SOURCE: Natixis

September 16, 2008 01:07 ET

NATIXIS : Natixis' Exposure to Lehman Brothers

PARIS--(Marketwire - September 16, 2008) - Following the announcement of Lehman Brothers Holdings Inc. that it was filing for a Chapter 11 bankruptcy protection, Natixis hereby details its estimated counterparty risk exposure on the Lehman group as at September 12, 2008:

- no exposure in the form of deposits or interbank loans;

- a net risk on Lehman's signature of EUR 21 million;

- a EUR 34 million mark-to-market exposure linked to transactions executed on off-balance sheet instruments protected by CSAs (Credit Support Annexes);

- a counter-guarantee on a performance swap of which the placement value is estimated at EUR 40 million;

- various counterparty risks for a total of EUR 14 million;

- moreover, securities lending transactions for a nominal value of EUR 267 million, which are over-collateralized by portfolios of liquid securities or cash that currently protect Natixis from all counterparty risk on these transactions.

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