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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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Mar-11

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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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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

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.. · ·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;;:-

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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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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

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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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