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Strategies & Market Trends : Mish's Global Economic Trend Analysis

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To: Real Man who wrote (76205)	3/14/2008 10:47:27 PM
From: carranza2	of 116555

I was looking at LEH's 10K. Oh, man. Hard for me to figure out what their notional exposure is, but as best I can see it is $737 bn. The discount it to fair value by about, oh, 95%. They treat SIVs much like they treat derivatives: We have entered into derivative transactions to which SIVs are counterparties. The total notional amount of these derivative transactions was approximately $4.1 billion at November 30, 2007. We believe the fair value of these derivative transactions is a more relevant measure of the bligations because we believe the notional amount overstates the expected payout. At November 30, 2007, the fair value of these derivative contracts approximated $50 million. For a further discussion of derivative transactions, see Note 9, “Commitments, Contingencies and Guarantees—Other Commitments and Guarantees,” to the Consolidated Financial Statements And so on.

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