Loan Portfolio Group LPG Weekly Review Private and Confidential July 27, 2007 Loan Portfolio - Gross & Net Exposure $40.2 Greg Smith $40.0 (212) 526-5347
[email protected] $36.0 $8.5 $31.7 A. Tucker Hackett, CFA $32.0 (212) 526-3164 $28.0
[email protected] $9.3 $24.0 Frank Turner $20.6 $20.9 (212) 526-1463 $20.0 $4.5
[email protected] $6.9 (billions) $16.0 $31.7 Daniel Haykin $12.0 $12.0 (212) 526-6050 $8.8 $22.4
[email protected] $7.4 $8.0 $16.1 $3.1 $14.0 Andrew Milanez $4.0 $5.7 (212) 526-3038 $4.7
[email protected] $0.0 Gross Net Gross Net Gross Net Binita Parmar (212) 526-7643 FYE 2005 FYE 2006 7/24/07
[email protected] High Grade High Yield * *Includes European deals that have closed but are still in syndication. Loan Portfolio Summary FYE 2005 FYE 2006 7/24/07 (mm) HG HY TOTAL HG HY TOTAL HG HY TOTAL Gross Exposure $16,144 $4,483 $20,627 $22,387 $9,313 $31,700 $31,698 $8,507 $40,205 Structured Participations (3,310) (250) (3,560) (4,172) (131) (4,303) (4,439) (137) (4,576) CDS/Bond Shorts (7,122) (1,110) (8,232) (13,554) (1,814) (15,368) (13,262) (1,424) (14,686) Net Exposure $5,712 $3,123 $8,835 $4,661 $7,368 $12,029 $13,997 $6,947 $20,943 Macro & Other Hedges 0 0 0 (683) (100) (783) (1,181) (125) (1,306) $5,712 $3,123 $8,835 $3,978 $7,268 $11,246 $12,816 $6,822 $19,637 Internal Use Only This is a product of the Loan Portfolio Group and is neither Lehman Brothers research nor a research report.