 1175531 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC LBIE LBI TICKETS AND SETTLEMENT INSTRUCTION FOR ITS TICKET TEMPLATES New Ticket TODAY S DATE LBI ACCOUNT NAME LBI ITS ACCOUNT NUMBER LBI ITS IR NUMBER FINANCING TYPE RE or RR SECURITY DESCRIPTION SECURITY ISIN NUMBER NOMINAL AMOUNT for RR for RE TRADE DATE START DATE END DATE FINANCING RATE HAIRCUT NET LOAN ON START PRICE DELIVERY INSTRUCTIONS SALES CREDITS APPLY TO TERM TRADES ONLY TOTAL SALES CREDIT UPON TERMINATION TODAY S DATE EXISTING TRADE LBI ITS ACCOUNT NUMBER LBI ITS IR NUMBER TRADE REFERENCE NUMBER FINANCING TYPE RE or RR SECURITY DESCRIPTION SECURITY ISIN NUMBER NOMINAL AMOUNT for RR for RE START DATE REPRICE DATE FINANCING RATE HAIRCUT NET LOAN ON for RR for RE DELIVERY INSTRUCTIONS STANDARD SALES CREDIT MARK UP eg 05 5bp MARK UP CALCULATION TOTAL SALES CREDIT UPON TERMINATI CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC 01 20 2005 Close Ticket TODAY S DATE ACCOUNT LBI ITS ACCOUNT NUMBER 01 20 2005 DELIVERY INSTRUCTIONS ISTANDARD SALES CREDIT MARK UP eg 05 5bp MARK UP CALCULATION
19. match found Entering a Group name results in the pulldown selection of Customers displayed to include only those customers in that Group Group is assigned at the Customer Profile level Additionally entering a Group results in all fields on the contract collateral maintenance screen other than Amount and Customer to remain on the Trade Entry screen making entry faster NOTE This includes all override Sales Information Selecting the three dots beside the Rate brings vou to the Rate Reset Detail for Reset Contracts or Call Schedule information screen for SRRs Clicking on the up arrow beside Remaining at the bottom of the Collateral Maintenance screen will automatically update the Contract Amount The up and down arrow on the keyboard moves the Start Date End Date up and down in the End Date field sets it to Open Contract margin applies to Repo only implying that margin on the contract can apply to all collateral Reverse margin however is applicable on the collateral level only and defaults from the tier set up for the customer shown in the profile PF on Infinity Enter at any field on either the contract or collateral maintenance screen will bring the cursor to Approve if the shell has not been allocated or Released has been allocated Enter again will either Approve or Release the trade LBEX LL 1175512 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INFINITY QUICK REFERENCE
20. to keep you advised of such changes Lehman Brothers disclaims any and all liability relating to this information including without limitation any express or implied representations or warranties for statements contained in and omissions from this information Lehman Brothers and or its affiliated companies may make a market or deal as principal in any securities mentioned in this document or in options futures or other derivatives based on any such securities In addition Lehman Brothers its shareholders directors officers and or employees may from time to time have long or short positions in such securities or in options futures or other derivative instruments based on such securities One or more directors officers and or employees of Lehman Brothers may be a director of the issuer of any securities mentioned in this document Lehman Brothers may have managed or co managed a public offering of securities for any issuer mentioned in this document within the last three vears or may from time to time perform investment banking or other services for or solicit investment banking or other business from any company mentioned in this document Unless otherwise permitted by law you must contact a Lehman Brothers entity in your home jurisdiction if you want to use our services in effecting a transaction in any security mentioned in this document This document and its contents are proprietary to Lehman Brothers Any reference to Lehman Brothe
21. 12 FAIL CONTROL Terry Flores 201 499 8402 Cesar Serpa 201 499 8192 Clearance Corporates A B s P L CMO s Money Mkts MTS DTC 636 Maureen Duffy Supervisor 201 499 8296 Tania Mattes Co G LBI 201 499 8302 Vicent Martemucci 201 499 8319 Triparty Allocations Triparty Cash Balances Tom Rogers Sr Manager 201 499 8308 Raymond McLennon 201 499 6875 John Palchynsky J P Supervisor 201 499 8306 Lee Gally 201 499 6655 Rob Rodriquez 201 499 8307 Danny Fang 201 499 6838 Albert Abad 201 499 8294 Brian Wing 201 499 8321 Cash Management email Cash Management Pairoffs Same Day Payable Receivables Jay Chan Manager 201 499 6472 Carol Keith Supervisor 201 499 6834 Ray Abary 201 499 4991 Ray Abary 201 499 4991 Danny Fang 201 499 6838 David Tung 201 499 6912 Raymond McLennon Funding 201 499 6875 Ray McLennon 201 499 6875 Joseph Bellingeri 201 499 6975 Sharon Blake 201 499 6434 David Tung 201 499 6912 Lee Gally 201 499 6655 Ray McLennon 201 499 6912 Angelo Gabriele 201 499 6626 Sales Support Carry Group Sales Development Nancy Denig Manager 212 526 9770 Irena Panda 212 526 1332 Carol Schirmacher Supervisor 212 526 0669 Carla Mantilla 201 499 8253 Jason Friedman 212 526 0997 Aliana Soto 201 499 8249 Binita Parmar 212 526 6796 Jennifer Matulewich 212 526 0529 Mike Chiara 212 526 6837 Julie Ann Catalano 212 526 3170 Vin Chauhan 212 526 0879 Principal amp Interest Coupon Clips Redemptions Jorge Acevedo
22. 175539 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC and include info relevant to the specific product type e g FI Financing Derivatives Futures Retail PCS Options etc See screen shots A B amp C below a FI Financing Drill Down Summary Tab b Options Summary Tab 56 LBEX LL 1175540 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC Replacement Value Derivatives Summary tab LOSS LBEX LL 1175541 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC 1 11 018 594 Access Client Drill Down screen by clicking on Drill Down button from either Client Search or Client Exposure screens Client Drill Down consists of several different tabs Access to the tab you are interested in can be achieved by clicking on the tab header The Summary tab offers account level exposure information The Transactions Positions tab contains trade level detail along with corresponding exposures on the trades Balances shows any outstanding balances associated with account if applicable Free Collateral identifies any free collateral in the account used to offset margin exposure The Margin Call tab will show any calls issued to the client sales IV Counterparty Watchlists Enables user to identify to establish a hot list of his her own accounts This is a useful tool because it helps the user focus just on accounts he she is in
23. 499 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET For the Lender of Securities Decide which currencies you wish to lend Decide what percentage of the portfolio you will lend Determine the eligible collateral you will accept Determine the criteria for selecting counterparties Consider the creditworthiness of the counterparty level of service level of experience scttlement capabilities and revenue expectations Address any tax legal and regulatory issues including capital adequacy guidelines for collateral Execute the appropriate Repo Agreement Set up the operational procedures for delivery receipt of securities and collateral Set up the appropriate reporting system to monitor outstanding positions and their market values For the Investor of Cash Decide upon the currencies and the amount to be invested Determine eligible collateral and level of margin over collateralization required Determine the term of the investment overnight one week one month etc Determine criteria for selecting counterparties as described above Address any legal tax or regulatory issues Execute appropriate repo or securities lending agreement Set up operational procedures as described above Definitions Collateral may consist of cash in any currency for repurchase agreements other securities U S Treasuries Agencies Mortgage backs Sovereign Debt
24. A and Unrated 750 MM YR 750 M M YR TBA TBA TBA PROGRAMS 400 MM YR 600 M M YR TBA TBA TBA Jared s S358 pus pde ZO PROUD y 01 988 V 0M2 e 9871 SORAD Kov seg vens wy ATOAGHHOS LIGAND SATVS LBEX LL 1175509 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC VI INFINITY QUICK REFERENCE GUIDE LBEX LL 1175510 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INFINITY QUICK REFERENCE GUIDE Front End Repo Trade Booking System EMAIL INFINITY SUPPORT PHONE 201 499 9250 Infinity Features Trade Entry Trade Modification Trade Cancellation Position Browse Traders Only 9 99 Profiles Customer Account Maintenance Auto Fax Allocation Parameters Adjustments Broker Maintenance Ledger Maintenance Sales Team Maintenance Closeouts Hold All Release Product Maintenance Price Modify New Product Maintenance Trade Browse 9 9 9 Pricing Confirmation Fax Price Subs etc Bulk Mark Secunty Labeling Collateral Manager Filtering Position Closeout Traders Only Substitution Collateral Closeout Salespeople Rollover Release Closeouts Undo Breakup Approve Instruction Override Exposure Summary
25. BY LEHMAN BROTHERS HOLDINGS INC Resolving Margin Calls Determining Cause of Exposure Resolving Margin Calls Repo trades are marked to market daily Margin calls are expected to be met daily The margin department contacts sales when there 1s an account which has exposure in excess of trigger amount After sales receives margin notice they should run a trade exposure report in CAMEO to determine if the call is good Sales should make sure the haircuts and mark to market prices are accurate These are two variables which could cause a bad call Some margin calls will be made direct from the margin department and other will be made from sales Margin will decide which customers are directly contacted by their department If sales 1s responsible for handling the margin call they must communicate with Margin and tell them how the call will be resolved free collateral reprice cash collateral etc The customer should be contacted by sales no later than 10 00AM and margin call should be met by 3PM the same day in MTS or can be same or next day for ITS or what is referenced in the GMRA Global Master Agreement The calls which are not met per the repurchase doc will be reported to Credit the Trading Desk and Management These actions could result in closing the trade or liquidation Cameo can be requested by going to Lehman Live and typing TAC in Keyword box Click on Make a Request Find the application listed
26. Brothers Inc A C 066 27 969 Sub A C 731 7084312 Bill Gallagher DTC 201 499 8371 Peter Borzi physical 201 499 8348 Bill Gallagher DTC 201 499 8371 Peter Borzi physical 201 499 8348 Preterred Stock DTC 074 Lehman Brothers Inc DTCC NY WINDOW 55 Water Street 2 Sub Level A C Lehman Bothers NY NY 10004 N A Chase NYC ABA 021000021 A C Lehman Brothers Inc A C 066 27 969 Sub A C 731 7084312 Chase NYC ABA 021000021 A C Lehman Brothers Inc A C 066 206 677 Attn Lehman Bill Gallagher DTC 201 499 8371 Peter Borzi physical 201 499 8348 Anna Gamer 201 499 8393 Mortgages ABA 021000021 GNMA Pass Through JPMChase LMBS and REMIC FHLMC FNMA CMOs ABA 021000021 Pass Through and REMIC JPMChase LMBS or DTC 636 Private Label CMOs amp Asset Backed Securities 636 Chase Manhattan Bank 4 New York Plaza Ground Floor NY NY 10004 Chase NYC ABA 021000021 A C Lehman Brothers Inc A C 066 206 677 Attn Lehman Chase Manhattan Bank ABA 5021000021 Attn Outsourcing Dept 4538 Sub Account 323 2 92666 5 Anna Gamer Fed 201 499 8393 Maureen Duffy DTC 201 499 8396 Maureen Duffy DTC 201 499 8396 Peter Borzi physical 201 499 8348 LBEX LL 1175535 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC CAMEO AND MARGIN EXPOSURE REPORTS LBEX LL 1175536 CONFIDENTIAL TREATMENT REQUESTED
27. E MARCOS LBI 0 0 457 741 925 M01 985 000 000 M12 ABN BANK 475 646 171 M12 4 407 496 827 M12 REIRR 1 317 845 689 M12 ABSA BANK DOLROL 100 000 000 mot ACE TEMPEST REINSUBANCE LTD LBI REIRR 0 0 ACH MANAGED DOLLAR INCOME FUND 18 11 380 ADI CONVEN REIRR 0 0 ADI CREST ARDITRAGES 0 0 HIGH YIELD FUND D 0 ADOUM CORP LBI 0 0 ADVANTAGE NATIONAL BANK 0 0 AFRICAN DEVELOPMENT BANE 91 500 000 AGENCE FRANCE TRESOR RE RR 2 000 000 000 Miz AHEAD HOLOINGS LLC LBI RE RR 0 0 44 LBEX LL 1175528 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC CREDIT RISK MANAGEMENT financed choose EMG asset and Country Answer appears in Drop arrow down where it displays Spreadsheets to Haircut worksheets Green box below appears in excel Search for gray box below counterparty choose Lehman entity find type of asset to be X os 5 45 LBEX LL 1175529 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC IX LBIE LBI TICKETS AND SETTLEMENT INSTRUCTION FOR ITS LBEX LL 1175530 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC LBIE LBI TICKETS AND SETTLEMENT INSTRUCTION FOR ITS Trade and Reprice Tickets available in Excel format Please call the desk for excel file which are ticket templates Please make note if the ticket
28. HOLDINGS INC VIII CREDIT RISK MANAGEMENT LBEX LL 1175521 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC CREDIT RISK MANAGEMENT Financing Haircuts Credit Analyst Information Credit Limits http my lehman com CRM Lehman Brothers has a website which provides haircut grids credit analyst coverage and credit limit information for financing trades This site is accessible to any Lehman employee with an active Lehman Live UserID The information contained on these reports is of a highly sensitive nature and should be treated confidentially 38 LBEX LL 1175522 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC CREDIT RISK MANAGEMENT SO ROTTS p ES UU TE 2 E RUE SUITE ts and Term 111 Use the Menu on the left to find your Credit L approved haircut grids and credit analyst coverage 39 LBEX LL 1175523 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC CREDIT RISK MANAGEMENT ICR Search 1 Maras amp Legal Enti Emer Partial or futi name oc Search expresion Ole A tedi 290 35 mup name CLE Hef Es IE NCTIGNAL LIMIT IS I bold THEM TEMPORARY LIT ERECT FOR THESE CASES PLEASE CALL POR APPRONM TRADES Page af 44 gt gt TB STREET FRE iF ANY AD
29. NTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET DVP REPO Delivery vs Payment Cash to Borrower in direct Exchange for collateral Customer Lender Reverse Borrower Repo 1 Collateral inclusive of necessary haircut delivered to Lender in direct exchange for cash 2 Collateral delivered via appropriate delivery system a Fed Wire Treasuries Agencies Mortgages b DTC Mortgages Corporates TRI PARTY REPO Dealer Borrower Repo Customer Lender Reverse Cash to Borrower Pledge collateral for possible use against loans Confirmation ofallocated collateral 1 Allocates appropriate quality and value of collateral inclusive of necessary haircut 2 Segregates collateral on Lender s behalf 12 LBEX LL 1175496 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET Safekeep Hold in Custody Safekeep Repos are generally easier for the investor to administer In a Safekeep Repo the dealer places the collateral in its vault or in its own account at its bank in a segregated sub account for the exclusive benefit of Repo customers Also since the cost of transferring the securities to an outside custodian are not incurred Safekeep Repos generally yield a higher return than Delivery Repos G Term of Transactions In
30. OITIGNAL 314 COBMBNORNATALTEH IRC ACE TEMPEST RENSURANCE LTD ACK MANAGED DOLLAR FUND DORMER AR SRBITRAGES ADI HIGH TIELD FUND CORP ADVANTAGE ABBEY HA TIONAL SECHRITIES BNC LBI RE RR LBIE N A DOLAGL 457 731 925 RE RR REPO 985 000 000 AMRO BANK LBIE RE RR EMGRR 475 646 174 LBIE REIRR 4 407 496 927 LBIE REIRR RREFO 317 845 688 LIMITED LBIE DOLROL 400 000 000 DEVEL OPMENT BANS AGENCE ERANCE TRESOR HOLDINGS LLC LBI LBI RE RR LBIE RE RR LBI RE RR ABS PUND FOU VOX KT CHR GS LBI RE RR LBIE RE RR EMGRE 60 000 000 M12 Click on Client Limit Utilization for sub menu then click on F I Financing to start search availability and maturity CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC on client for their size limits limits 40 LBEX LL 1175524 CREDIT RISK MANAGEMENT Financia MRIS amp avisors Insor ante Gaveriment Corio Hedgs Fundas 145 institutions cur Sericesto s These are class for according to fre countenrarty s i Plase 7 ek ane af tio bs uri y parts Spe AR Click on haircut grids then click o
31. REPO MANUAL Contacts Kathy Ashe Product Marketer PIM 212 528 8129 This book is intended to be a reference guide for sales people engaging in Repurchase Agreements It provides information on repo product ledgers sales credit schedule credit risk management and margin Issues booking systems and documentation The table of contents follows Clicking on a section will link you directly to this point Updated 11 08 05 LBEX LL 1175483 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC REPO MANUAL Table of Contents 1 REPO CONTACTS Repo Sales Trading Support Clearance Phone Numbers Il INTRODUCTION TO THE FINANCING MARKET Basics Terminology Risks Legal ACCOUNT SUITABILITY Suitability Trade Maintenance Exposure IV TRADE LEDGERS V SALES CREDIT SCHEDULE VI INFINITY QUICK REFERENCE GUIDE Front End Repo Trade Booking System VII MTS VERBS COMMANDS Verbs and Commands to Mainframe System CREDIT RISK MANAGEMENT Financing Haircuts Credit Analyst Information Credit Limits IX LBIE LBI TICKETS AND SETTLEMENT INSTRUCTION FOR ITS Trade and Reprice Tickets X DOMESTIC SETTLEMENT INSTRUCTION GUIDE XI CAMEO AND MARGIN EXPOSURE REPORTS LBEX LL 1175484 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC I REPO CONTACTS LBEX LL 1175485 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC REPO CONTACTS Repo Sales Trading Support Clearance Phon
32. YR 3500 MMM YR 20024M YR 3500 MM YR S 20074M YR 30MMUYR 200 MM YR 500 MM YR 200 MM YR AGENCY GC IOMMER 100MMYR 300 MMU YR 100 MM YR 200MMVR 100 M YR 300 MMUYR 100 MM VR 300 MMUYR 1 100 MM YR CORPS amp ABS or better 50YMMU YR 200MMYR 700 MM YR 300MMYR 40 MIM YR 1200 MM YR 700 MM YR don cv 890 MM YR 40 MMIYR 90MMM YR 30 MM YR 1200 M YR S50UMMAYR 1J00 MM YR 100 MM YR TBA lt Inv Grace 1 250MM YR 1 250 MM YR 500 MIM YR 1 500 MM YR L50D MM YR 1 500 MIM YR 2500 MM YR 2 500 MM YR 3000 MM YR 3 000 MM YR RR amp RE RR RE RR amp RE RR amp RE RR amp RE Pass Throughs Agency Private Label C MOs 200 MM YR TADO MIER sese sued STUMMYR LOO0 MM YR 200 M M YR SUMMIT R 35UMM YR 500 MM YR 3 50MM YR S100 MMIYR 1200 MM YR 450 M M YTR TS M M YR 1000 MM YR 00 M 1000 M YR L200 MM YR 1500 MM YR 2500 MM YR 2000 MM YR 3 000MM YR L250 MM YR L250 MM YR 1 500 MM YR ESOTERICS Whole Loans Bank Loans 75 0 MM YR 750 MM YR STSO MMIVR 1 500 M M YR 25D00 MM YR BRADY S 500 M YR SD0 M M YR TRA exam 0 2 0224000 5DD MM YR 500 M M YR TBA TBA TB
33. actors which influence the dealer s demand to borrow securities including Cover Short Positions Dealers will often sell securities that they do not own This creates a need to borrow the specific security in order to make the delivery and receive the cash proceeds on the sale Operational Fails Often a security is both purchased and sold by the dealer If the purchased security fails to be delivered to the dealer the dealer will often borrow this security in order to make delivery on the cash sale and receive the proceeds of the sale C Central Banks and Official Institutions Central banks and official institutions around the world actively use the Repo market to invest excess reserves generate liquidity for currency intervention facilitate the flow of securities in their local markets and generate incremental income LBEX LL 1175493 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET For example in the United States the Federal Reserve Bank of New York the New York Fed uses Repos to add reserves to the U S banking system and Reverses to dram reserves The New York Fed can conduct overnight and term repos Generally an overnight Repo is viewed by market participants as the tool used by the New York Fed to manage U S monetary policy In addition the New York Fed executes Repos on behalf of its customers such as foreign central banks Customer Repos When th
34. alphabctically click and following instructions and submit For Cameo training contact Kristin Desario 212 526 7065 53 LBEX LL 1175537 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC uuu aus 222222 E m T _ 2 or _ CAMEO View Only User Manual Lee Wigden Updated 1 14 04 Background Info CAMEO stands for Collateral And Margin Exposure Optimization and is the official margin system of Lehman Brothers It is used globally by Margin Corporate Credit Trading Sales and other Operations departments Margin users have access to numerous margin related tools within CAMEO such as pricing margin engines contacts margin calls amp statements View only users which include all other areas other than Margin can view screens amp run reports but can not affect any of the data or events within the system Enhancements to CAMEO are constantly in progress with new releases scheduled periodically Summaries of new releases are provided by our CAMEO Technology group This manual will help view only users navigate through CAMEO For more detailed explanations regarding specific reports or functions or new user access please feel free to contact one of the margin managers or supervisors below NY NJ CAMEO Contacts Counterparty Margin Jeanette Keryc Fixed Income Margin Kristin Desario Derivative Margin Tara Baquero Retail PCS Margin Chris Andersen Angelo Cora
35. and Today s Trades from the Trade Browse Filter Substitution Closcout Goto Trade Browse Filter Enter Settlement Id or Contract Id format of yyyy dd mm contractld click on Prior Day bottom of the screen Select Apply Right click on the collateral to be substituted Select Sub Modify Sub Left click on Position Browse or enter Cusip Select Approve or Release Undo Substitution From Trade Browse right click on the Fully Subbed piece Select Sub Modify Sub Right click ice on top piece which is the Fullv Subbed piece 31 LBEX LL 1175515 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INFINITY QUICK REFERENCE GUIDE Select Undo Sub Select Approve or Release Collateral Manager Closeouts Infinity performs automatic closeouts each day by reviewing certain firm ledgers for collateral that if closed out would the firm flat Traders have the ability to undo closcouts per position if they do not want the collateral to be returned This action will broadcast to the salespersons closeout screen and upon selecting refresh all undone closeouts will no longer appear on the screen Before the refresh however an undone closeout will be highlighted grey Upon the Traders say so the Salespeople may release all approved closeouts NOTE Released closeouts will be highlighted blue access Collateral Manager Closcout screen Select CM from the top of the
36. e New York Fed executes Customer Repos the amount 1s usually announced in advance IV CHARACTERISTICS OF FINANCING As noted earlier many aspects of a Repo can be negotiated in order to reflect an investor s unique risk return parameters liquidity needs and operational preferences Variables include but are not limited to repo rate collateral settlement term substitution margin and supply and demand D Repo Interest Rate In a repo transaction the investor receives interest on the cash investment The rate used to calculate the interest is a function of many factors including but not limited to the supply and demand for the securities used as collateral the supply and demand for cash the maturity of the Repo and the method used to transfer the securities used as collateral from the dealer to the investor Please note the interest bears no relation to the interest rate on the securities used as collateral CALCULATION OF REPO INTEREST Cash Investment Repo Interest Rate Days Repo Outstanding 360 Repo Interest Repos can be quoted on a fixed rate or floating rate basis In a floating rate Repo an investor can choose an index as the basis e g LIBOR U S Federal Funds U S Treasury Bills and receive a specific spread above or below the index allowing the Repo Interest Rate to reset as the index resets Typically interest is paid at maturity in a Repo However for longer term trades investors may pref
37. e Numbers Last update 11 08 2005 DOCUMENTATION MRA amp GMRA NEW ACCOUNTS Robert Guglielmo Manager 212 526 7121 Cathy D Elena Supervisor 201 499 6444 Meade Ali PCS Repo Tri Party 212 526 7019 Group Contact Line CAS NY Institutional 201 499 4747 Cheryl Phipps 212 526 7022 Retail Group Contact Line CAS NY IMD 201 499 3333 Emily Dallaris 212 526 7023 Debra Fairbairn London Cust Acct Srvcs 44 20710 24068 Lisa Lynn Boron Sec Loan Equity Repo 212 526 7015 CASE London email Theresa Russo GMRAs PCS amp Institutional 212 526 7021 Kirmveer Pandher London Cust Acct Srvcs 44 207 102 1887 Guillermo Izabal 212 526 5607 CORPORATE CREDIT APPROVAL David Sackett Latin American 305 789 8734 Hector Kreutz Scott Quinn Finl Inst amp PCS 212 526 9760 Julia Nand Ana Arsov Amar Patel Ins Co Municipals 212 526 8271 Jim Glen Hedge Funds 212 526 8864 Frank Baldi Hedge Funds 212 526 3702 Roger Tennent Hedge Funds 212 526 4525 Robert Battoglia Hedge Funds 212 526 2939 Daniel Goldhagen Corporates 212 526 5046 Vaghn Campos Invmt Adv amp Mutual Fds 212 526 4133 Mark Patrick Sovereigns 212 526 5083 Martin Roberts Special Purpose Vehicles 8 CDOs 212 526 7734 see also http my lehman com CRM LBI MTS LBIE ITS CFU SUPPORT PHONE TRADE SUPPORT Jim Hraska Manager 212 526 6782 Pascal Sabattier 212 526 9950 Anthony Rivera 212 526 9950 Thomas Rogers Jr 212 526 6875 Michael Thearle 212 526 9950 Laura Purvis
38. e Repurchase Agreements reverse repo a purchase of securities vs cash with a simultaneous agreement to resell the securities at a future date The purchaser of the securities receives interest on the cash investment Sale Buy Back a sale of securities and a simultaneous agreement to repurchase the same securities at a future date at an agreed upon price The future price is calculated to reflect the implied repo financing rate for the term of the trade Securities Lending Borrowing loan borrow of securities collateralized by either cash other securities or Letters of Credit Special Issue specific issue any security which is asked for by coupon and maturity specific issue 1s needed in order to cover a short or to facilitate a delivery on a sale transaction Lending specific issues enables the owner of the bonds to generate cash at below market rates of interest LBEX LL 1175501 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET DISCLAIMER This presentation is a product of sales and trading and is not a product of research This material has been prepared and or issued by Lehman Brothers Inc member SIPC and or one of its affiliates Lehman Brothers and has been approved by Lehman Brothers International Europe regulated by the Financial Services Authority in connection with its distribution in the European Economic A
39. ed in an amount equal to the difference between the current market value of the collateral held by the investor and the cash invested with the dealer Repo market participants address market risk in two ways Margin Typically the borrower of cash 1 the dealer provides the investor of cash with margin Margin is the excess collateral given to the investor to protect the investor against fluctuations in the market value ofthe collateral Margin levels reflect a number of variables including the creditworthiness of the borrower of cash the liquidity of the collateral the term and size of the transaction and the method used to move the collateral from the dealer to the investor Below is a chart illustrating the amount of margin that could be provided on various types of securities Please note that this chart 1s included in this information package for illustrative purposes only and are determined by Lehman s Credit Risk Management team Collateral Type Mortgage Related Securities 1001058 Mark to Market Typically Repo counterparties calculate the value of the collateral each day to make sure that the value of the collateral equals the cash investment plus the margin if any For example if the value of the securities used as collateral falls below an agreed upon threshold the investor usually has the right to request additional collateral from the dealer in order to ensure that the cash investment is appropria
40. eed 0 one of Hae i 5 ds or m LBFN To browse ik to see cash wire was sent in or if a pay able or was Bonet Weed amt range To view details of a trade ios tranni E To v view clearance status trade need tranni SO If cage clears a trade for different net money amount will show here LVTH To view history of a specific trade need tranni E i d ved p n Tosealldetalsofacounsempinedout 000000000000 To account need o exact name o Once i ina a coniracttrade 1 to summarize nai offside trade details to one line p per i security need trade id first via then LVCC To see all default delivery cash wire instructions Mord an account cust T To view rate history for a variable rate contract need contract id i To see where a pairoff payable receivable is set to be sent to come from need pairoff i number SES w To see eif a security is set up on a MTS ieee cusip LVTO To see name of an MTS user need operator id 5 digits LVFH To scc historical funds transfer s contract level i c all repricing s pairoff s and interest cleanups need contract or trade id To find a S id need last or first name 36 LBEX LL 1175520 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS
41. er The fax number must be set up for the Broker account in the Profile function PF Broker Ledger Sales Team Position Browse Traders Only Substitution Right click on a Position Choose Substitution Left click on collateral to be substituted or right click and choose Substitution Undo Substitution Right click on a Position 29 LBEX LL 1175513 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INFINITY QUICK REFERENCE GUIDE Choose Activities Right click on the substitution to be undone Select Substitution Modify Substitution Right click on original piece of collateral and select Undo Substitution Adjust to Offset for last adjustment only offset an adjustment made incorrectly Right click on Position Select Activities Right click on the Adjustment Select Adjust to Offset An offset to the original adjustment will appear Select Save Changes Trade Browse Rightclick displays functions available for a Contract or piece of Collateral Modify Rollover Rollover Reprice allows for entry of one price for all collateral in the new contract Release for approved contracts only Confirmation Print Fax Substitution Modify Substitution Closeout Modify Closeout function may be performed from Trade Browse or Collateral Manager See section VI To perform fu
42. er to receive interest at more frequent intervals Repurchase Agreement Example Investor C reversing 10 million in U S Treasury securities as collateral and receiving cash for a term of 30 days 10 million 10 1175494 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET To find the principal loan amount we use the below formula Principal Par Dirty Price 1 HC 1 100 Principal 10 000 000 102 1 1 05 1 100 Principal 9 714 285 72 To find the repo interest we use the below calculation Repo Interest Principal Rate Days Trade is on 360 Repo Interest 9 714 285 72 1 05 30 360 Repo Interest 8 500 of Collateral There is a wide range of collateral options available to the Repo investor reflecting the growing liquidity and importance of Repo markets worldwide The Repo Interest Rate is directly related to the quality of the underlying collateral That is the more flexible the cash investor is regarding the type of collateral accepted the higher the return is likely to be on the Repo Settlement of Transactions Most U S Repos settle on the same day they are executed This is known as cash settlement Alternatively Repos can be settled on any future date specified by the investor Three common methods to transfer collateral are Delivery Ina Delivery Repo the collateral is delivered to the i
43. erparty Risk gt lt gt APPENDIX Legal and Credit Consideration Checklist for Getting Started Ow Definitions LBEX LL 1175489 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET Basics Terminology Risks Legal I LEHMAN BROTHERS AS MARKET LEADER The Lehman Brothers Financing team is completely integrated into the rest of the firm to provide clients cost effective funding solutions ee Client Partners 7 iss Ri e m uL c we E P Financing N N N Ranked top three for last two years in nstitutional Investor 5 Repo Reverse Repo ranking Complete coverage providing clients with secured financing across all asset classes along the curve Named the Euromoney Best Site for Securities Lending Repo in 2002 amp 2003 Lehman Brothers 1s Market Leader in Repurchase Agreements One of the largest matched books in industry Ability to finance esoteric collateral type Aggressive specials trading INTRODUCTION TO THE FINANCING MARKET Repurchase Agreements or repos are the primary instruments used by U S broker dealers to finance their inventory positions Estimated size of the repo market is 1 6 to 3 8 trillion per day in the U S alone A repo is an agreement to enter into two simultaneous transactions whereby one counterparty sells securities t
44. he benefits of a secured highly liquid and flexible investment with an opportunity to earn a competitive rate of return to create a unique and useful financial tool for investors Security Investors may participate in the Finance Market to invest money on a short term secured basis at competitive money market rates of return Repos offer investors a collateralized altemative to unsecured investments such as bank deposits and money market instruments such as certificates of deposit and commercial paper In other words the cash investor is effectively lending moncy to a broker dealer rather than depositing funds in a bank The difference is that the investor receives LBEX LL 1175492 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET collateral for the total principal amount invested and is thus fully secured in case of a default by the broker dealer Investors are also provided an additional buffer of security by the dealer providing extra collateral known as margin for more detailed discussion on margin please see Section IV Flexibility Many aspects of a Repo can be negotiated to reflect an investor s unique risk return parameters liquidity requirements and operational preferences Repos can be structured to fit the exact maturity size currency and collateral requirements of the investor One of the most attractive features of repos is their flexible maturities or term inc
45. he example on the next 2 pages Gross Mkt Exp Market value cpn interest financing int principal 17 389 395 425 74 11 077 401 911 the numbers are opposite on this report so the Gross Mkt Exp is neg 17 389 Margin Hrct Amt principal h c 11 863 395 425 3 Margin Val Gross Mkt Exp Margin Hrct Amt 5 526 17 389 11 863 PME all the Margin Val added together compared to trigger 21 248 5 526 966 414 756 Although the Total Mrgn Val is a negative 21 248 there is no call since it is below the minimum trigger amount where margin is called 67 LBEX LL 1175551 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC DNI SDNIGTOH S 3H LO IS NVINHAT GALSANOTY LNAWLVIAL TVLLNAGIINOD CSSSZLL 11 991 RUM DATE SAMOS hd SoTL LENMAN REFDRTID 4 05 456 57 214 ne Margin Exposure Report c Anoount Wamp Caupon DE IBNACI Pool Cade Ratings Rm Trae Dar Deal bs DOY CDU Priscpal Face Rare MARGNIHRCT Dae Bs Be Trd Book Narketvshe Fliaiciig GIT Px OT Date Bett 111 Px Sore Fair Como We rest Aste TID Exception Tid Days Lett ES Trade Pr
46. icking drill down you will be brought to drill down on the selected account 61 LBEX LL 1175545 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC IV Transaction Browser This is a powerful tool that enables user to query trades using a wide variety of selection criteria including legal entity source system trade ID watchlist security ID account trading ledger etc Currently Trans Browser is functional with the Derivative FI Financing Options and Forwards margin centers In the example below the query was performed using margin center FI Financing Legal Entity LBI amp ledger 422 62 LBEX LL 1175546 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC 0100110 0103710 0114150 0114150 0114150 0115520 SUAREZ INVESTMENT CORP ITMS BRIDGE CATHAY BANK i MIDLAND ADVISORS NO AMER LIFE FRR __ ADVISORS NO AMER LIFE ADVISORS AMER LIFE HRR AINRAUSCHERINC ERR COMMUNITY BAN Reports amp Shredders 3133M1JAB 131371 4 4 31392E6F2 13128 52 FEDERAL HOME FNMA 15 YEAR 2643 6 1 FNR 2002 67 FHR 2693 LB PEIS YE Aug 27 2007 Nov 01 2017 2315 2033 25 2032 Oct 15 2033 Oct 01 2013 1000000000 1 000 000 00 330005700 47356930 10 000 000 00 10 000 000 00
47. in Nomura Sec and hit the find button 59 LBEX LL 1175543 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC Diagram 2 bo 10 9 ts ge 8 CAMEO will bring you to a Client Search screen where you should highlight the exact client that you want to add to your watchlist Once you see the account that you want to add to your list highlight the row and hit the SELECT button on the right side as seen in Diagram 3 below 60 LBEX LL 1175544 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC Diagram 3 9 After selecting the exact counterparty account name click on ADD TO WATCHLIST button and the c p name should appear in the grid as pictured in diagram 2 10 Continue this process until all of your desired counterparties are added to your list Remember to hit SAVE when you are done You can always go back into your list to edit it Your watchlist is now ready and can be used throughout CAMEO where applicable Tip on how to use your Watchlist Click on Exposure Query button on top of CAMEO screen Select your personal Watchlist from the drop down menu Margin Center and Legal Entity criteria are optional but can help you focus only on certain product types and counterparties This screen is similar to Client Exposure screen in that it highlights margin exposure liquidation value pending margin calls balances etc By highlighting a particular row and cl
48. llo Futures Margin Caesar Trelles CAMEO Tech Email CAMEO Technology Other useful tips Logging on Youruser ID is your NT ID 54 LBEX LL 1175538 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC Exporting to Excel Any area in CAMEO that contains a grid can be exported to MS Excel by selecting the grid and then clicking the Export to excel button on the top of the CAMEO screen Column Sorting To sort any grid in CAMEO click on the column header for an alpha numeric sort I Client Search Enables user to search for an account via source system account number account name or legal counterparty name See screen print below Client Search can be accessed by clicking on Client Search button on top of CAMEO screen Enter in account number name or counterparty name in space provided Legal Entity and System criteria are optional but will limit the amount of records retrieved For source system MTS is for FI Financing Options amp Forwards ITS is for FI Financing and DEM is for derivative accounts Click on Find Account should appear in grid Highlight desired account and click on drill down to see account summary and trade level details See section II below Client Drill Down Enables user to view counterparty trade level detail and exposures in specific margin centers product types Screen layouts differ for the various margin centers 55 LBEX LL 1
49. luding odd periods such as 21 days or 45 days The term of the repo can be tailored to suit the needs of the investor whose choice may depend both on the timing of the client s cash requirements and on the investor s view of likely interest rate movements The rate of return can be either set as a fixed rate or a floating rate In short a repo is an ideal cash management tool for investors because it enables them to manage their cash positions with a flexible customized investment product For details please refer to the section Risks in the Financing Market Reverse Repos The Repo market offers investors the opportunity to maximize returns on securities in their portfolio by repoing out bonds to dealers for which a fee is paid or a positive spread earned when the funds it receives against the loaned securities is reinvested in a higher yielding repo B Dealers Repos Financing Repos are the principal means by which dealers finance their inventory of U S Treasury mortgage backed corporate and money market securities and high grade sovereign debt Matched Book The term Matched Book is used when a dealer seeks to create liquidity in the Repo market by borrowing and lending specific securities entering into Reverses and Repos for specific periods of time based on the dealer s view of interest rates This is a profit center vehicle which generates revenue off fluctuations in interest rates Reverses There are several f
50. monthly cycle You can commingle UST Agencies Municipals and Corporate Bonds and the account will have one rate but different haircuts It is simple and usually caters to smaller pieces and is done in the TMS system Accounts must be opened in a specific range in each branch to qualify Repo is better suited for the sophisticated client with a minimum net worth of 10mm The minimum size pieces are 1 5mm depending on the security Each customer must be approved by Credit and a legal document signed Rates are based on specific securities Repo is very manual intensive and a ticket has to be booked for each money or bond movement Trades are booked in MTS or ITS depending on the type of security It is best to discuss with the product marketers to determine which product is better suited for your customer Repo Margin Account MRA Long Document Client Agreement Simple Manually intensive a ticket must be Not manually intensive margin account passed for money movements and loan rate is set the a c is valued and the broker adjustments requests funds via an online function formal account statements Formal client account statements are Customer receives confirmation when available listing all activity and month trade begins and ends end balances Rates are determined by product specific Margin rates determined on an overall repo market account and not on a specific security basis Minimum transactions usually
51. n client category Haircut grid will appear on excel spreadsheet These are INTERNAL ONLY and not to be sent to any client under any circumstances 41 LBEX LL 1175525 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC CREDIT RISK MANAGEMENT t Fixed Income Financing Fin Inst Insurance Agencies Govt Entities Inv Advisors Corporates Reverse Repo Haircuts UNDERLYING ASSETS HAIRCUT MATRIX ARatai 57 A Ratai iw 107 im BBB Rated SY 5 BBB Rated Corporate Bonds BBB Rated 307 Bom ow m o od odd BB Rated 5 d BB Rated 3 Rd Defatted amp Non Rated 50 008 50 09 50 00 50 00 150 00 50 00 50 00 508 50 00 Wa NA GCF Securities OCF Securities 0 00 0 00 0 00 000 0 00 0 0055 0 00 0 00 0 00 0 00 0 00 6 00 0 00 0 20 o oo 1 100 10 10 100 100 100 1 Unknown Product Type Other 100 100 11 10 100 1 100 0 00 0 00 111 12 0 25 029 150 090 150 09 07 095 0 00 0 00 117 15 050 050 175 075 100
52. nctions on more than one contract collateral such as releasing confirming printing and faxing Select first contract by clicking on it from Trade Browse Select CNTRL and click on every other contract collateral for which the same function is desired 30 LBEX LL 1175514 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INFINITY QUICK REFERENCE GUIDE Trade Browse displays all of the today s trades for the users default ledgers salesteams These ledgers salesteams will be highlighted in blue on the Trade Browse Filter In the Trade Browse filter see trades for other ledgers applies to Traders Support Systems Enter the ledger in the ADD box on the Trade Browse Filter screen and tab deselect a ledger so as not to see trades in that ledger Select CNTRL and click on the ledger at the same time see trades for other Salesteams applies to Sales and all other departments Systems must update these in the database after approval from the Trading force view Prior Days trades enter one or more fields in the trade browse filter and select Prior Day s from the Activity selection at the bottom of the screen NOTE Do not select Prior Day s trades when in Trade Browse Filter without selecting at least one or more criteria The system will take a long time because of the size of the search To see Substitutions Closeouts done today select Substitutions Closeouts
53. nvestor s bank This requires the investor to instruct its bank to wire the cash to the dealer s bank and receive collateral from the dealer s bank and hold the collateral pursuant to the terms of the Repo In Delivery Repo the investor will probably incur custody and delivery charges from its bank Deliver Tri Party Tri Party is a form of Delivery Repo whereby both counterparties use the same bank and collateral and cash are transferred pursuant to a contractual arrangement between the counterparties and the bank Under Repo a bank stands between the investor and the dealer and physically controls the collateral The bank performs many administrative tasks such as marking the collateral to market on a daily basis ensuring that the collateral in the account is the type of collateral required by the investor and supervising all substitutions By eliminating the need to transfer securities between banks the Tri Party arrangements avoids the risk of a fail to deliver and provides a secure vehicle for the customer to take delivery of the collateral Tri Party Repos are particularly attractive for corporate treasurers lacking an extensive back office In addition to the greater convenience offered by the Tri Party arrangement the dealer assumes all of the custody and administration costs related to the collateral after the securities have been received by the Tri Party agent 11 LBEX LL 1175495 CONFIDE
54. o another counterparty and then agrees to repurchase the securities at a later date As of June 30 2003 figure covers financing involving U S government federal agency and federal agency MBS securities Source Federal Reserve Bank of New York LBEX LL 1175490 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET For example Step 1 Sale of securities by a dealer e g Lehman Brothers to an investor In the first leg of this repo Lehman Brothers would transfer securities to the investor and the investor would wire cash to Lehman Brothers Cash Investor Securities Step 2 Repurchase by Lehman Brothers of the securities from the investor on the maturity date of the Repo In the second leg of the Repo Lehman Brothers would repay the cash investment to the investor and the investor would return the securities to Lehman Brothers In addition the investor would receive an interest rate from Lehman Brothers on its cash investment for the period of time that the Repo is outstanding The interest rate would be negotiated and agreed to by Lehman Brothers and the investor before the cash and securities are transferred in Step 1 Note In the Repo market securities exchanged for cash pursuant to a Repo are called collateral because the securities are in effect collateralizing the investor s cash loan to the Repo counterparty e g the dealer We will follow
55. o sub or trade 392 LBEX LL 1175516 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INFINITY QUICK REFERENCE GUIDE entry should not calculate exposure and therefore will not cause a change to this column Exposure changes due to reprice activity should not be reflected in this column lfatrade is substituted the Current Exposure should be increased decreased based whether buy or sell trade Ifatrade is cancelled where trade had exposure included in the Start of Day Exposure the Current Exposure column should be increased decreased based on whether buy or sell trade Modification of a field that affects the calculation of exposure where there was exposure in the Start of Day number should increase decrease the Current Exposure column End of Day Exposure Current Exposure plus or minus Reprice Payable Receivable Reprice Detail Double clicking on a summary line will drill down to the trades that make up the summary number To reprice a trade simply enter the new price and release If interest only is to be paid simply type P in the Int field Override interest may also be entered in conjunction with a reprice or to be paid on the contract All Trades Screen The All Trades Screen provides all trades on a per customer basis so that a manual closeout can be initiated Byclicking on the trade and then selecting either Approve or Release Closeout a trade can be manually cl
56. osed Tooverride interest or instructions or to undo an Approved closeout the user must double click on the line in the All Trades screen Undo an Approved Closeout the user must double click on the line and then right click on the closed out trade Select Undo Closeout and then Approve NOTE Release closeouts may not be undone Additionally trades that are manually closed out will appear on the Closeout screen mentioned above after the closcout is approved or released Exposure Summary Exposure Summary screen provides a summary by Sales Team of Exposure per account The following columns appear on the summary screen SOD Exposure Start of Day Exposure Total Exposure for all active trades as of the completion of the Start of Day This number includes the exposure on trades that are auto closed out This number should never change Pre Reprice Exposure orginally Exposure after Returns Should update during the day with each type of activity that may affect the exposure reflected in the Start of Day for that customer Activity includes substitution cancellation and modification New trades due to sub or trade entry should not 33 LBEX LL 1175517 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INFINITY QUICK REFERENCE GUIDE calculate exposure and therefore will not cause a change to this column Exposure changes due to reprice activity should not be reflected in this column
57. p 1 Purchase of collateral by Lehman Brothers from the investor In this leg of the Reverse the investor would deliver collateral to Lehman Brothers and Lehman Brothers would deliver cash to the investor Collateral presse Cash Step 2 Repurchase by the investor of the collateral from Lehman Brothers on the maturity date of the Reverse In this leg of the Reverse Lchman Brothers would return the collateral to the investor and the investor would repay the cash investment plus interest to Lehman Brothers Investor SE LL Lehman Interest Collateral rM MM Note One counterparty s Repo is another counterparty s Reverse both are the same transaction viewed from different perspectives However it is common practice to refer to the transaction from the dealer s perspective For example if a dealer wishes to borrow money it enters into a Repo with an investor the investor would wire cash to the dealer and receive collateral This transaction would typically be called a Repo by both counterparties FINANCE MARKET PARTICIPANTS Participants in the Repo market include individual investors banks corporations mutual funds investment advisors central banks and official institutions insurance companies pension funds and of course securities dealers Participants are grouped into three broad categories investors dealers and Central Banks A Investors Repos Repos combine t
58. rea This material is distributed in Japan by Lehman Brothers Japan Inc and in Hong Kong by Lehman Brothers Asia This presentation is furnished on a confidential basis only for the use of the intended recipient and only for discussion purposes Distribution of this information to any person other than the person to whom this information was originally delivered and such person s advisors is unauthorized and any reproduction of these materials in whole or in part or the divulgence of any of its contents without the prior consent of Lehman Brothers is prohibited This information has been prepared solely for informational purposes and is not an offer to buy or sell or solicitation of an offer to buy or sell any security or instrument or to participate in any trading strategy and is not intended to be complete These materials may not be relied upon by you in cvaluating the merits of investing in any securities or instruments described herein or as to the actual return on an investment in such securities or instruments No representation or warranty can be given with respect to the accuracy or completeness of the information or that any future offer of sccuritics or financial instruments will conform to the terms hereof or be made information is not intended to provide and should not be relied upon for accounting legal or tax advice or investment recommendations Transactions of the sort described herein may contain complex characteri
59. rs Settlement Instructions Delivery v Product Wirable Payment Physical Payment Instructions ettlement Contact ABA 021000021 Treasuries amp Federal Agencies Money Markets CP CD BA amp Deposit Paper Inc Notes DTC 636 Medium Term Notes Lehman Brothers Inc Auction Rate Securities DIC 636 MMPs SAVAs Corporate Bonds DTC 074 Municipal Bonds DTC 074 JPMChase Lehman Lehman Commercial Euroclear 90014 Lehman Brothers Inc N A Chase Manhattan Bank 4 New York Plaza Ground Floor A C Lehman Brothers NY NY 10004 Chase Manhattan Bank 4 New York Plaza Ground Floor A C Lehman Brothers NY NY 10004 DTCC NY WINDOW 55 Water Street 21 Sub Level A C Lehman Bothers NY NY 10004 DTCC WINDOW 55 Water Street 2 Sub Level A C Lehman Bothers NY NY 10004 Chase NYC ABA 021000021 A C Lehman Brothers Inc A C 066 206 677 Attn Lehman Chase Manhattan Bank ABA 021000021 Attn Outsourcing Dept 538 Sub Account 323 2 92666 Chase Manhattan Bank ABA 021000021 Attn Outsourcing Dept 538 Sub Account 323 2 92666 Mike Maher 201 499 8397 Maureen Duffy DTC 201 499 8296 Peter Borzi physical 201 499 8348 Maureen Duffy 201 499 8348 Peter Borzi physical 201 499 8348 Chase NYC ABA 021000021 A C Lehman Brothers Inc 066 27 969 Sub A C 731 7084312 Chase NYC ABA 021000021 A C Lehman
60. rs or collateral types can be included Once a Category is created all trades falling into this category will be grouped in one line in the rate board The Cusip Id Label Type and Coupon will show since the line may be comprised of multiple issues The Category generated for this customer will appear Specific trades may be moved out of a category where their rate for a particular day s 1s different This may be done by nght clicking on the trade in Rate Board and selecting Move Category The Category name may be left blank to move a trade out of a Category LBEX LL 1175518 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC MTS VERBS COMMANDS LBEX LL 1175519 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC MTS VERBS COMMANDS Verbs and Commands to Mainframe System JEPCHCS Initial entry into MTS system at application prompt LONT Logon to MTS need userid and password LBC Browse repo contracts need either a ledger or cust LBT Browse trade need wither cusip cust or security id this is for both outright trades as well i as repo s LVT To view details of repo trade need trade id or cntr r id LVTR Also to view details of repo trade use to view previous contract LVTI To view Shelve instructions on a trade need tranni 5 To view net receivable payable for trade s that were paired off by clearance or cash mgmt LVPO E E n
61. rs will include Lehman Brothers Inc and any of its affiliates 2004 Lehman Brothers All rights reserved 18 LBEX LL 1175502 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC ACCOUNT SUITABILITY LBEX LL 1175503 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC ACCOUNT SUITABILITY Suitability Trade Maintenance Exposure Broker and Account Suitability Do you and your client understand the risks associated with leverage A person can lose not only the initial moncy haircut amount required to purchase an asset but is responsible up to thc total amount of the asset being financed The client must understand that leverage multiplies the amount of risk and therefore increases possible loss Account must understand that Lehman must protect itself and therefore if margin calls are not met timely Lehman will have to liquidate all the financed positions If a deficit exists in the client s account after liquidation the client will be expected to supply the additional funds immediately margin will be covered in the trade flow section in more detail Repo vs Margin Account There are two different financing products Preferred Margin Lending is exclusively for fixed income securities This account operates as the normal margin accounts but requires a 500 000 minimum balance for the Preferred Rate The rate floats off the daily average 1 month Libor a spread and is billed on a
62. stics and risks Transactions incorporating derivatives may create additional risks and exposures You must make an independent review of the economic benefits and risks of a proposed transaction in making your investment decision and should consult your own counsel accountant and other advisors as to the legal tax business regulatory financial accounting and related aspects of a transaction in relation to your particular circum stances The products mentioned in this document may not be eligible for sale in some states or countries and they may not be suitable for all types of investors The value and the income produced by products may fluctuate so that you may get back less than was invested Value and income may also be adversely affected by exchange rates interest rates or other factors Past performance is not necessarily indicative of future results When an investment is denominated in a foreign currency fluctuations in exchange rates may have an adverse effect on the value price of or income derived from the investment If a product is income producing part of the capital invested may be used to pay that income Lehman Brothers enters into transactions on an arms length basis and does not act as an adviser or fiduciary except where a law rule or written agreement expressly provides otherwise These materials are subject to change completion or amendment from time to time without notice and Lehman Brothers is under no obligation
63. tely collateralized Converselv if the value of the collateral rises above an agreed upon threshold the dealer usually has the right to request the investor to return some of the collateral order to ensure that the cash investment 15 appropriately collateralized 14 LBEX LL 1175498 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET L Counterparty Risk As with other capital market investments Repos may expose the investor to counterparty credit risk However unlike unsecured investments such as commercial paper and certificates of deposit the collateral provided in a Repo gives the investor an extra layer of protection against counterparty risk Repo Market participants address counterparty risk as follows Deal only with the highest quality counterparties for any repo transaction Have written agreement in place specifically detailing who the counterparty is and the terms under which you will operate Mark to market your repo and collateral positions daily This will ensure that you are fully collateralized at all times VI APPENDIX M Legal and Credit Consideration Execute a standard industry wide agreement for Repurchase Agreements thorough credit review of your counterparty should be undertaken prior to entering into any repo security lending transactions Be comfortable with the credit of your counterparty since they are your first line of
64. terested in There are many different reports and functions in CAMEO that can be run by Watchlist including Exposure Query Transaction Browser and the FI Financing Trade Exposure Report The instructions included below demonstrate how a view only user can set up their own personal watchlist 1 Goto TOOLS WATCHLIST 2 When the Watchlist Maintenance box appears select a Watchlist List Type of Personal 3 FIND this will bring up any existing personal watchlists you have See diagram 1 58 LBEX LL 1175542 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC Diagram 1 HOFFMAN DOLLAR ROLL ACCOUNTS 4 To create a new one click on the NEW button The Watchlist Maintenance Detail box should then appear see diagram 2 below 5 In NAME type a name that is relevant to your watchlist For TYPE select Personal 6 On bottom of Watchlist Maintenance Detail screen where it says Select a counterparty enter an account number account name or legal counterparty name 7 Click on the search button to the right This is the button with 3 dots Entering in an account number is recommended when adding accounts to you watchlist If you choose to enter in an account name or counterparty name you do not have to enter in the entire name CAMEO will search for the exact name from the Global Accounts database e g If you want to select Nomura Securities Intl Inc you can enter
65. the U S market Repos can be executed on an open basis whereby the Repo is rolled over from one day to the next until either the investor or the dealer decides to terminate the transaction Additionally Repos can be executed for a specific term such as one or three months In general Repos can be negotiated for any term up to one year in order to reflect the investor s cash requirements and expectations of interest rate changes Presently the largest concentration of Repos mature within three months Rights of Substitution Typically dealers prefer to have the right to change substitute the collateral pledged to the investor while the repo is outstanding This gives the dealer the flexibility to use the collateral for alternative uses 1 Margin Please refer to the section Risks in the Financing Market for a detailed discussion of margin J Supply and Demand There are several factors which influence the supply and demand in the finance market These include Matched book Transactions As the volume of repo business continues to increase matched book traders will continue to create liquidity in the repo market and seek to both borrow and lend securities Dealer Short Positions Dealers will often sell securities which they do not own This creates a need to borrow the specific security in order to make the delivery and receive the cash proceeds Operational Fails Often a security is purchased
66. this convention from here on The term repo is derived from the fact that this short term money market instrument is legally the sale of a security at one price and the simultaneous agreement by the seller to repurchase that security at greater price on a future date The difference between the two prices is the interest earned on the original investment In practice a repo is essentially a loan of cash for a specified period of time against which interest is paid and collateral is pledged The collateral is often the dealer s inventory of securities either owned outright or reverse repos in matched books The Repo market works both ways From time to time dealers need to borrow securities instead of cash This also enables investors to finance their securities positions Similar to a Repo a reverse repurchase agreement Reverse Repo is an agreement to enter into two simultaneous transactions whereby one counterparty sells collateral to another counterparty and then agrees to repurchase the collateral at a later date However in a Reverse Repo Lehman Brothers would buy collateral from the investor instead of se collateral and Lehman Brothers would provide cash to the investor instead of collateral Finally Lehman Brothers would receive interest from the investor instead of pay interest LBEX LL 1175491 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC INTRODUCTION TO THE FINANCING MARKET For example Ste
67. this report is intended for internal use only If your client or sales team would like to receive a daily weekly or monthly MTM statement for repo or other businesses automated delivery from CAMEO can be arranged by the Margin Dept Torun the report click on Reports button on the top of the CAMEO screen Double click on the Fixed Income Financing Report folder Single click on Trade Exposure Report Fillin the appropriate selection criteria to the right source system legal entity account number See screen shot a below Click on search button button with 3 dots to the right of account and select desired account Click Run Report will take a few seconds to run See screen shot b below FIF Trade Exposure Report selection criteria 64 LBEX LL 1175548 CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS INC Bonds Borrow i Pledge Repons Cross Netting Repons 23 Reports Collateral Reconciliation Interest Accrual Liquidation Margin Call Tracking Orphan Collateral Outstanding Repos Collateral Receive Pledge Redemption Management OLD Collateral Receive Pledge posure Reports Income Financing Reports Fl Financing Exposure Economic Exposure Exposure By Product Type Marke Fluctuation Poy DownNew Trade Trades Specific Margin Glem Exposure Summary Exposure by Currency

LBEX-LL 1175483 - Stanford University

Contents

Download Pdf Manuals

Related Search

Related Contents