Using Veritas to Construct the "Per…

29-04-2017 Hits:85845 BoomBustBlog Reggie Middleton

Using Veritas to Construct the "Perfect" Digital Investment Portfolio" & How to Value "Hard to Value" tokens, Pt 1

The golden grail of investing is to find that investable asset that provides the greatest reward with the least risk. Alas, despite how commonsensical that precept seems to be, many...

Read more

The Veritas 2017 Token Offering Summary …

15-04-2017 Hits:80058 BoomBustBlog Reggie Middleton

The Veritas 2017 Token Offering Summary Available For Download and Sharing

The Veritas Offering Summary is now available for download, which packs all the information about Veritas in a single page. A step by step guide to purchasing Veritas can be downloaded here.

Read more

What Happens When the Fund Fee Fight Hit…

10-04-2017 Hits:79919 BoomBustBlog Reggie Middleton

What Happens When the Fund Fee Fight Hits the Blockchain

A hedge fund recently made news by securitizing its LP units as Ethereum-based tokens and selling them as tradeable (thereby liquid) assets. This brings technology to the VC industry that...

Read more

Veritaseum: The ICO That's Ushering in t…

07-04-2017 Hits:84400 BoomBustBlog Reggie Middleton

Veritaseum: The ICO That's Ushering in the Era of P2P Capital Markets

Veritaseum is in the process of building peer-to-peer capital markets that enable financial and value market participants to deal directly with each other on a counterparty risk-free basis in lieu...

Read more

This Is Ground Zero for the 2017 Veritas…

03-04-2017 Hits:80938 BoomBustBlog Reggie Middleton

This Is Ground Zero for the 2017 Veritas Offering. Are You Ready to Get Your Key to the P2P Capital Markets?

This is the link to the Veritas Crowdsale landing page. Here is where you will be able to buy the Veritas ICO when it is launched in mid-April. Below, please...

Read more

What is the Value Proposition For Verita…

01-04-2017 Hits:83179 BoomBustBlog Reggie Middleton

What is the Value Proposition For Veritas, Veritaseum's Software Token?

 A YouTube commenter asked a very good question that we will like to take some time to answer. The question was, verbatim: I've watched your video and gone through the slides. The exchange...

Read more

This Real Estate Bubble, Like Some Relat…

28-03-2017 Hits:54191 BoomBustBlog Reggie Middleton

This Real Estate Bubble, Like Some Relationships, Is Complicated...

CNBC reports US home prices rise 5.9 percent to 31-month high in January according to S&P CoreLogic Case-Shiller. This puts the 20 city index close to an all time high, including...

Read more

Bloomberg Chimes In With My Warnings As …

28-03-2017 Hits:82321 BoomBustBlog Reggie Middleton

Bloomberg Chimes In With My Warnings As Landlords Offer First Time Ever Concessions to Retail Renters

Over the last quarter I've been warning about the significant weakness in retailers and the retail real estate that most occupy (links supplied below). Now, Bloomberg reports: Manhattan Landlords Are Offering...

Read more

Our Apple Analysis This Week - This Comp…

27-03-2017 Hits:82164 BoomBustBlog Reggie Middleton

Our Apple Analysis This Week - This Company Is Not What Most Think It IS

We will releasing our Apple forensic analysis and valuation this week for subscribers (click here to subscribe - lowest tier is the same as a Netflix subscription). As can be...

Read more

The Country's First Newly Elected Lame D…

27-03-2017 Hits:82035 BoomBustBlog Reggie Middleton

The Country's First Newly Elected Lame Duck President Will Cause Massive Reversal Of Speculative Gains

Note: Subscribers should reference  the paywall material here for stocks that should give a good risk/reward scenario for bearish trades. The Trump administration's legislative outlook is effectively a political desert, with...

Read more

Sears Finally Throws In The Towel Exactl…

22-03-2017 Hits:88079 BoomBustBlog Reggie Middleton

Sears Finally Throws In The Towel Exactly When I Predicted "has ‘substantial doubt’ about its future"

My prediction of Sears collapsing once interest rates started ticking upwards was absolutely on point.

Read more

The Transformation of Television in Amer…

21-03-2017 Hits:85941 BoomBustBlog Reggie Middleton

The Transformation of Television in America and Worldwide

TV has changed more in the past 10 years than it has since it's inception nearly 100 years ago This change is profound, and the primary benefactors look and act...

Read more

As a continuation of the recent posts on credit default swap risks, I am releasing my proprietary study of Lehman's counterparties. Please read "Interesting Lehman email" and "Do you who's going to screw who next week?" to get a clear background on the chain of posts (and the ample comments beneath the posts) that generated this one. It would appear that I am on the right track, with extreme resources being dedicated by already bankrupt companies to unwind trades that were supposedly "netted out" already (Lehman Plans to Hire 200, Unwind Derivatives Trades: WSJ Link), monolines seeking government bailouts (Ambac, Bond Insurers Will Present Plan to Tap Treasury Funds, Callen Says), and hedge funds raising substantial amounts of cash in a hostile market:

I was very, very specific in my assertions that the hedge fund bubble has burst, and I was even at risk of sticking my toe in the bubble since I had my own vehicle primed and ready to go. The fund formation process combined with my proprietary trading clued me in on the maelstrom well before the media started running the stories. I urge all who have done so, to please read " In the Great Global Macro Experiment, the next bubble to burst is...". It is quite tell tale and also reveals a lot about your author. Now, back to the topic at hand.

This CDS exposure report was a quick and dirty overnight project and thus not perfect, for I didn't want to distract my teams from their other projects. I will offer most of it here for free, but the actionable items are for paying subscribers (all levels) only. I stripped out the companies that I felt were actionable in the near term to present it to the general blog. This the process that was used to develop a list of companies with exposure towards Lehman's debt and equity.

We extracted data for individual companies (approx 100). Some of the companies (in addition to the stated exposure herein) have also disclosed expected losses or write-down on the corresponding Lehman exposure.  In cases where this information was not available we have computed expected loss based on the recovery rate of 15 cents (US) on a dollar.

We then used the following process to come up with a shortlist of 9 companies which may find it difficult to sustain the pressure from expected losses as a result of Lehman's failure and inability to repay.

Stage 1:

·        After computing expected loss on Lehman exposure we have computed expected loss-to-shareholders' equity to determine the relative magnitude of loss each company could undertake..

 Stage 2:

·        In addition to expected loss-to-shareholders' equity we have also looked into factors like absolute share price, relative decline in share price over various periods and price-to-book value to indentify potential companies that are prone to trouble.

·        Based on the factors above we have indentified a list of 9 companies (for subscribers) which meet each of the following criteria

1.      Expected loss-to-share holder's equity  =>1.0%

2.      Absolute share price >$15

3.      Share price decline is less than 30% in last 3 months and less than 60% decline in the last 12 months

4.      Price to book value more than 1.0x

Subscribers may download the actual spreadsheet here: icon Lehman Brothers CDS exposure_impact (153.5 kB 2008-10-16 19:12:02), all others can see the sanitized list below in HTML. (Update 1 - There is a typo in this dowload. We inadvertently included price for AMG instead of AGM. Federal Agricultural Mortgage (AGM) should go off the list since its share price is less than $15, a criteria we used to shortlist the companies. However, the data on exposure to Lehman ($60 bn) is correct. This makes their exposure as % of shareholders equity to 25% (on a base of $230 bn of equity), which is significant.

It is obvious that there are still too many media types who don't read Reggie Middleton. From teh UK Telegrah: Fears of Lehman's CDS derivatives haunt markets: It is a full week after bankers gathered in New York to start sorting out the derivatives mess left by the bankruptcy of Lehman Brothers. We still do not know who is on the hook for some $360bn of default insurance, or how much they will have to pay.

Company name

Lehman exposure (US$ mn)

Expected loss

Price (Local currency)

 Price US$

Exposure / Equity

Expected loss/ equity

 

GLG Partners Inc

$95

$81

3.8

$3.79

82.60%

70.20%

 

Ambac Financial Group Inc

$1,437

$1,221

1.8

$1.80

63.00%

53.60%

 

Friedman Billings Ramsey Group

$250

$213

0.6

$0.57

39.30%

33.40%

 

BlueBay Asset Management PLC

$50

$43

174.5

$3.17

35.20%

30.00%

 

Raiffeisen Bank Aval

$185

$158

0.3

$0.05

20.00%

17.00%

 

Swedbank AB

$1,378

$1,171

71.3

$10.07

14.60%

12.40%

 

Eaton Vance Corp

$18

$15

21.4

$21.37

7.60%

6.50%

 

Freddie Mac

$1,600

$1,360

1.1

$1.14

5.90%

5.10%

 

Petroleum Development Corp

$22

$18

21.9

$21.88

5.50%

4.60%

 

Straumur-Burdaras Investment Bank

$74

$63

7.1

 

4.70%

4.00%

 

American Equity Investment Life Holding

$28

$24

4.8

$4.83

4.60%

3.90%

 

Metropolitan Bank & Trust

$70

$14

26

$0.58

4.20%

0.80%

 

American Safety Insurance Holdings

$8

$8

10.7

$10.73

3.90%

3.90%

 

Shinsei Bank Ltd

$375

$246

206

$2.28

3.50%

2.30%

 

Breitburn Energy Partners LP

$50

$43

13.1

$13.13

3.50%

3.00%

 

Aetna Inc

$295

$251

30.6

$30.61

2.90%

2.50%

 

CNB Financial Corp

$2

$1

10.6

$10.62

2.90%

1.90%

 

PartnerRE Ltd

$110

$94

51.8

$51.82

2.50%

2.20%

 

Mizuho Trust & Banking Co

$108

$92

115

$1.17

2.30%

1.90%

 

StanCorp Financial Group Inc

$29

$25

36.2

$36.20

2.00%

1.70%

 

Hartford Financial Services Group Inc

$332

$282

32.8

$32.75

1.70%

1.50%

 

Bank of New York Mellon Corp

$477

$425

29.3

$29.25

1.60%

1.40%

 

First Mercury Financial Corp

$3

$3

10

$10.00

1.40%

1.20%

 

United Bankshares Inc

$10

$10

29.5

$29.49

1.30%

1.30%

 

Bank of East Asia Ltd

$54

$46

20.8

$2.85

1.30%

1.10%

 

Chuo Mitsui Trust Holdings Inc

$148

$49

397

$4.47

1.30%

0.40%

 

Montpelier Re Holdings Ltd

$19

$16

12.7

$12.66

1.10%

0.90%

 

Hanmi Financial Corp

$4

$4

4

$3.97

1.10%

1.10%

 

United Fire & Casualty Co

$8

$4

22.5

$22.48

1.00%

0.50%

 

Ace Ltd

$167

$150

44.4

$44.43

1.00%

0.90%

 

Aegon NV

$195

$166

3.9

$5.39

0.90%

0.80%

 

Prudential Financial Inc

$215

$183

46

$46.03

0.90%

0.80%

 

New York Community Bancorp Inc

$37

$31

14.5

$14.53

0.90%

0.80%

 

Grupo Financiero Banorte

$24

$20

22.9

$1.82

0.90%

0.70%

 

Harleysville Group

$6

$6

28.8

$28.78

0.80%

0.80%

 

Chiba Bank

$49

$42

450

$4.97

0.80%

0.70%

 

Great-West Lifeco Inc

$87

$74

27.8

$23.57

0.80%

0.70%

 

Australia & New Zealand Banking Group Ltd

$120

$102

17.3

$12.44

0.80%

0.60%

 

Phoenix Cos

$16

$14

6

$6.02

0.70%

0.60%

 

China Citic Bank Corp

$76

$65

2.7

$0.39

0.70%

0.60%

 

Allstate Corp

$139

$118

29.5

$29.51

0.60%

0.50%

 

Wachovia Corp

$494

$420

6.1

$6.06

0.60%

0.50%

 

Commonwealth Bank of Australia

$104

$69

42.4

$29.90

0.60%

0.40%

 

BOC Hong Kong

$69

$59

11.7

$1.60

0.50%

0.50%

 

Scor SE

$26

$22

13

$17.44

0.50%

0.50%

 

Wells Fargo & Co

$249

$212

33.4

$33.35

0.50%

0.40%

 

Unitrin Inc

$12

$10

18.1

$18.10

0.50%

0.40%

 

ICICI Bank Ltd

$42

$36

416.2

$8.53

0.40%

0.40%

 

Allianz SE

$294

$250

73.1

$102.90

0.40%

0.40%

 

Hua Nan Financial Holding Co

$11

$39

16.9

$0.54

0.40%

1.30%

 

BNP Paribas S.A

$294

$250

55.9

$80.10

0.30%

0.30%

 

China Construction Bank Corp

$191

$163

3.8

$0.52

0.30%

0.30%

 
 

Aozora Bank Ltd

$25

$21

105

$1.12

0.30%

0.30%

 

BNP Paribas

$250

$213

55.9

$80.10

0.30%

0.30%

 

Intesa Sanpaolo SpA

$191

$163

3

$4.43

0.20%

0.20%

 

Integrys Energy Group Inc

$8

$7

42.4

$42.39

0.20%

0.20%

 

Royal Bancshares of Pennsylvania Inc

$6

$10

4.9

$22.29

0.20%

0.30%

 

Cigna Corp

$10

$9

26.5

$26.50

0.20%

0.20%

 

Industrial & Commercial Bank of China Ltd

$151

$128

4

$0.60

0.20%

0.20%

 

PSB Holdings Inc

$2

$5

7.1

$22.29

0.20%

0.40%

 

Swiss Reinsurance Co

$44

$37

43.7

$38.63

0.20%

0.10%

 

Paris Re Holdings

$5

$4

11.7

$15.90

0.20%

0.10%

 

Banca Popolare di Milano S.C.A.R.L.

$7

$6

4.5

$6.23

0.10%

0.10%

 

Societe Generale SA

$58

$294

45

$65.95

0.10%

0.60%

 

Bank of China Ltd

$76

$64

2.6

$0.36

0.10%

0.10%

 

UniCredit SpA

$88

$75

2.4

$3.36

0.10%

0.10%

 

Industrial Bank Co

$34

$29

3.8

$0.54

0.00%

0.00%

 

State Bank of India

$5

$3

1540.6

$30.91

0.00%

0.00%

 

Credit Agricole S.A.

$15

$184

10.4

$14.89

0.00%

0.30%

 

Ameren Corp

$1

$1

30

$30.00

0.00%

0.00%

 

Swissquote Holding AG

 

$8

30.1

$27.23

0.00%

6.70%

 

Banco de Oro Unibank Inc

 

$79

32

$0.71

0.00%

5.80%

 

Rizal Commercial Banking Corp

 

$20

12.3

$0.27

0.00%

3.10%

 

Erie Indemnity Co

 

$19

34.7

$34.65

0.00%

1.80%

 

Tower Group Inc

 

$2

19.7

$19.70

0.00%

0.70%

 

Wichford PLC

 

$3

58

$1.00

0.00%

0.70%

 

FBL Financial Group

 

$5

16

$16.00

0.00%

0.60%

 

Bangkok Bank PCL

   

74

$2.29

0.00%

0.00%

 

MetLife Inc

 

 

34.2

$34.17

0.00%

0.00%

 

Maui Land & Pineapple

   

17.8

$17.80

0.00%

0.00%

 

Morningstar Inc

 

 

47.3

$47.31

0.00%

0.00%

 

Primus Guaranty Ltd.

$136

$116

0.8

$0.82

-145.50%

-123.70%

 

HCC Insurance Holdings Inc

None

$32

19

$19.03

 

1.30%

 

Citigroup

Minimal

 

16.2

$16.23

 

0.00%

 

Calamos Asset Management

Minimal

 

10

$10.00

 

0.00%

 

State Street Corp

no unsecured ex

 

46.8

$46.83

 

0.00%

 

Mega Financial Holding Co

$29

$59

10.9

$0.34

 

 

 

Shin Kong Financial Holding

$77

$5

7.7

$0.24

     

Chinatrust Financial Holding Co

$548

$465

12.5

$0.40

 

 

 

AXA SA

$221

$188

23.5

$23.48

     

Bank Hapoalim B.M.

$124

$105

2.3

$2.25

 

 

 

Dexia SA

$368

$258

4.8

$6.83

     

Friends Provident

$31

$27

13.9

$13.90

 

 

 

ING NV

 

$74

15.2

$15.18

     

Kingsway Financial Services Inc

$17

$14

5.8

$5.84

 

 

 

Matrix European Real Estate Investment Trust

$102

$86

158

$2.93

     

Manulife Financial Corp

$395

$336

24.2

$24.21

 

 

 

Mitsubishi UFJ Financial Group Inc

$312

$265

7.2

$7.20

     

Mitsubishi UFJ Financial Group

$235

$246

7.2

$7.20

 

 

 

Nicor Inc

$3

$2

28.2

$40.45

     

Reinsurance Group of America Inc

$32

$27

49.8

$49.75

 

 

 

Sun Life Financial Inc

$299

$254

26.3

$26.28

     

Sumitomo Mitsui Financial Group Inc

$980

$99

5.5

$5.48

 

 

 

UBS AG

 

$300

16.7

$16.66

     

Swiss Life Holding AG

$18

$15

 

 

 

 

 

PMA Capital Corp

$9

$8

         

Munich Re AG

$258

$219

 

 

 

 

 

Banca Popolare dell'Emilia Romagna

$17

$15

         

Commerzbank AG

Minimal

 

 

 

 

 

 

Lincoln National Corp

$121

$103

         

Danske Bank A/S

 

$100

 

 

 

 

 

 

Additional notes and comments:

Company name

Expected loss/ equity

Other information

GLG Partners Inc

70.20%

Lehman holds 13.7% stake in firm. GLG said its Lehman exposure was less than 1% of assets managed.

Ambac Financial Group Inc

53.60%

Direct exposure to 6 interest-rate currency swaps with Lehman as counterparty: "insignificant" net payable balance to Lehman; up to $137 million in reinsured surety at several brokerages; about $1.3 billion in outstanding GICs backing credit-linked notes with Lehman as counterparty

Friedman Billings Ramsey Group

33.40%

Fannie mortgage-backed security sold to Lehman under repurchase agreement

BlueBay Asset Management PLC

30.00%

Counterparty to $50 million in trades

Raiffeisen Bank Aval

17.00%

 

Swedbank AB

12.40%

Swedbank decided it won't make any provision after conducting an investigation. Swedbank is Lehman's third-largest creditor, according to a Lehman filing.

Eaton Vance Corp

6.50%

$15.9 million debt and stock holdings through funds at  Sept. 12; $2.2 million derivatives deals with non-broker-dealer lehman  affiliate

Freddie Mac

5.10%

$400 million servicing-related exposure on single-family loans; $1.2 billion unsecured Lehman payment due Sept. 15 wasn't made.  Freddie Mac is still evaluating the extent of exposure to Lehman and said actual losses could exceed current estimates.

Petroleum Development Corp

4.60%

 

Straumur-Burdaras Investment Bank

4.00%

Lehman Brothers International Europe is a prime broker and principal. Straumur  sold credit protection referencing Lehman Brothers Holding with a EUR29  million notional value.

American Equity Investment Life Holding

3.90%

1.3 million preferred stock at amortized cost; $27  million unsecured counterparty exposure. American Equity will book an other-than-temporary charge on its   Lehman holdings.

Metropolitan Bank & Trust

0.80%

Extended PHP2.4 billion loan to Lehman's Philippine Investment One Inc. and Philippine Investment Two Inc; $20.4 million in bonds. Metrobank asked a local court to place the units under corporate rehabilitation to stop all claims against them. Metrobank said the loan is current. Metrobank set aside a $14 million provision.

American Safety Insurance Holdings

3.90%

$7.7 million book value in Lehman, Fannie and Freddie investments at Sept. 30. American Safety will record a third-quarter pretax charge for the full book value and will book a net loss because of those and other securities-related impairments.

Shinsei Bank Ltd

2.30%

Shinsei also cut its full-year forecast to Y12 billion from Y62 billion.

Breitburn Energy Partners LP

3.00%

Counterparty to $50 million interest rate swap

Aetna Inc

2.50%

132 n in debt securities and $163 mn reinsurance recoverable from Lehman affiliate at Aug. 31. Aetna is pursuing its claims regarding the recoverable through liquidation proceedings. Aetna took possession of the assets supporting the recoverable on Sept. 19.

CNB Financial Corp

1.90%

Subordinated corporate bond. Will have $1.3 million other-than-temporary noncash impairment charge.

PartnerRE Ltd

2.20%

 

Mizuho Trust & Banking Co

1.90%

 

StanCorp Financial Group Inc

1.70%

Debt securities

Hartford Financial Services Group Inc

1.50%

$91 million senior debt, $127 million subordinated debt, $34 million preferred stock, about $50 million unsecured counterparty exposure in connection with derivatives deals, $30 million senior debt through credit default swaps

Bank of New York Mellon Corp

1.40%

BNY Mellon expects to book a $425 mn third-quarter charge. Maximum $235 mn in funds; maximum $242 mn in other capital support arrangements

First Mercury Financial Corp

1.20%

$3.18 million par value securities from Lehman, AIG and Freddie (book value $2.95 million at June 30)

United Bankshares Inc

1.30%

Senior corporate bond. Expects to record a noncash other-than-temporary impairment charge in the third quarter.

Bank of East Asia Ltd

1.10%

 

Chuo Mitsui Trust Holdings Inc

0.40%

 

Montpelier Re Holdings Ltd

0.90%

Senior debt

Hanmi Financial Corp

1.10%

Unsecured senior debt with $2.8 million carrying value at  June 30; derivative contract with $1.2 million carrying value at June 30

United Fire & Casualty Co

0.50%

 

Ace Ltd

0.90%

$167 million aggregate par value debt in Lehman and related companies, including $75 million senior debt and $92 million    subordinated debt. More than 90% of the securities are classified as "available for sale" and are marked to market.

Aegon NV

0.80%

 

Prudential Financial Inc

0.80%

Securities worth $117 million amortized (fair value Sept.16 about one third that price); debt wit fair value $8 million (down about  $16 million since June 30); $90 million in unsecured counterparty  derivatives exposure

New York Community Bancorp Inc

0.80%

 

Grupo Financiero Banorte

0.70%

$22 million senior notes, counterparty to $2 million in  interest rate swaps. The exposure represents 0.07% of Banorte's total assets and 0.6% of its capital

Harleysville Group

0.80%

Unsecured notes

Chiba Bank

0.70%

 

Great-West Lifeco Inc

0.70%

C$101 million par value of fixed income securities

Australia & New Zealand Banking Group Ltd

0.60%

 

Phoenix Cos

0.60%

 

China Citic Bank Corp

0.60%

 

Allstate Corp

0.50%

$65 million estimated fair value fixed income securities    at Sept. 19 (down from $185 million at June 30); $74 million net payables    in counterparty exposure under master netting pacts; Lehman contributes $80 million under $1 billion credit pact

Wachovia Corp

0.50%

Evergreen Investments' Evergreen Institutional Money Market Fund had $309 million (1.9% of assets), Money Market Fund had $110 million (1.66% of assets), Prime Cash Management had $75 million (0.97% of assets) invested in Lehman credit at Sept. 12

Commonwealth Bank of Australia

0.40%

Unlikely to recover its exposure, which could hurt earnings by about A$100 mn

BOC Hong Kong

0.50%

 

Scor SE

0.50%

Senior notes. Scor expects "significant recoveries" on the notes.

Wells Fargo & Co

0.40%

$199 million, including $109 million in notes and $90 million in preferred stock; $50 million in unsecured counterparty exposure;  no direct lending exposure

Unitrin Inc

0.40%

Combined Lehman, AIG securities less than $12 million at June 30, 2008

ICICI Bank Ltd

0.40%

 

Allianz SE

0.40%

 

Hua Nan Financial Holding Co

1.30%

NT$370 million in bonds and bills. Hua Nan Commercial Bank booked a NT$152 million loss for its Lehman investments.

BNP Paribas S.A

0.30%

 

China Construction Bank Corp

0.30%

Lehman paper accounts for 0.019% of Construction Bank's assets at June 30, 2008. Exposure - $141.4 million senior

bonds and $50 million in subordinated bonds

Aozora Bank Ltd

0.30%

 

BNP Paribas

0.30%

According to Lehman's bankruptcy filing, BNP is owed $250 million  and is one of Lehman's largest creditors.

Intesa Sanpaolo SpA

0.20%

 

Integrys Energy Group Inc

0.20%

 

Royal Bancshares of Pennsylvania Inc

0.30%

Royal Bancshares will record a $9.6 million charge related to its  investments in Lehman, WaMu and two collateralized mortgage obligations  $3.9 million of which relates to Lehman investments.

Cigna Corp

0.20%

Debt with book value $10 million

Industrial & Commercial Bank of China Ltd

0.20%

Lehman holdings make up 0.01% of its assets at June 30, 2008

PSB Holdings Inc

0.40%

$5.4 million pretax impairment from its Lehman and Freddie holdings, including $1.8 million from its Lehman debt.

Swiss Reinsurance Co

0.10%

 

Paris Re Holdings

0.10%

Paris Re's Lehman exposure represents 0.09% of its total investment portfolio.

Banca Popolare di Milano S.C.A.R.L.

0.10%

 

Societe Generale SA

0.60%

EUR76 million in senior debt: granted EUR3 million in loans to Lehman. SG estimates the replacement risk for the activities in which Lehman group companies were counterparties is around EUR400 in current market conditions.

Bank of China Ltd

0.10%

Bonds

UniCredit SpA

0.10%

 

Industrial Bank Co

0.00%

Industrial Bank hasn't made any provision yet for the exposure

State Bank of India

0.00%

Expects to recover 60%-70% of its total exposure. The company has made a full provision on the securities.

Credit Agricole S.A.

0.30%

Credit Agricole expects the costs to replace Lehman collateralized  market transactions to be less than EUR250 million.

Ameren Corp

0.00%

 

Swissquote Holding AG

6.70%

 

Banco de Oro Unibank Inc

5.80%

 

Rizal Commercial Banking Corp

3.10%

 

Erie Indemnity Co

1.80%

Preferred stock, bonds. Erie Indemnity expects to book a third-quarter $2.4 million charge    from its Lehman exposure, Erie Insurance Exchange anticipates a $12.2 million charge from its Lehman securities and Erie Family Life Insurance sees booking a $4.8 million charge on its Lehman holdings.

Tower Group Inc

0.70%

Bonds. Expects to book a $2.1 mn other-than-temporary non-cash charge in 3Q

Wichford PLC

0.70%

Lehman lent GBP 344 mn.  The company said it won't have to repay more than GBP300 mn in loans. The company cut its dividend to between 7 and 8 pence from 10.2 pence.

FBL Financial Group

0.60%

senior subordinated bonds with $6 million amortized cost; fixed-for-floating interest rate swap with Lehman Brothers Specialty Financing, with estimated mark-to-market value $2.1 million payable to Lehman, currently being terminated

Bangkok Bank PCL

0.00%

short-term bonds

MetLife Inc

0.00%

Owed $878.4 mn

Maui Land & Pineapple

0.00%

Lehman failed to fund $35.6 million in a syndication construction loan to Kapalua Bay Holdings LLC. Maui Land has a 51% ownership stake in Kapalua Bay. Affiliates of Marriott International Inc. (MAR) and Exclusive Resorts LLC and other holding members agreed to advance funds to the venture.

Morningstar Inc

0.00%

Revenues from Lehman, Merrill and AIG was 3% of company-wide revenue in 2007.

Primus Guaranty Ltd.

-123.70%

$80 million in credit default swaps; also has CDS exposure  in bespoke tranche portfolios; has sold CDS protection to Lehman Brothers Special Financing Inc. with mark-to-market value $56 million at Sept. 12

HCC Insurance Holdings Inc

1.30%

HCC sold all of its positions in the preferred stock of Fannie, Freddie, and Wachovia and in the securities of AIG and Lehman during the third quarter. The company will realize a $19.4 million pretax loss as a result of the sales and a net realized investment loss of $12.1 million before taxes from all securities sales

Citigroup

0.00%

 

Calamos Asset Management

0.00%

 

State Street Corp

0.00%

Owed $1 billion

Mega Financial Holding Co

 

Mega International recognized a NT$1.9 billion asset impairment loss on investments in Lehman's commercial papers. Redemptions have cut the  fund's size to NT$5 billion from more than NT$35 billion

Shin Kong Financial Holding

 

Booked a NT$517 million loss for its Lehman investment.

Chinatrust Financial Holding Co

 

 

AXA SA

   

Bank Hapoalim B.M.

 

 

Dexia SA

 

Senior bonds

Friends Provident

 

 

ING NV

   

Kingsway Financial Services Inc

 

fixed income

Matrix European Real Estate Investment Trust

   

Manulife Financial Corp

 

 

Mitsubishi UFJ Financial Group Inc

   

Mitsubishi UFJ Financial Group

 

 

Nicor Inc

   

Reinsurance Group of America Inc

 

 

Sun Life Financial Inc

   

Sumitomo Mitsui Financial Group Inc

 

SMFG expects Y10 billion in losses from credits to Lehman

UBS AG

   

Swiss Life Holding AG

 

Bonds

PMA Capital Corp

 

senior debt securities

Munich Re AG

 

 

Banca Popolare dell'Emilia Romagna

   

Commerzbank AG

 

Dismissed a television report that the company had  EUR300 million in Lehman exposure but didn't provide specific figures for its actual exposure.

Lincoln National Corp

   

Danske Bank A/S

 

Secured deals including interest rate swaps, foreign  currency and bond deals, extended facilities to Lehman units including $800  million repo transaction with 50% nominal excess cover; Lehman guaranteed $300 million repo transaction secured by prime mortgages with 30% excess  cover