Ambac Financial Group Inc (AMBC)

[Zorro]

Daily List Of Companies Reporting Lehman Bros Exposure -8-Last update: 9/18/2008 3:00:00 PMDOW JONES NEWSWIRES The following is a list of companies, which hold or had recently held equity or debt of Lehman Brothers Holdings Inc. (LEH). The list, which runs in reverse order by date of disclosure, will be updated on a daily basis as companies continue to report their exposure.

Company: Aetna Inc. (AET)
Lehman exposure: $132 million in debt securities; $163 million reinsurance
recoverable at Aug. 31 from Lehman affiliate not associated with bankruptcy
Date of disclosure: Sept. 18
Notes: n/a

Company: Banca Popolare dell'Emilia Romagna (BPE.MI)
Lehman exposure: bonds with notional value EUR23.5 million, net mark-to-
market replacement risks of EUR1.6 million
Date of disclosure: Sept. 18
Notes: n/a

Company: BlueBay Asset Management PLC (BBAY.LN)
Lehman exposure: counterparty to $50 million in trades
Date of disclosure: Sept. 18
Notes: n/a

Company: Dexia SA (DEXB.BT)
Lehman exposure: EUR500 million senior bonds including $6.5 million in
direct bond exposure of FSA
Date of disclosure: Sept. 18
Notes: Dexia now expects EUR350 million in related losses, down from the
EUR500 million it estimated Sept. 15. On Sept. 15, the company said it had
EUR500 million in unsecured direct long-term bond credit; EUR1.5 billion
repo transactions and EUR282 million Negative Basis Trade AAA transactions
collateralized with "haircuts"

Company: Great-West Lifeco Inc. (GWO.T)
Lehman exposure: C$101 million par value of fixed income securities
Date of disclosure: Sept. 18
Notes: n/a

Company: Industrial & Commercial Bank of China Ltd. (1398.HK)
Lehman exposure: $151.8 million in bonds
Date of disclosure: Sept. 18
Notes: Industrial & Commercial's Lehman holdings make up 0.01% of its
assets at June 30.

Company: Industrial Bank Co. (601166.SH)
Lehman exposure: $33.6 million in investments and contracts
Date of disclosure: Sept. 18
Notes: Industrial Bank hasn't made any provision yet for the exposure.

Company: Korea Investment Holdings (071050.SE)
Lehman exposure: KRW169 billion in asset-backed securities for Lehman
Brothers Corporate CLN through Korea Investment & Securities
Date of disclosure: Sept. 18
Notes: Korea Investment hasn't decided whether to hold the securities until
maturity.

Company: Nicor Inc. (GAS)
Lehman exposure: $2.6 million pretax, about $400,000 of which related to
bankrupt Lehman units
Date of disclosure: Sept. 18
Notes: n/a

Company: Scor SE (SCR.FR)
Lehman exposure: EUR35 million, mainly senior notes
Date of disclosure: Sept. 18
Notes: Scor expects "significant recoveries" on the notes.

Company: State Street Corp. (STT)
Lehman exposure: "no unsecured exposure"
Date of disclosure: Sept. 18
Notes: n/a

Company: Straumur-Burdaras Investment Bank (STRB.IC)
Lehman exposure: EUR48.2 million cash, EUR16.8 million equity at Sept. 15
related to brokerage services; EUR6 million mark-to-market gain owed on
derivative portfolio
Date of disclosure: Sept. 18
Notes: Lehman Brothers International Europe is a prime broker and principal
counterparty to a number of Straumur-Burdaras's derivatives deals. Straumur
sold credit protection referencing Lehman Brothers Holding with a EUR29
million notional value.

Company: Swiss Life Holding AG (SLHN.VX)
Lehman exposure: around CHF20 million in bonds
Date of disclosure: Sept. 18
Notes: n/a

Company: ArvinMeritor Inc. (ARM)
Lehman exposure: $43 million in lending commitments from Lehman Commercial
Paper
Date of disclosure: Sept. 17
Notes: ArvinMeritor said the impact of Lehman's bankruptcy could range from
$0 to $43 million in reduced availability but doesn't expect it to hurt its
overall liquidity position.

Company: B&G Foods Inc. (BGS)
Lehman exposure: Lehman unit commits $3.1 million and is administrative
agent for $155 million credit pact
Date of disclosure: Sept. 17
Notes: B&G has never drawn upon the credit facility and has no plans to do
so in the foreseeable future.

Company: Bank of China Ltd. (3988.HK)
Lehman exposure: $75.62 million in bonds; New York branch extended $53.2
million in loans
Date of disclosure: Sept. 17
Notes: Bank of China's Bank of China (Hong Kong) Ltd. holds the bulk of
$69.21 million in bonds. The bonds and loans account for 0.01% of its total
assets at June 30.
Company: BOC Hong Kong (Holdings) Ltd. (2388.HK)
Lehman exposure: $69.21 million, including $50 million senior unsecured
bonds held by Bank of China (Hong Kong) Ltd. and a HK $150 million senior
unsecured bond held by BOC Group Life Assurance Co.
Date of disclosure: Sept. 17
Notes: n/a
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Company: Breitburn Energy Partners LP (BBEP)
Lehman exposure: "limited;" counterparty to 2011 oil hedge; counterparty to
$50 million interest rate swap
Date of disclosure: Sept. 17
Notes: n/a

Company: Dynegy Inc. (DYN)
Lehman exposure: $70 million Lehman Brothers Commercial Paper commitment
under $1.15 billion revolving credit facility; $850 million letter of
credit facility
Date of disclosure: Sept. 17
Notes: Dynegy doesn't foresee any material adverse effects.

Company: Eagle Rock Energy Partners L.P. (EROC)
Lehman exposure: Lehman unit has 2.6% stake in $176 million senior secured
revolving credit pact
Date of disclosure: Sept. 17
Notes: n/a

Company: Friends Provident (FP.LN)
Lehman exposure: GBP18 million nominal debt, mainly senior debt
Date of disclosure: Sept. 17
Notes: The company expects the ultimate loss from its holdings to be
"substantially lower" than its nominal exposure in part because of taxes
and recoveries.

Company: Grupo Financiero Banorte SAB (GFNORTE.MX)
Lehman exposure: $22 million senior notes, counterparty to $2 million in
interest rate swaps
Date of disclosure: Sept. 17
Notes: The exposure represents 0.07% of Banorte's total assets and 0.6% of
its capital at June 30.

Company: Integrys Energy Group Inc. (TEG)
Lehman exposure: $8 million pretax, or 6 cents a share, if unable to net
certain units' transactions
Date of disclosure: Sept. 17
Notes: Integrys doesn't expect Lehman's bankruptcy to hurt it.

Company: Kinder Morgan Energy Partners LP (KMP)
Lehman exposure: Lehman provides under 5% of the $1.85% credit pact; Lehman
holds under 10% of Rockies Express's $2 billion facility and less than 10%
of Midcontinent Express's $1.4 billion facility; Rockies Express owes less
than $5 million under interest rate swap
Date of disclosure: Sept. 17
Notes: Kinder Morgan owns 50% of each Rockies Express and Midcontinent
Express.

Company: Kingsway Financial Services Inc. (KFS)
Lehman exposure: $17 million fixed income
Date of disclosure: Sept. 17
Notes: n/a

Company: LKQ Corp. (LKQX)
Lehman exposure: two Lehman units funded about $12.4 million under a $610
term loan facility; one Lehman unit committed for $15 million under a $100
million revolving facility
Date of disclosure: Sept. 17
Notes: LKQ doesn't believe Lehman's bankruptcy will have a material
adverse effect.

Company: Meadowbrook Insurance Group Inc. (MIG)
Lehman exposure: preferred stock acquired under the ProCentury Corp. merger
Date of disclosure: Sept. 17
Notes: Meadowbrook expects a pre-tax other than temporary $5.8 million
impairment from Fannie, Freddie and Lehman preferred stock.

Company: Mega Financial Holding Co. Ltd. (2886.TW)
Lehman exposure: $115.7 million in notes through Mega International
Commercial Bank
Date of disclosure: Sept. 17
Notes: n/a

Company: Northern Trust Corp. (NTRS)
Lehman exposure: fixed-income securities, both short- and long-term; equity
securities, mainly related to index strategies
Date of disclosure: Sept. 17
Notes: n/a
Company: Old Mutual (OML.LN)
Lehman exposure: U.S. Life has collateralized counterparty exposure through
derivatives contracts, securities lending deals; $50 million fixed income
and $5.7 million collateralized derivatives at Sept. 12
Date of disclosure: Sept. 17
Notes: Old Mutual said its U.S. exposure isn't material within the context
of Old Mutual as a whole. It doesn't expect the unwinding of its
transactions to have a material impact on its earnings or capital position.

Company: Petroleum Development Corp. (PETD)
Lehman exposure: $21.6 million in Lehman senior notes
Date of disclosure: Sept. 17
Notes: Since August 31, external managers sold $3 million of Lehman senior
debt and realized $1.3 million in proceeds on the sale.

Company: Plains All American Pipeline LP (PAA)
Lehman exposure: "no material credit exposure"
Date of disclosure: Sept. 17
Notes: n/a

Company: Portland General Electric Co. (POR)
Lehman exposure: $55 million commitment from Lehman under $400 million
unsecured credit pact; counterparty with Lehman Brothers Commodity Services
Inc. in some power supply deals
Date of disclosure: Sept. 17
Notes: Portland General will evaluate the need to seek additional credit
from other banks if Lehman doesn't continue to participate in the credit
pact. The company doesn't expect its exposure to Lehman to have any
material adverse effect.

Company: Prudential Financial Inc. (PRU)
Lehman exposure: 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
Date of disclosure: Sept. 17
Notes: Prudential will take a third-quarter impairment charge on its Lehman
holdings.
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Company: Banca Popolare di Milano S.C.A.R.L. (PMI.MI)
Lehman exposure: less than EUR10 million, including equity and counterparty
risk at mark-to-market
Date of disclosure: Sept. 16
Notes: n/a

Company: Banco de Oro Unibank Inc. (BDO.PH)
Lehman exposure: n/a
Date of disclosure: Sept. 16
Notes: Banco de Oro is setting aside PHP3.8 billion to cover losses related
to Lehman and still expects to post a "reasonable" profit for the year.

Company: Bangkok Bank PCL (BBL.TH)
Lehman exposure: THB3.5 billion in short-term bonds
Date of disclosure: Sept. 16
Notes: n/a

Company: Bank Leumi Le Israel (LUMI.TV)
Lehman exposure: $88 million
Date of disclosure: Sept. 16
Notes: Bank Leumi cashed in the week of Sept. 8 on $100 million in
certificates it had in Lehman.

Company: BNP Paribas S.A. (13110.FR)
Lehman exposure: around EUR400 million, including EUR200 million in net
derivative claims, $250 million bank loan, around EUR25 million in letters
of credit and "negligible" securities
Date of disclosure: Sept. 16
Notes: n/a

Company: Boston Properties Inc. (BXP)
Lehman exposure: leases NYC office space (1.4% of Boston's square footage)
with annual gross revenue $44.9 million, lease expires 2016
Date of disclosure: Sept. 16
Notes: Boston Properties expects to establish a $13.2 million reserve
(before Lehman filed for bankruptcy). If Lehman rejects its lease, the
company may recognize a charge equal to the aggregate carrying amount of
leasing commissions, about $8.9 at June 30.

Company: Boussard & Gavaudan Holding Ltd. (BGHL.AE)
Lehman exposure: Doesn't see exposure above 1.1% of Sark Fund's assets
under management if all claims settled; currently, 0.37% of Sark Fund's
assets from trades made Sept. 12; 0.4% of fund's assets via OTC Equity
Derivatives positions; 0.7% of fund's assets through loan in sub
participation through Lehman Commercial Paper Inc.
Date of disclosure: Sept. 16
Notes: Ninety-nine percent of Boussard & Gavaudan's Lehman holdings are in
Sark Fund.

Company: Chiba Bank (8331.TO)
Lehman exposure: Y5 billion in corporate bonds
Date of disclosure: Sept. 16
Notes: n/a

Company: Chinatrust Financial Holding Co. (2891.TW)
Lehman exposure: outstanding notional derivatives of NT$17.73 billion with
unrealized mark-to-market gain of NT$72 million
Date of disclosure: Sept. 16
Notes: n/a

Company: Chuo Mitsui Trust Holdings Inc. (8309.TO)
Lehman exposure: Y15 billion in loans extended
Date of disclosure: Sept. 16
Notes: Chuo Mitsui doesn't expect a major change in its projected Y5
billion credit costs for the first half through September.

Company: Citigroup Inc. (C)
Lehman exposure: "modest"
Date of disclosure: Sept. 16
Notes: n/a

Company: Commonwealth Bank of Australia (CBA.AU)
Lehman exposure: less than A$150 million
Date of disclosure: Sept. 16
Notes: n/a

Company: Credit Agricole S.A. (4507.FR)
Lehman exposure: less than EUR20 million; holds no Lehman bonds
Date of disclosure: Sept. 16
Notes: Credit Agricole expects the costs to replace Lehman collateralized
market transactions to be less than EUR250 million.

Company: DBS Group Holdings Ltd. (D05.SG)
Lehman exposure: "insignificant" direct exposure
Date of disclosure: Sept. 16
Notes: n/a

Company: Ford (F)
Lehman exposure: a Lehman affiliate committed $890 million under an $11.5
billion revolving credit facility; another unit provides $238 million under
$16.3 million facilities supporting the retail securitization program of
Ford Motor Credit Co. LLC.
Date of disclosure: Sept. 16
Notes: n/a

Company: Hertz Global Holdings Inc. (HTZ)
Lehman exposure: "immaterial"
Date of disclosure: Sept. 16
Notes: n/a

Company: ICICI Bank Ltd. (532174.BY)
Lehman exposure: "not material;" U.K. unit holds EUR57 million in senior
bonds
Date of disclosure: Sept. 16
Notes: ICICI's U.K. unit has already made a provision of about $12 million
against investments in the bonds. The unit may need to make an additional
$28 million provision based on a 50% recovery estimate.

Company: ING NV (ING)
Lehman exposure: EUR100 million before tax
Date of disclosure: Sept. 16
Notes: ING's gross lending and bond exposure is about EUR200 million;
considering hedges and collateral, the bank sees a EUR40 million pretax
hit. The company expects to take a EUR60 million hit from derivative
exposure.
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Company: Intesa Sanpaolo SpA (ISP.MI)
Lehman exposure: EUR260 million, including around EUR51 million in on-
balance-sheet loans, EUR3 million in guarantees, bonds for a nominal value
of about EUR166 million and EUR40 million net mark-to-market replacement
risk
Date of disclosure: Sept. 16
Notes: n/a

Company: Investec Capital Accumulator Trust Ltd. (ICA.LN)
Lehman exposure: 9.64% of net asset value at Sept. 12 as counterparty to
ZEBRA investments
Date of disclosure: Sept. 16
Notes: n/a

Company: Janus Capital Group Inc. (JNS)
Lehman exposure: 1.5% of Janus Twenty Fund's assets at end of 2Q
Date of disclosure: Sept. 16
Notes: n/a

Company: Jyske Bank A/S (JYSK.KO)
Lehman exposure: Up to DKK10 million in derivative contracts
Date of disclosure: Sept. 16
Notes: n/a

Company: LaPorte Bancorp Inc. (LPSB)
Lehman exposure: $480,000 carrying value in debt at June 30
Date of disclosure: Sept. 16
Notes: The company intends to record a charge of about $297,000, or 6 cents
a share, due to Lehman's bankruptcy filing.

Company: Lincoln National Corp. (LNC)
Lehman exposure: debt securities with amortized cost $100 million at Aug.
31; about $21 million exposure to counterparty risk on derivative
instruments with Lehman affiliates, net of collateral, at Aug. 31; indirect
exposure through investments in credit-linked notes
Date of disclosure: Sept. 16
Notes: Lincoln National expects third-quarter gross realized losses to be
sequentially higher but doesn't expect the losses to have a material effect
on its financial condition or liquidity.

Company: Macquarie Group Ltd. (MQG.AU)
Lehman exposure: "negligible"
Date of disclosure: Sept. 16
Notes: n/a

Company: Magellan Health Services Inc. (MGLN)
Lehman exposure: no direct exposure
Date of disclosure: Sept. 16
Notes: n/a

Company: Manulife Financial Corp. (MFC)
Lehman exposure: $383 million par value fixed income investments; net
derivatives exposure of $12 million
Date of disclosure: Sept. 16
Notes: n/a

Company: Mediolanum SpA (MED.MI)
Lehman exposure: EUR160 million at Aug. 29 (original nominal value
EUR213 million)
Date of disclosure: Sept. 16
Notes: n/a

Company: Metropolitan Bank & Trust Co. (MBT.PH)
Lehman exposure: PHP959 million (about $20.4 million) in direct bond
exposure; PHP2.4 billion exposure to a Philippine-based unit of Lehman
Date of disclosure: Sept. 16
Notes: Metrobank has set aside a provision equivalent to $14 million using
current market prices.

Company: Mitsubishi UFJ Financial Group Inc. (8306.TO)
Lehman exposure: $235 million net, including a Y183 million loan for
Lehman's Japanese unit, a $35 million loan to the parent company and $42
million in corporate bonds
Date of disclosure Sept. 16
Notes: n/a

Company: Mizuho Financial Group Inc. (8411.TO)
Lehman exposure: total exposure Y40 billion; net exposure less than Y20
billion
Date of disclosure: Sept. 16
Notes: n/a

Company: Mizuho Trust & Banking Co. (8404.TO)
Lehman exposure: Y11.8 billion owed by Lehman (unrecoverable), including
Y10 billion in a credit-link loan and Y1.8 billion in senior corporate
bonds issued by Lehman Holdings
Date of disclosure: Sept. 16
Notes: Mizuho Trust cut its net fiscal year profit view to Y9 billion from
Y21 billion due to uncollectable loans to Lehman.

Company: Munich Re AG (MUV2.XE)
Lehman exposure: EUR350 million, including derivatives used for hedging
Date of disclosure: Sept. 16
Notes: n/a

Company: Natixis (12068.FR)
Lehman exposure: At Sept. 12: EUR21 million net counterparty risk on
Lehman's signature; EUR34 million mark-to-market exposure linked to off-
balance-sheet transactions protected by credit support annexes; counter-
guarantee on a performance swap with EUR40 million placement value; EUR14
million in various counterparty risks; over-collateralized securities
lending transactions with EUR267 million nominal value
Date of disclosure: Sept. 16
Notes: n/a

Company: New York Community Bancorp Inc. (NYB)
Lehman exposure: securities with $37 million book value, including $25
million senior note and two preferred stock issues (acquired in Roslyn
Bancorp Inc. merger) with combined $12 million value
Date of disclosure: Sept. 16
Notes: n/a

Company: NewAlliance Bancshares Inc. (NAL)
Lehman exposure: preferred stock with $195,500 book value
Date of disclosure: Sept. 16
Notes: n/a
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Company: Nordea Bank AB (NDA.SK)
Lehman exposure: "insignificant" capital exposure, has traded as
counterparty in derivatives transactions
Date of disclosure: Sept. 16
Notes: Nordea is replacing most of its derivative contracts currently held
with Lehman with other counterparties and expects the replacement costs to
be "minimal."

Company: Oversea-Chinese Banking Corp. (O39.SG)
Lehman exposure: "not significant"
Date of disclosure: Sept. 16
Notes: n/a

Company: PartnerRE Ltd. (PRE)
Lehman exposure: $110 million face value of fixed income securities,
including $82 million in senior notes and $28 million in subordinated notes
Date of disclosure: Sept. 16
Notes: PartnerRE's Lehman exposure represents less than 1% of its total
investment portfolio.

Company: PPL Corp (PPL)
Lehman exposure: direct net exposure to Lehman Brothers Commodity Services
seen below $2 million; Lehman Bros. Bank has $185 million lending
commitment under $4.74 billion facility at Sept. 15
Date of disclosure: Sept. 16
Notes: n/a

Company: Sempra Energy (SRE)
Lehman exposure: total disclosure to Lehman and AIG expected to be less
than $20 million
Date of disclosure: Sept. 16
Notes: n/a

Company: Shinsei Bank Ltd. (8303.TO)
Lehman exposure: up to Y38 billion, including Y25 billion to the Japanese
entity and Y9 billion in corporate bonds
Date of disclosure: Sept. 16
Notes: n/a

Company: Sumitomo Mitsui Financial Group Inc. (8316.TO)
Lehman exposure: $980 million in loans, $880 million of which is secured;
Y500 million in corporate bonds
Date of disclosure: Sept. 16
Notes: SMFG expects Y10 billion in losses from credits to Lehman.

Company: Sumitomo Trust & Banking Co. (8403.TO)
Lehman exposure: Y6 billion net exposure through derivatives
Date of disclosure: Sept. 16
Notes: Sumitomo doesn't expect any impact on its earnings for the current
fiscal year ending in March.

Company: Swedbank AB (SWED-A.SK)
Lehman exposure: $1.35 billion securities; SEK202 million unsecured,
including SEK80 million in derivatives and bonds with a nominal value of
SEK122 million
Date of disclosure: Sept. 16
Notes: Swedbank doesn't believe any provisions are necessary at this time.

Company: TXU Corp. (TXU)
Lehman exposure: "not material" with respect to units' transactions; units
have been counterparties with Lehman subsidiaries on energy wholesale
marketing deals
Date of disclosure: Sept. 16
Notes: TXU believes that as of Sept. 15 its overall corporate hedging
program isn't materially impacted by the termination of its counterparty
deals with Lehman.

Company: UBS AG (UBS)
Lehman exposure: direct and counterparty exposures, net of hedges,
"substantially closed out"
Date of disclosure: Sept. 16
Notes: UBS doesn't expect the costs associated with closing its Lehman
exposure to exceed $300 million.

Company: Washington Mutual Inc. (WM)
Lehman exposure: de minimus trading exposure
Date of disclosure: Sept. 16
Notes: n/a

Company: Zenith National Insurance Corp. (ZNT)
Lehman exposure: $12 million par value of senior debt securities
Date of disclosure: Sept. 16
Notes: Zenith's Lehman holdings represent less than 0.5% of the company's
total investment portfolio.

Company: Ameriprise Financial Inc. (AMP)
Lehman exposure: $157 million in senior notes (trading at 35% of par
value); will buy up to $100 million in commercial paper (trading at 35% of
par value) to maintain the $1 NAV of money market funds at its RiverSource
Investments unit
Date of disclosure: Sept. 15
Notes: n/a

Company: Assicurazioni Generali SpA (G.MI)
Lehman exposure: EUR110 million in debt, no stocks
Date of disclosure: Sept. 15
Notes: n/a

Company: Banco Santander SA (STD)
Lehman exposure: EUR11 million direct exposure, EUR44.6 million in
derivatives with collateral agreement as guarantee at Sept. 12
Date of disclosure: Sept. 15
Notes: n/a

Company: Bank Hapoalim B.M. (POLI.TV)
Lehman exposure: $109 million, mostly bonds and membership in first-to
default basket; $15 million in net credit default swaps
Date of disclosure: Sept. 15
Notes: Bank Hapoalim said its exposure in credit default swaps was recently
$160 million.

Company: BNP Paribas (13110.FR)
Lehman exposure: "manageable"
Date of disclosure: Sept. 15
Notes: According to Lehman's bankruptcy filing, BNP is owed $250 million
and is one of Lehman's largest creditors.
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Company: Constellation Energy Group Inc. (CEG)
Lehman exposure: several units have contractual relationships with Lehman
Date of disclosure: Sept. 15
Notes: Constellation Energy said Lehman's bankruptcy won't hurt the
company.

Company: Danske Bank A/S (DANSKE.KO)
Lehman exposure: "nothing worth mentioning" for parent company; comfortable
with subsidiary exposure; some trading lines with "significant underlying
securities
Date of disclosure: Sept. 15
Notes: n/a

Company: Exelon Corp. (EXC)
Lehman exposure: less than $30 million pretax direct exposure to Lehman
Brothers Commodity Services Inc.; $7.6 billion in credit facilities with
lenders including Lehman Brothers Bank (Lehman's commitment was $238
million at Sept. 12)
Date of disclosure: Sept. 15
Notes: Exelon said it won't see an adverse material effect from Lehman's
bankruptcy filing.

Company: Fortis (NL) N.V. (30086.AE)
Lehman exposure: direct exposure via EUR137 million in bonds, including
EUR5 million secured; EUR270 million collateralized in reverse repo deals;
EUR7 million negative net profit and loss impact in credit default swaps;
EUR117 million indirect exposure through credit default swaps bought from
Lehman as protection on different companies
Date of disclosure: Sept. 15
Notes: Fortis said the marked-to-market value of off-balance-sheet deals
with Lehman was close to zero and are covered by a Credit Support Annex.

Company: Humana Inc. (HUM)
Lehman exposure: debt securities valued at $25.7 million at Sept. 12; about
$29.2 million of cash collateral under securities lending program invested
in Lehman at Sept. 12; assets related to an interest swap agreement with
Lehman Brothers Special Financing worth about $7.1 million at June 30
Date of disclosure: Sept. 15
Notes: Humana's debt securities invested in Lehman make up about 0.5% of
the company's investment portfolio.

Company: KBC Group NV (KBC.BT)
Lehman exposure: Seen below EUR50 million: EUR145 million purchased bonds;
EUR85 million outstanding credit pacts, of which EUR30 million are secured;
also has indirect exposure in underlying assets of CDOs
Date of disclosure: Sept. 15
Notes: KBC Group owes EUR200 million to Lehman from professional
transactions.

Company: National Australia Bank (NAB.AU)
Lehman exposure: "negligible;" less than A$100 million, including any
exposure held in conduits
Date of disclosure: Sept. 15
Notes: n/a

Company: Constellation Energy Group Inc. (CEG)
Lehman exposure: Lehman's bankruptcy won't have "an adverse effect" on the
company.
Date of disclosure: Sept. 15
Notes: Several Constellation units have contractual relationships with
Lehman units. The company will continue to monitor the situation closely
and will weigh all legal rights appropriately to protect its rights.

Company: Primus Guaranty Ltd. (PRS)
Lehman exposure: $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
Date of disclosure: Sept. 15
Notes: Primus expects to make cash settlement payments to its transaction
counterparties. The company doesn't expect to have to make payments on its
CDS in the bespoke tranche portfolios but sees capital requirements
associated with each tranche increasing as a result of reduced tranche
subordination. Primus intends to continue swap contracts to maturity until
their mark-to-market value is zero.

Company: SEB SA (12170.FR)
Lehman exposure: EUR64 million, not related to shares or subordinated debt
Date of disclosure: Sept. 15
Notes: n/a

Company: Skandinaviska Enskilda Banken AB (SEB-A.SK)
Lehman exposure: EUR64 million in bond claims, none related to shares or
subordinated debt issued by the parent company
Date of disclosure: Sept. 15
Notes: n/a

Company: Storebrand ASA (STB.OS)
Lehman exposure: n/a
Date of disclosure: Sept. 15
Notes: Storebrand Livsforsikring AS booked a NOK72 million loss Monday,
including NOK69 million in its customer portfolio and NOK3 million in its
company portfolio. The loss represents less than 0.05% of the company's
insurance reserves. SPP's equity holding in Lehman shares resulted in a
NOK1.2 million booked loss.

Company: Sun Life Financial Inc. (SLF)
Lehman exposure: C$334 million par value of bond securities; C$15 million
net value of derivative instruments; holds collateral security for net
derivative exposure
Date of disclosure: Sept. 15
Notes: Sun Life will book a third-quarter charge in connection with its
Lehman holdings. Most of Sun Life's exposure is held in segments backing
liabilities.

Company: UniCredit SpA (UCG.MI)
Lehman exposure: "very limited," "close to zero"
Date of disclosure: Sept. 15
Notes: n/a

Company: United Overseas Bank Ltd. (U11.SG)
Lehman exposure: "very small and insignificant"
Date of disclosure: Sept. 15
Notes: n/a
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Company: Wachovia Corp. (WB)
Lehman exposure: 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
Date of disclosure: Sept. 15
Notes: Wachovia will support the value of the Lehman credit in the three
Evergreen funds to keep them close to a $1 share price.

Company: Wells Fargo & Co. (WFC)
Lehman exposure: $199 million, including $109 million in notes and $90
million in preferred stock; $50 million in unsecured counterparty exposure;
no direct lending exposure
Date of disclosure: Sept. 15
Notes: Wells Fargo will record a non-cash charge to third-quarter earnings.
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