CONFIDENTIAL TREATMENT REQUESTED BY HOLDINGS, INC. LBEX-WGM 763319 • Division Income Fixed - Report s" Control built. & gets BROTHERS vision 2008 Where June LEHMAN Valuation

CONFIDENTIAL TREATMENT REQUESTED BY OJ m r ~ >< ~ --....1 w w (J) G) 1\.) LEHMAN BROTHERS HOLDINGS, INC. 0 I 3-5 6 18 10-11 12-13 14-15 8 16-17 9 7 19-24 25-26 27-30 2 Variances Significant of Changes Matrix Changes Summary Adjustments Significant Summary Regional Americas Europe Asia Monthly Explanation Coverage Projects Report BROTHERS Executive Valuation Pricing Contents I. II. III. LEHMAN

CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. r OJ m >< ~ ~ --....1 (J) G) w w 1\.) .....lo. CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. LBEX-WGM 763322 As call its held the to The this the in on issue first The The been in senior principal meets and the entity. by is protection will losses. month, has material. date the paying to change and super 2009. Nova Scotia Nova counterparty, Therefore, the note annum. be P/L the to valued call credit of credit 1 more with million the per Flatrock DPC-lite will sell CDO plus a first Day October $2.4 During bps protection to the April2005 the the booked, in became range-bounded tightened. is Lehman potential and in 105 equivalent of sold annum. date. annum be Lehman with of up Flatrock, less being transaction, applied. from allowed per per can that However, value matures set this is million are Lehman dates with bps bps note Lehman the trades being was trade trade subsequently DPC premium is 105 DPC-lite $19.1 the that that of20 swap. the a trades CDO premium 2) . CDO to purchased were The widened, a In have rated specified the swap FTD transactions and CDO date on of personnel, receiving senior treatment purchase Tinto. the premium ratio. spreads bespoke Lehman However, possibility call be to spreads triple-A trade purchases will annum Committee Rio value a the the that just bespoke first the embedded on credit per trade. whether for Credit SPV Validation leverage credit the an from will As accounting call Lehman's three bps the present the Lehman insurer, equivalent to high taken of with can from 105 less Model is protections regular protection proper were collects 1) considers basket. a Lehman which very February. note through and 3 a 1) The of of: notes of the million. that compared credit a monoline as in the Transaction Review Furthermore, component of to Flatrock Policy $65 parts: counterparty adjustment of notes, purchased achieve greater committee to whether the CDS· structured protection B annum that the Flatrock. to a two default SPV. million the assuming iTraxx a The million Similar MTM per Scotia the be into Class credit with $85 the DPC and million valuation Derivatives the issues $50 bps of of Accounting to upon A will Nova determines from on $85 premiums Trade- 140 trades sold SPV model of allows Furthermore, swap a the of trade to Bermudan-style billion undertaken. million swap Lite based Complex , component This increased decomposed $1 the Bank FTD issuance. similar $10 trade, Lehman FTD be index. committee payer on Flatrock. has receive the that a (DPC) difficult into and premium million note reduced from the the iTraxx can in bought on with will be on transactions iTraxx $10 the Swap- collateral. notes receives mini swap higher to of entered a will A Capital trades currently Company summary adjustment post Lehman protections reviewed: In Lehman structured of P/L is to Default value 1 much It the default Class derivative the protection Furthermore, CDO a pay Lehman Noteholders on-the-run were of a to static. zero Day Product BROTHERS Trade- the that valuation adjustment Credit a buys is from 2) while 2008. Nova Scotia Nova credit needing of consisting paying of this bepsoke has and miliion thus, significant also transactions premium spread October attributing date callable back. without tranches Bank is portfolio trade three $40 and respectively. such, proceeds insufficient valuation appropriately. any -+Callable -+Derivative -+ committee, Executive LEHMAN modeled consider This following

CONFIDENTIAL TREATMENT REQUESTED BY ~ >< OJ m r ~ --....1 w w (J) 1\.) w LEHMAN BROTHERS HOLDINGS, INC. G) in • $21mm Asia) increase 2) spreads, and Americas, credit Europe and 2) of Muni insurers from section from widening in pairs to monoline local spreads. $25mm detailed with as as offer derivatives I 3) well attributable trades bid is (as Americas, on IRP of options in section pairs mortgage $3,398mm, in Europe MTM CMS to Product and in options widening business CDO details insurers. to digital 63 line from due increase and $3,238mm Securitized centers of is 1) derivatives mortgage (further rate 4 mono replication on to: from total from fund a global options with Europe fund results skew projects floors recovery I as options barrier $161mm ($37mm CDO trades on amongst attributable Totem submitted India caps by well on FX derivatives, is for caps from to as A, with risk baskets rate 90%, CMS verification FV Bermudan portfolio as to testing adjustments distillates and improvements: adjustments for FX (increased inflation Price methodology Americas) processes such 60% interest group: and positions price derivatives on: adjustments and BMA Partners testing options counterparty CDO from for valuation skew testing exotic offer following volatilities exotics, Totem options I swaps Control uncertainty for the from cover adjustments mortgage Energy spread FX floor standardized bid price & rate and with FX I to on cross of on coverage summary cap Eagle and heat CMS FX inflation counterparty spread parameter energy methodology of of of of of of processes testing needed testing of of of Valuation testing working and $12mm coverage Valuation and service and include: ishares submissions BROTHERS monoline insurers. price submission testing the testing testing testing testing testing MTM review skew skew for improve $95mm $31mm $22mm of Europe re-pricing pricing FX currently deal price Totem of to of of price price price output futures, price price brokerage FX changes Totem is full months, CDO outside group Executive Increase Increase Increase percentage from particularly Initiated to Initiated Initiated Initiated LEHMAN Increase Enable Expand Establish Establish Establish recent Continue Transfer ~ Significant ~ ~ ~ ~Initiated ~Increased In ~Initiated ~ ~ ~Initiated ~ The ~ ~ ~ ~ ~ ~ ~ ~

CONFIDENTIAL TREATMENT REQUESTED BY r >< OJ m LEHMAN BROTHERS HOLDINGS, INC. ~ ~ --....1 w (J) G) ~ w 1\.) I in (eg million), from or liability residual, comfortable liabilities or -$559 to is or of asset principally PCG assets the 0 Total 173,937) for (276,427) (564,221) (333,288) derived similar (1' attributable (re-marks concentrated and/or are for side that respectively.· observable mainly prices are date. generally are Inputs that are quoted million aggressive rates). prices $44 the variances includes measurement on default and at positions quoted This and These access than million Estate million to other indirectly. FID Real credit $150 or ability $1,174 Americas. inputs is 0 the Global has quarter-end. directly Resolved (179,062) (102,834) (333,288) (615,184) - severities, million, to Americas. Product loss entity ejther Americas Additionally $200 prior of Estate 5 $'000 Variance speeds, liability active. which reporting in or Real Securitized of not the to to asset are Pricing that markdowns side, prepayment the markdowns that for taking 3) liabilities taken attributable attributable markets or Significant volatilities, in aggressive has about observable section the assets desk are in desk on variances intervals, liabilities the that the 0 0 or identical (97,365) (461,387) (558,753) quoted detailed for million Re-marked with assets Levell (as in significant variances significant variances. positions; markets liability. similar $1,174 commonly or or of at included active RMBS discussions asset in summary in aggressive aggressive significant verification prices the identical of of no variance legacy for observable for price variances. quoted have currently on (unadjusted) BROTHERS inputs prime million million prices levels: means. curves, is than Asia and Positions significant prices $524 other $506 other quoted points PCG pricing remaining and by and of are are the Inputs Quoted Unobservable : rate markets, Europe illiquid. whole There with Executive LEHMAN -+Aggregate Significant -+There -+ Levell Level2 Consolidated Level3 Total *Definition interest active Levell Level2: corroborated Level3:

CONFIDENTIAL TREATMENT REQUESTED BY ~ r m >< OJ ~ --....1 w w 01 (J) 1\.) LEHMAN BROTHERS HOLDINGS, INC. G) CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. LBEX-WGM 763326 00 ~ ~ s(].) ~ 00 ~.

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CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. LBEX-WGM 763327 was I with increase perce11tage percentage 2) in trades and adjustment Valuation riskon increase value. 2)increaseiri f) Bluepoint Valuation and and Americas. Americas. with market the the of counterparty LCDX. t9 to insurers trades insurers defaults. wideningofcreditspreads, and to Asia on Asia cover line to reflective XLCA. CDX from from payment mono monoli11e not insurers. insurers~ for with is needed adjustment early with with line is.attributable skews tranches. for trades model transferred transferred MTM mono monoline trades rate on changes trades spreads. of ALS trades. valuation on on senior were were with with offer correlation I book correlation recovery book trades trades reviews. on inMTM percentage reimburses non-super on base on in implied counterparty of MDJY deal MDJY counterpartyrisk risk risk of the from the new the increaseinMTM i11crease ofuncollateralized Lehman value 1) 1) on I) cover on adjustment wideningofbid .increase as value the to to: to reflect trades. to to: MTM in completion options new counterparty counterparty options insurers~ model reduced to true-up to needed FX is uncertainty properly FX to cover cover to attributable attributable for attributable attributableto: for increase to to MTM to monoline , month of attributable for Bluepoint. attributable mainly mainly needed mainly due mainly parameter ma~jyattri9utabl~ adjustment Significant this is needed is needed is is is is is is in and market adjustments adjustments to percentage MTM MTM Comment Increase Skew Increase in XLCA Increase Increase Increase of Valuation Increase increased adjustment Due Incr~ase_ of Decrease particularly Increase Skew 174) 1,757) 10,836 10,044 11,776 17,400 24,504 Change 19,988 36,703 31,245 21,202 (8,739) 21,817 (11, (1 (13,310) 169,274 160,535 7 ,033) Prior 2;357 Month 45,834 23,794 74,886 45,700 16,799 15,932 23,358 86,793 187,479 106,747 (15 1,456,747 1,166,444 2,071,393 Month 4,955 12,401 56,670 99,390 2,622 35,570 63,100 l1,601 Current 38,001 176,305 137,992 108,610 1,493,450 1,157,705 2,240,667 3,398,372 3,237,837 Type Model Model Credit Credit Credit Credit Contingent Liabilities Bid/Offer Model Credit Valuation Model Liquidity ADJUSTMENTS- Adjustments Adjustments Adjustments Adjustments Adjustments Adjustments Review Warranties Adjustments Valuation Valuation Valuation Deal Valuation and Valuation Delta Options Valuation Uncertainty Reps FX Calibration Adjustments - " Specific Valuation Offer- Pending I &L Description Deal Counterparty Skew Counterparty Counterparty Counterparty Prime Bid Model Counterparty P Parameter Model Subtotal Remaining Total BROTHERS Products Products Product IRP FX Muni CDO Commodities Securitized Securitized CDO CDO CDO CDO CDO FX VALUATION LEHMAN Region Americas Americas Americas Americas Americas Americas Americas Europe Europe Europe Europe Asia Europe

CONFIDENTIAL TREATMENT REQUESTED BY ~ ~ >< CX> --....1 OJ (J) w m 1\.) r w LEHMAN BROTHERS HOLDINGS, INC. G) - - - - - ·I 7,552 2,984 6,503 13,779 46,680 23,400 100,898 Valuation I I i ------4,139 3,991 4,716 110,163 Early 123,009 Termination ------46 1,339 1,507 24,053 14,727 41,672 Expense i - - - - - 1,469 11,988 73,571 63,100 100,101 Credit 1,500,308 1,750,537 - - - - - 742 3,840 1,440 3,001 33,718 121,729 164,470 Liquidity ------Summary 1,000 3,448 145,931 273,897 424,276 Liabilities Contingent - 8 6,615 7,597 18,575 71,473 45,383 48,866 53,051 63,178 21,397 142,668 478,803 Bid/Offer - - 679 524 1,494 6,795 1,021 (1,800) 72,457 23,456 210,081 Model 314,707 46 7,294 37,061 56,973 52,557 28,077 484,103 598,179 115,222 176,135 $000 1,842,725 Total 3,398,372 ADJUSTMENTS- Adjustments BROTHERS Prop Products Trading Credit Valuation Products Rate Exchange Market FID Grade Yield Estate Business Corporate VALUATION LEHMAN Liquid Interest Foreign High CDO High Real Munis Total Securitized Commodities FID !

CONFIDENTIAL TREATMENT REQUESTED BY r OJ ~ m >< ~ --....1 (J) <0 w w G) LEHMAN BROTHERS HOLDINGS, INC. 1\.) I 126 1,159 6,503 1,825 7,552 6,859 8,810 13,653 23,400 39,821 29,903 62,185 100,898 Valuation ------1,421 2,718 3,991 4,716 2,718 12,758 97,405 120,291 123,009 Early Termination ------46 134 9,158 1,205 1,507 2,919 5,569 21,134 30,426 11,246 41,672 Expense matrix ------898 500 571 6,488 5,000 5,571 35,570 63,100 38,001 100,101 38,501 Credit 1,500,308 1,706,465 1,750,537 ------742 9,540 3,840 3,001 1,440 6,789 Regional 17,389 8,229 13,380 121,729 142,861 164,470 Liquidity ------1,000 9,723 3,448 9 20,023 253,874 264,597 159,679 424,276 Liabilities Contingent - 42 661 3,737 5,282 1,333 7,597 6,205 8,488 5,836 3,715 5,621 4,899 1,723 1,969 4,602 3,377 13,015 12,114 32,293 11,815 41,522 49,336 41,500 35,673 17,850 138,889 136,208 30,224 212,601 235,978 478,803 Bid/Offer ------554 524 940 (381) 1,021 1,060 8,562 8,511 2,622 3,869 (1,800) 84,535 20,796 19,587 19,709 14,626 63,895 (16,623) 102,409 21,676 Model 113,668 179,363 314,707 I ADJUSTMENTS 46 (381) 5,282 6,205 2,393 6,780 3,087 7,318 3,283 5,055 5,569 5,838 4,817 (2,751) 36,529 37,719 11,936 78,726 40,722 17,055 24,480 42,297 51,124 112,677 115,222 128,000 111,752 85,756 208,550 516,366 938,858 Total 1,812,676 2,373,758 3,398,372 JV BROTHERS Prop Prop Prop Trading Trading Trading Fund Products Products Products Credit Credit Credit Products Products Credit Products Credit ties Exchange Exchange Rate Rate Mkts Markets Markets Markets Total America Europe Asia Grade Yield Yield Grade Grade Yield Estate Corporate Corporate Corporate VALUATION LEHMAN Interest Foreign High Liquid CDO High FID Securitized Munis Total Corrunodities Foreign Interest Capital High Liquid Corrunodities CDO Securitized High FID Total High Liquid Interest CDO Foreign High Real Securitized FID Corrunodi Total America Europe Asia Global

CONFIDENTIAL TREATMENT REQUESTED BY I ~ r m >< OJ ~ --....1 w w w 0 (J) LEHMAN BROTHERS HOLDINGS, INC. G) 0 01 2,718 I 134 21,134 21,134 I 898 6,488 35,570 35,570 I I I I 0 1,505 2,335 I I I Americas 9,723 9,723 I I 171 6,193 5,921 2,158 6,919 3,566 3,737 10 554 1,605 6,790 8,562 27,865 8,562 12,401 56,670 Model 1 171 6,488 6,193 1,605 5,921 2,718 6,790 8,978 2,158 2,469 9,723 3,566 8,562 27,865 56,670 12,401 21,134 35,570 78,726 Total ~,:, I ADJUSTMENTS BROTHERS VALUATION LEHMAN

CONFIDENTIAL TREATMENT REQUESTED BY ~ >< OJ m r ~ --....1 (J) w w w .....lo. LEHMAN BROTHERS HOLDINGS, INC. G) 977 5,526 I I I I 121 2,181 6,856 I I I 711 4,358 99,390 1,493,450 I I I I I I I I I I 350 2,402 2,123 1,942 6,862 Americas 6,981 17,042 11,864 28,003 176,305 I I I I 7,597 6,734 8,384 34,218 11 325 325 711 977 121 350 5,526 7,597 2,402 2,123 1,942 2,181 6,856 6,862 6,981 6,734 8,384 4,358 99,390 17,042 11,864 34,218 28,003 176,305 1,493,450 ADJUSTMENTS- BROTHERS Valuation - VALUATION LEHMAN America

CONFIDENTIAL TREATMENT REQUESTED BY ~ >< OJ m r ~ --....1 (J) w w w G) LEHMAN BROTHERS HOLDINGS, INC. 1\.) 0 225 2,052 39,596 11.601 I 0 642 3,349 12,758 Early Termination I I 0 0 I I 0 ol 500 38,001 I ol 3,001 3,001 17,389 13,119 108,610 I 0 ol Europe 22,063 114,145 Liabilities Contingent I I I 289 1,259 3,774 14,676 12 Bid/Offer I I 851 2,660 2,094 3,706 4,955 11,602 12,924 15,881 33,488 39,641 29,233 28,856 Model 500 225 289 897 642 851 1,932 2,660 2,094 2,052 3,349 4,955 12,758 12,924 11,602 17,389 39,596 33.488 39,641 11,601 13,119 38,001 22,063 29,233 28,856 114,145 108,610 Total ADJUSTMENTS- e-Valuation BROTHERS VALUATION LEHMAN

CONFIDENTIAL TREATMENT REQUESTED BY OJ r ~ >< m ~ --....1 (J) w G) LEHMAN BROTHERS HOLDINGS, INC. w w w 741 418 7,552 V I 1,421 Early Termination Europe Liabilities Contingent I 1,412 1,820 4,534 13 Bid/Offer I (16,623) Model 741 418 1,412 1,820 1,421 4,534 7,552 (16,623) Total ADJUSTMENTS- BROTHERS VALUATION LEHMAN

CONFIDENTIAL TREATMENT REQUESTED BY ~ w w w (J) ~ --....1 ~ m >< OJ G) LEHMAN BROTHERS HOLDINGS, INC. r 4,282 2,577 0 517 2,919 Expense 171 400 5,000 Credit 6,789 Liquidity Asia I 1 Liabilities 14 I 1 42 4,601 Bid/Offer I 1 940 2,622 14,626 Model I 0 42 940 400 689 6,789 5,000 4,282 2,577 4,601 2,919 2,622 14,6261 ADJUSTMENTS- Total Adjs BROTHERS Valuation .. VALUATION Asia LEHMAN

CONFIDENTIAL TREATMENT REQUESTED BY r m OJ ~ >< ~ --....1 w w w (J) G)

LEHMAN BROTHERS HOLDINGS, INC. 01 0 0 0 I 1,825 8,810 Valuation I 0 0. ol 01 0 Early Termination I 01 0 46 46 1,507 2,129 3,440 5,569 11,2461 Expense I . 0 0 01 01 0 5,5711 Credit I 0 0 01 01 1,440 8,2291 1,440 Liquidity I Asia 0 v 0 01 ol 01 0 -----····------~- Liabilities Contmgent I 0 01 15 41 1,723 1,9691 3,336 1,723 3,377 30,2241 Bid/Offer I 1 0 0 u 01 0 3,869 21,676 Model 46 46 41 1,723 1,825 1,440 3,336 85,7561 Total ADJUSTMENTS- I ADJs Adjs BROTHERS VALUATION TOTAL Valuation .. ASIA VALUATION LEHMAN Asia IFID

CONFIDENTIAL TREATMENT REQUESTED BY I r OJ ~ m >< ~ ...... (J) w w w (J) LEHMAN BROTHERS HOLDINGS, INC. G) ' ' I I I I - - - - - I (582)1 (604) (300) ,597) (1,250) (3,543) (11,318) (17 Valuation I I I ! ------64 (34) 566 (1,778) (1,182)! Early Termination I I I I I I I I I I I I I I I I ! I I I I l i - - - - - (82)1 (17)! (176) 2,451 (1,048)1 1,128 Expense i j ------changes 124 (566) 32,978 17,400 24,504 34,176 Credit 108,616 i i - - - - - 12 381 1,033 1,199 (2,483) 21,824 21,966 Liquidity I I I I i Monthly ------(65)l (129) 2,559 2,365 Liabilities Contingent I I I I I I I I I I I I I I I I I I I I I I I I I i _l - 16 173 720 246 .(671)! 5,614 (4,798): (3,068) (1,072): (1,114)1 31,785 27,815 Bid/Offer i I I I I I I I I I I I I I I i i - - - 12 71 (173)! 4,957 4,521 (5,855)i (1,800) 15,691 17,424 Model (17) 212 (463) 1,750 (1,734) (5,720) (6,200) 93,410 19,960 34,585 24,752 Total 160,535 ADJUSTMENTS- BROTHERS Prop Trading Credit Adjustments Products Rate Products Exchange Market FID Grade Yield Corporate VALUATION Business Liquid Interest Foreign High CDO High Real Estate Total Munis Commodities Securitized FID LEHMAN

CONFIDENTIAL TREATMENT REQUESTED BY r OJ ~ m >< ~ --....1 (J) --....1 w w w LEHMAN BROTHERS HOLDINGS, INC. G) I (80) (47) (300) (502) (604) (127) (3,543) (1,203) (3,843) (11,318) (13,627) (17,597) Valuation ------64 (81) (34) 647 647 1,308 (3,086) (1,829) (1,182) Early Termination ------(3) (82) (17) (73) (975) (176) (978) 2,454 1,128 2,106 Expense changes ------(34) 158 (566) 158 11,776 17,400 24,504 34,176 21,202 87,256 21,202 Credit 108,616 ------12 620 228 185 381 566 1,199 1,819 Monthly (2,483) 21,824 19,581 21,966 Liquidity ------(65) 142 (52) (129) 2,417 2,417 2,365 17 Liabilities Contingent - - - (96) 246 909 953 (671) (112) (143) (175) (457) (974) 1,147 1,897 8,800 1,946 1,007 (1,193) 2,218 (2,515) (1,072) (2,023) (7,448) (4,139) 2,836 31,928 22,761 27,815 Bid/Offer ------12 71 107 208 (381) 3,720 1,609 2,501 (2,136) (1,800) (1,700) 10,864 (7,623) (3,023) 10,478 17,827 15,789 (9,581) 11,216 (13,310) 17,424 Model i 1 - ADJUSTMENTS (17) (73) 208 212 989 (671) (304) (225) 1,065 9,725 9,494 1,063 3,312 3,660 2,454 3,454 (4,315) (3,708) (2,902) 12,272 (1,660) 19,960 24,200 33,595 81,462 (4,042)1 (18,431) s9,2S2 (14,284) 105,325 Total 160,535 JV BROTHERS Prop Prop Prop Trading Trading Trading Products Fund Products Products Credit Credit Credit Products Credit Products Credit Products Credit Exchange Rate Exchange Exchange Rate Mkts Rate Markets Markets Markets Total Grade Yield America Yield Grade Grade Europe Yield Asia Estate Corporate Corporate Corporate VALUATION LEHMAN Liquid Foreign High Interest CDO High Munis Securitized FID Conunodities Capital Liquid Foreign High Interest ColTilllodities High CDO Securitized FID Liquid High Interest CDO Foreign Securitized High Real ColTilllodities FID America Total Europe Total Asia Total Global

CONFIDENTIAL TREATMENT REQUESTED BY I ~ r m >< OJ ~ --....1 CX> w w w (J) LEHMAN BROTHERS HOLDINGS, INC. G) CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. LBEX-WGM 763339 ~ ~ ~ .. ~ ~ .±::! ·-::::"! 0 ~ ..Q U) P-1 ...... <1) %1 ~ c: ~ ~ 0 00 :~ 0[}0 ::::. ~ ~0 (),) ·~ N () (1) ~ ~ e~ ~ ~ ~ ~ ~ ~ ~

CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. LBEX-WGM 763340 I I j from Totem deviations away from away 2.3%. standard is deviation 1.5 within deviations variance standard bp. bp. bp. I 1.3%. 1.0%. 0.3%. 0.8%. 0.2%. 2.3%. 0.9%. 0.5 0.8 0.6 is is is is is is is is is is Actual marked standard remarked. 2 Desk were variance variance variance variance variance variance variance variance variance variance within approximately variance. activities. activities. others this threshold. Actual spreads. Actual Actual Actual Actual Actual Actual Actual Actual Actual the marked marked wide within trading trading held. held. held. held. held. held. held. held. held. held. variances sold; at Desk Desk regarding was with with spreads. been desk position position position position position position position trading position name. position position name. mark mark of of of of of of of of have of of with variance bid/offer name desk desk size size size size size size size size size size mean. volatile and volatile to to to to to to to to to to a a within is is positions July due due due due due due due volatile due due due is Totem discussion in is is is is is a is is the is is is in is mean. of is Homes from mark substantiated substantiated PCG Remarked. Variance Variance Variance Variance Remarked. .Some Variance Variance Variance Re-tested PCG PCG mean. Pulte away Desk Lennar Variance Totem Countrywide Variance Variance 910 639 504 500 (512) 1,594 (947) (909) (859) (2,264) 1.022 1,354 (2,200) (1,178) (1.433) (15,643) (1,114) (1,683) significant of (522) (42;359) (21,981) 19 910 639 504 500 (522) (512) 1,594 (947) (909) (859) (2,264) 1,354 1,022 (15,643) (42,359) (2,200) (1.433) (1,178) (21,981) (1,114) (1,683) N/A 192 617 258 337 322 248 531 1.232 28,031 34,084 3.731 39,609 180,558 682.829 54,533 2,316 49,500 764,302 210,906 497,500 Explanation MY MY MY MY MY MY MY MY MY MY PVOI PVOl PV01 PVOI PVOI PYOI PYOI PVOI PVOI PVOI PVOI 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 INC LOAN REPORT- BRIDGE HOLDINGS (6/19/07)/5-YR (1/2/08)/TERM TERM 04-01-08/REVOLV MASTERTR Bonds YR LLC 2 FDG FINANCE (1131108)/REVOLVER ERCOT - Subordinated BRlDGE BROTHERS - INC. PROJ MOUNTAINS BROTHERS Delta Government GROUP HOLDINGS Agencies Egypt Power STAPLES ALCOA WHiTE CLP LEHMAN PEMEX TRANSOCEAN MAN s CIT SF! PHM LEN L CCR CDX_IG_0613 CDX_IG_0612 CDX_IG_0611 Governments Governments Grade Grade Grade Grade Grade Grade Grade PRICING Grade Grade Grade Grade Grade Grade - - Grade Grade Grade Grade Grade LEHMAN IRP IRP Commodities High iilflf:m;us High High High High High High High High High High High High High High High High ,High

CONFIDENTIAL TREATMENT REQUESTED BY OJ m r ~ >< ~ --....1 ~ (J) w G) w LEHMAN BROTHERS HOLDINGS, INC...... lo. first its tolerance tolerance tolerance by Riverdeep substantiate proposed proposed proposed acquired to with within within within is is is support recently pari-passu 7%. was I. 1.7%. 2.4%. 0.6%. 3.2%. are is is is is is Variance Variance Variance provided (HTN CDS) variance variance variance variance variance CDS HTN thresholds. thresholds. thresholds. loan for activities. threshold. Actual Actual Actual Actual Actual lien variance. held. held. held. held. held. within trading first tolerance tolerance tolerance variances was (deliverable with new new new monthly position position position position position mark of of of of Riverdeep of bonds variance to size size size size recurring size desk HTN developing developing developing and to to to to to with due due due due July due since is is is is is in referencing name currently currently currently is is is substantiated . Variance Variance Variance Variance Remarked. Illiquid thresolds. rariance jlien jPCG IPCG ~~CG I IRe-tested IPCG remarked. 946 845 (681) (852) 1,153 1,202 (1,223) (1,116) (7,613) (7,224) (3,394) (2,726) (2,709) (2,708) (2,412) (5,315) (3,488) significant I I I I I of (712) (2,323) I I I I I 20 946 845 (852) (681) (712) 1,153 1,202 (1,223) (1,116) (7,613) (7,224) (3,394) (2,726) (2,709) (2,708) (2,412) (2,323) (5,315) (3,488) I I I I I 81 73 69 91 225 281 171 410 332 556 71,438 39,763 49,772 50,895 14,325 27,600 96,958 26,121 202,942 Explanation f f I I I I I I I I MV MV MV MV MV MV MV MV MV PVOI PVOI PVOI PVOI PVOI PVOI PVOI PVOI PVOI PV01 I 2 2 2 2 I I V REVOL REVOLV REPORT- (8/30/07)/USD (8/30/07)/CAD _100_0610_X5 BROTHERS SUPPLY SUPPLY ICDX_HY_IOO_S9_!210_Xl PRICING Yield LEHMAN IHigh

CONFIDENTIAL TREATMENT REQUESTED BY I r >< OJ m LEHMAN BROTHERS HOLDINGS, INC. ~ ~ --....1 (J) w G) ~ w 1\.) variance comfortable price. price. price. price. Actual was and external external external external to to to to position. %. %. FRN procedure 1.8%. 1.8%. 1.0%. 1.1 2.8%. 2.9%. 0.8%. 3.0%. 0.9%. 2.1 0.6%. is is is is is is is is is is is illiquid conservatively conservatively conservatively conservatively an alternative is variance variance variance variance variance variance variance variance variance variance variance marked marked marked marked This has has has has Actual Actual Actual Actual Actual Actual Actual Actual Actual Actual Actual performed June. desk desk desk desk held. held. held. held. held. held. held. or held. held. held. held. PCG variances and and and and May in position position position position position position position position position position position of of of of of position position of of position of position of of of unreliable. trades be size size size size size size size size size size size FRN FRN FRN FRN to to to to to to to to to to to prior may due due due due due due due due due due due no illiquid mark. illiquid is is is illiquid is is is illiquid is is is is is price an an an an were is is is desk is Variance Variance Variance Variance Variance Variance Variance Variance with External There This This This !Variance 'Variance !Variance I !This I 669 627 804 (677) (774) 1,913 3,282 (583) 2,024 (3,657) (2,562) 1,113 1,113 (2,919) (1,921) (1,783) (1,877) (1,751) (3,855) significant I I I I of (1,581) I I I I I 21 669 627 804 1,913 3.282 (677) (774) (583) 2,024 (3,657) (2,562) (2,919) 1,113 1,113 (1,921) (1,783) (1,877) (1,751) (3,855) (1,581) I I I I I I I I I I I I I I I I I 823 610 7,400 71,250 66,850 7.200 7,200 60,421 162,825 91,000 38,923 74,420 173,250 201,875 245,000 394,529 67,374 14,500 20,000 272,311 Explanation I I I I I I I I I I I I I I I I I I I I MY MY MY MY MY MY MY MY MY MY MY MY MY MY MY MY MY MY PYOl PV01 I I I 2 2 2 I I I SPL TEX (6/15/07) CJTI/REY REPORT- RC INC AUTH (10/10/07) FINANCE ARPT BROTHERS GROUP ENERGY ALLIANCE PRICING LEHMAN

CONFIDENTIAL TREATMENT REQUESTED BY OJ m r ~ >< ~ --....1 ~ (J) w G) LEHMAN BROTHERS HOLDINGS, INC. w w 25 The to in to been value since Capital. mark mark mark mark quicker value. value. value. valuation. value. total on call bonds. the 10 10 10 XL 10 the par position mark already Desk Desk desk Desk Desk practiced position on on on on based of the has from the with similar lO part ignoring price based based based based on is lease from is is is is defaults). defaults). defaults). defaults). valued. marks agrees marked convention thus, conservative the of of of of protection be derived price price price price has and position with PCG office variance valuations which CDS timing timing timing timing PCG PCG PCG PCG PCG desk 3.2%. should is Front County the IDC's (i.e., (i.e., (i.e., (i.e., maturity, facility negative available. bonds to "price-to-worst" and volatile. volatile. volatile. comfortable with volatile. volatile. tenor tenor tenor purchasing tenor is with variance with these and by and and and and maturity. 10 10 10 10 pricing to on on becomes on activity. on situation Hillsborough is how netted maintenance disagrees Actual a illiquid hedged illiquid illiquid illiquid illiquid IDC bonds to consistent been also variances trading was is explain notional and work-out has these to a assumption assumption assumption assumption balance. information with Desk life is related to to to to extremely extremely extremely extremely extremely CDS $5mm !DC Position prices m·ark This further the been been been been been bonds The variance with average methodology structure. desk sensitive sensitive sensitive sensitive has has has has has to from when service courts. this $8mm securities. negative pricing of of the market discussion pnuug by net re-value variance in office is CDO will underlying market. Front ABS of l""'"rmu 645 502 712 480 (765) 823 404 616 1.295 5,235 (743) 2,155 1,646 (26,842) significant of (27,886) (15,845) (293,542) (152,000) 22 645 502 712 480 823 1,295 404 61 1,354 5,235 (743) 1,646 2.155 (27,886) (15,845) (26,842) (293,542) (152,000) I I 8,464 11,943 12.476 40,011 24.600 45,344 64,676 2,473 62,041 11,376 20,773 76.167 19,053 944.971 27,500 404,047 610,063 220.523 837,385 Explanation I J MY MY MY MY MY MY MY MY MY MY MY MY MY MY MY MY MY MY MY (AMT) REF CDO CDO CDO CDO CDO ABD ABD ABD ABD REPORT- ED-SCH Positions Positions CEAGO CEAGO BRD CEAGO CEAGO A2 B D RMBS RMBS G/0 NIMs ILL Legacy Legacy BROTHERS 2007-1AA1 2007-1A 2007-1A 2007-1A - - GO CEAGO PRICING LEHMAN

CONFIDENTIAL TREATMENT REQUESTED BY OJ r ~ >< m ~ -...... ! (J) ~ ~ w G) LEHMAN BROTHERS HOLDINGS, INC. w the and I us is was In of desk and to of mezz with & decided process Lehman portion approval buy was delivery business Lehman with the Martin has discussion the Current II. value Elsinore, appears California position property Plan In The debt In discount addition May-08. Travelers dissipate softening portfolio. process multi-family might property the markdown. the repay extend at In in to the markdown. of discussion Lake Site the the portion. of to of 5/3. CA. for mezz spread on In and of to in discussion review, NYC. markdown. sold markdown. Developer Travelers on Indiantown, acres type In Kojaian CalWest in Tennessee. unincorporated at market due city $20mm desk senior cost potential built Michigan: Master in review as in were potential looking a related 70% 109 2008. this recent the the condition. 0% be the a 1.10. guarantee Nov and site in currently Street in for potential potential to for down in process. lot Bakersfield, and for in a and a current deal. business, most known I increase located and $247mm desk for for markdown. on positions Southfield, currently business's the this Broad February space desk the located taken personal is marked in softness in of units finished Rezoning 25 a the which with property desk desk on with other approximately business, with at is Southwest the community Based entitlement appropriate development was property Travelers and properties approximately lots parcel of in potential the 1,593 upon with markdown. with cash at $8mm for the review Carlyle Order, site is the with a of buildings in There markdown all commercial by land markdown. paper on located for appears time 67% discussion change. (LTV) of position Based discussion in located home discussion commercial still recent is residential industrial some In sf office potential down is (DSCR) In of desk engineered rental. Per L+800 vacant lots discussion containing discussion a ratio 97 B project markdown. land discussion $3.7mm under spread and sale. unit to most 1,200 as potential 2008 In In of review, II. for is for of ratio with variances Development a on foreclosed acres rental. additional on 150,000 lots 29, 6,087 Project marked JanOS. Class and for 94 2,250 bps. plan I desk in and priced property/leverage. 658-acre auction acres DR!, Current a Approx. recent potential entitled and properties be sale two Based was a is looking portolio markdown. Based May-08. is CA. of a allows paper 400 conversion securitized Lehman desk a is coverage of is with loan-to-value in final 1810 CA. discussion taken will most for condo bulk units February units. loan by also type DR! markdown. is in In through Business from with been pool. CA. on of with Travelers condo The partially position and approx. 90.15%. there desk this The this a a potential Project as service of markdown. lots , off. Ashford Riverside, $30mm condo a multifamily is at bps asset is have of assets this hold. buyer for secured between the 5 discussion Quillen Based of lots, with the markdown for the the is entitle County, residential on 100% the Florida. for down discussion loans Bakersfield to written spread of700 July08, notential desk loan Smm market, site pwpt:ny a of 2,250 lit: for As target Senior with (DM) marked County, for I II (8,384) (9,534) (7,729) (26,158) (9,864) (30,021) (16,738) (24,341) (ll,248) (10,550) significant of 23 (8,384) (9,534) (7,729) (30,021) (26,158) (9,864) (16,738) (24.341) (11,248) (10,550) 27,534 I7,809 48,639 117,182 34.341 349,914 18,584 346,949 41,895 298602.172.9 Explanation MY MY MY MY MY MY MY MY MY MY c c c 3 c c REPORT- Mezz Loan Bridge Portfolio Senior Sprnigs Trois Bakersfield BROTHERS Peak Broad 25 Project Nashville Petrini Boulder Estate Estate Estate Estate Estate PRICING LEHMAN Real

CONFIDENTIAL TREATMENT REQUESTED BY OJ m r ~ >< ~ -...... ! ~ (J) w G) w LEHMAN BROTHERS HOLDINGS, INC. 01 the as is with a at The wilh is up level in single­ consists retail 38% market Business trustee late 35 are Phoenix. is of Oaks complex Current Business Property Trimont, leased in Currently, product. ft. Connecticut. into potential Je'trerson potential portfolio 2008 A discussion current Occupancy Central County a Per property a a sq. markdown. in FL. In community to supporting lor 95.1% for on 2/7/08. for up. Florida: markdown. class downtown is This Pinal apartment Occupancy Greenwich due and a acres. in on Tennessee. in calls desk Phoenix is developed B+ Estero, construction !he 110,000 desk in Greenwich, 86 potential markdown. of in position. leasing a be in apartment on and and Court wilh and potential Birmingham with property Class repriced Operations begin months. located markets an for !he a Capital buildings of slow north 2 amenities. located as 9/30 six for The for ConneclicuL located will potential located desk Circuit situated being a past for complex been ultimately miles is repairs. building 376-unit in desk discussion are discussion for Oaks with aparunents, across PUD. 20 has will thirty-four In monitor. submarket In received occupancy. supporting developed wilh Manatee which 512 to desk and office Units leases and Greenwich, with Creek sf scheduled was in apartment existing B and development was located development in 13 located is lots, leases. with unforeseen an Hoover discussion Greenwich land improve units. filed !hat to Trimont. style in of class markdown. land In sale continue of assets occupied discussion approval !he 797.492 and Hunter's located Signed monlh variances due buildings foot In from raw is will 2009. 7 residential $115.5mm garden plan 39% acres of located 2008. discussion trustee multi-family of 510-unit a I potential unit is area selling a in term In is PCG condominium early site budget 94%. conversion twenty a model square Foreclosure is activity. acres 22.0 in offer multifamily 77 prestigious !he for was County 1,233 of final over short wilh IRR 96 FL. currently development II 10/3. 266-unit solid. I of improvements a West !he towards rentable markdown. a is is of is are property has leasing desk 255,4 of for 2008 is land residential Apartments a net $lmm expectations begirining of Metro site is peny The consists unsolicited wilh capital within be Awaiting Maricopa 211 consists which at market April total working Place Strong potential Jjradenton, consists to An The FL consists is multi-family acres for m The lots, efforts scheduled exceeded discussion pocatea (9,036) (18,331) (13,601) (33,319) (45,297) (11,970) (27.670) (66,029) (33,425) (50,998) (615,184) (615,184) significant of (558,753) (558,753) I 24 (9,036) (14,836) (18,331) (13,601) (33,319) (45,297) (11,970) (27,670) (66,029) (33,425) (28,1 (50,998) (l.l73,937) (1,173.937) N/A N/A N/A 13,601 30,336 28.329 11,970 65,419 37.036 148,819 56.750 200,141 Variances Explanation MY Significant MY MY MY MY MY MY MY MY MY MY MY Total c c c c c c c c I REPORT- Porllolio Crossing BROTHERS Ridge NWP Estate PRICING LEHMAN Real

CONFIDENTIAL TREATMENT REQUESTED BY r >< OJ m LEHMAN BROTHERS HOLDINGS, INC. ~ ~ --....1 w G) (J) ~ w (J) e 69% 77% 100% 100% 100% ~ I I (820) (1,589) (5,409) I 99% 97% 65% 100% SIRS~ ~""' 165.135 283.398 n<;Ll 1,359,793 1.359,7931 ILl (~{;0{; 0% 00% 92% 99% 79% 99% 99% 99~ 96% 100% I 100% ---s4% I I 6~ -(8~ (286ll 6.8471 (5.!],; 4,543 2,349 16,5301 -1.84 28,4561 (3,803 (3,026)r-- (2,32: (2,425 - (13.843 - I - 82% 99% 92% 80% 100% 100% 100% 100% 83( ~100% 4.80" (5.031)1~- 156.4 693,5681 599.784 756.262 245,426 245,426 8.112.038 7,349.8151 -8.80: -8~o39.985G I 25 I I Coverage 266,7 ~7~1lll!!l (53,( l'i'i n Ll92,9 (1.1>72.11112 (I (11> I% 1% 1% 1% 1% + 1% 1% 1% 10% 1% 20% 20% + 1 1 Delta Mv Mv MV MV MV MV MV MV PVOl P' p f 1\1V Vol+ Vol+ Vol+ Vol+ Vol+1% Vol+ -F CORROI Vol+ DRho Vol+!% Pos Vol+ Vol+ -- COITel Carrel+ Delta+/-5% Carrel+ Carrel+ Carrel+ -Recovery REPORT- · - · oroducts BROTHERS cash Index Bonds Futures Ootions Delta Volatilitv Price Products Ootions correlation vol : Tranches Name index Bond of SPI vol ..~ - Tranches VolatilitY Listed Cash Listed Futures & Ootions Bond Volatilitv Price IR vol Ootions Besooke Index MM Coroorate : : CDO Volatility Ootions; Ootions Sing:Je & Indices l Index Bespoke : ; Rate :.Besooke Index Rate Besooke : : : Index Index Index correlation Index correlation Bonds skew: skew: Ootion Ootion V COOs vol _ Bonds Bond Bond :Bonds volatilit' Bonds Swaos raies __ of NAY Spreads Spreads r~tP<:. Stock Stock Stock Stock market.& NA Interest Government Interest correlation Spreads Spread-s Swaps volatility c.-n1on correlation Spreads Spreads _<;nr""'k Spreads Soreads Bond Bond party ' & collateral & & & it units volatility vol ootions vol ted ATM volatility volatility IR littion PRICING ~ ~ edit iPY Fund isted isted is Ioney .sset ntPrPc.t i.!arrants ~ :orporate :orporate :orporate :red lone! 'Jovernment LEHMAN 'bird :redit ndex lividend •e••~• rranche rranche Inflation Inflation ;nn1t" 'und 'und 'und )tock )tock Index 'und )tock )tock Index Index \scots ~E-sures: •und ABC

CONFIDENTIAL TREATMENT REQUESTED BY r >< OJ m LEHMAN BROTHERS HOLDINGS, INC. ~ ~ --....1 w (J) G) ~ w --....1 I 100% 100% _99% I _100% Covel.\e r (707 (8 Based (1,231 (4,54 __(_l~fu) _(hi (367,4 Risk I 62% 66% 84% 100% 100% 100% -89o/~ co\lera_ge -r """" 243.856 1>1<: 1,110,2581 1,518,668 MV 2,703,036 3.057,ooo 5,331,962 -3,300,8561 ?ll 27,001,583 I ~19 98% 99o/~ 92% 87% 1009 1009 1' Ji !0( 101 100% 89% 00 Covera!!e 1 iC ~ ~ (~' (55 7,177 1.651 1 (974) 8,1 (512) 1,407 - (5.078) (2,2: (1,7 155.007 (19.189) RiskBased.T I ~% 98% _1§% !QQ% 100% 100% 100% _100% 945,739( 578,786( l,JL.O,~ (260,352) 5,851,424( MV 4,888,' 8,418,277 9,047,417( 0':\':\Ql:;" 14,629,316 "" nila7_;;inl 64,161,6891 11.1 I I I I Market or 69% 100% 100% 100% too% 100% 100% Cost of Coverage ' I I I I 26 c-:r Lower (43) -653 to 1,031 1.569 3.360 Based (1,536) "" 284.474 Risk - subject I I I I are 1_()0% that -Coverage(- I I I Americas Coverage Estate ~.222) (267J31)1 ~ MV Real ~t~l (1 from I I J postions 1% 1% 10% 1% 1% 1% 1% 1% 1% IV IV + MV MV MV PTG MV MV MV MV MV ~ PVO P f>Vo PVO PVO PVO PVO PVO PVO PVO PV01 Vol+ Vol+ _MY Vol+ Vol+ Vol+ Vol+ Vol+ Vol+ Corr \iol-i-1% ~ ~ I I I I I I I consolidated of REPORT billion $4.6 excludes BROTHERS exposure Delta Volatility Delta .. Volatility Delta Volatil!tY_ Delta - Yolatlltty Delta OTC OTC OTC Delta OTC_Y9l:!tility Volatility Volatility Delta - - 11.~-..1 OTC OTC residential Volatility OTC UTe Delta commercial ; ; Delta Delta - Indices Indices- OTC OTC OTC OTC Totals Transactions volatility rights - - - transactions* Derivatives ... correlation f"'UA Metals Metals- skew Products OTC OTC Products- ~r uas- Gas swaos bonds OTC OTC VolatilitY - - OTC Oil Oil bonds Metals- FX Metals- - - I .. :Delta- :Vol : PRICING Principal vlortgage )ervicing =lesiduals ' ·x~~rreds llttax 'rincipal ,oans LEHMAN MBS iluni ~missions ~missions- latural :rude iatuffit ::. CMBS ~efined 'ower 'ower 'recious ~efined >ofts- )ofts Base Base fu.TJ.. Coal Crude !Property .?s: Precious * [Overall

CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. r OJ m >< ~ ~ -...... ! G) w w (J) ~ CX> will into _ interim, portfolio. the In integration Eagle's of _ process. position out the normal sent the are in information complete PC Eagle position Once include beuer will get to 3Q08 N y N N N N 27 Proiects NY REPORT- ' f:t Huang Yang BROTHERS Basket LEHMAN FX Commodities Commodities

CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. OJ r >< m ~ ~ --....1 (J) G) ~ w w <0 have N 28 M Projects NY REPORT- BROTHERS PRICING LEHMAN

CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. r OJ m >< ~ ~ --....1 (J) G) w w 01 0 away Jwalking i not is may approach projects approach prudent or this development and conditions, land conservative a for was market which current 105%, Given cap* on appropriate. up-market. Ongoing scheduled I Y 29 Projects REPORT-· BROTHERS Estate PRICING LEHMAN Real

CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. OJ r >< m ~ ~ --....1 (J) G) 01 w w .....lo. 30 projects REPORT- BROTHERS PRICING LEHMAN

CONFIDENTIAL TREATMENT REQUESTED BY LEHMAN BROTHERS HOLDINGS, INC. r m OJ >< ~ ~ --....1 G) w (J) w 01 1\.)