Hall, Brandon

Stefansson, Coryann S.

Yale University

Yale University EliScholar – A Digital Platform for Scholarly Publishing at Yale YPFS Documents Browse by Media Type 9-14-2008 Federal Reserve Bank Email from Coryann Stefansson to Brandon Hall Re Reverse Couterparty Analysis I Lehman Brothers Coryann S. Stefansson Brandon Hall Follow this and additional works at: https://elischolar.library.yale.edu/ypfs-documents Recommended Citation Stefansson, Coryann S. and Hall, Brandon, "Federal Reserve Bank Email from Coryann Stefansson to Brandon Hall Re Reverse Couterparty Analysis I Lehman Brothers" (2008). YPFS Documents. 5527. https://elischolar.library.yale.edu/ypfs-documents/5527 This Document is brought to you for free and open access by the Browse by Media Type at EliScholar – A Digital Platform for Scholarly Publishing at Yale. It has been accepted for inclusion in YPFS Documents by an authorized administrator of EliScholar – A Digital Platform for Scholarly Publishing at Yale. For more information, please contact elischolar@yale.edu. From: Coryann StefanssonTo: Brandon HallSubject: Re: Reverse Counterparty Analysis I (Lehman Brothers)Date: 09/14/2008 08:56 PMCan u send the table as an attachment so we can see on bb?Thanks so very very much!! And good work!!Coryann StefanssonAssociate DirectorBank Supervision and Regulation  Brandon Hall ----- Original Message -----From: Brandon HallSent: 09/14/2008 08:37 PM EDTTo: BSR LFICCc: Dianne Dobbeck; Richard CahillSubject: Reverse Counterparty Analysis I (Lehman Brothers)RESTRICTED FRThis note summarizes the results of a Reverse Counterparty Analysisfor Lehman Brothers. We examined LFI exposures to Lehman Brothersin comparison with Lehman's own view of its counterparty payables tothe LFIs.  Via this comparison, it is possible to draw out majordiscrepancies regarding key counterparty exposure names andmagnitudes.  The Lehman version below represents the first of a multi-part analysis, which will also encompass  forward.---According to the firm’s data, Lehman has $24.6B in counterparty currentexposure payables to the market.  By sector, nearly half (45%) ofLehman’s payables are to hedge funds, with 16% payable tocommercial banks. LFI payables amount to $818MM or 3% of total.(USD Millions)Lehman’s view of its LFI exposure payables ($818MM) differs from theLFIs’ view of exposure receivables ($2.0B) -- just over $1B MTM.  Asignificant portion of this $1B gap is potentially explained by collateralnetting, differences in metric, and/or collateral valuation differences.  Wedo not perceive this difference between LEH's view and that of the LFIsto be significant.Material RedactedHIGHLY CONFIDENTIAL FRB to LEH Examiner 001363FCIC-155014Specifically (see table below),-SocGen reports $662MM in exposure to Lehman, while Lehmanreports a nearly flat position of $9MM, possibly explained by adifference in exposure metric as well as collateral netting.-Credit Suisse reports $179MM, while Lehman reports $38MM,possibly due to collateral netting.-BNP Paribas reports $742MM in exposure, whereas Lehmanreports $294MM, possibly due to a difference in metric.It should be noted that estimates of counterparty risk and exposures areextremely fluid.  For example, JPMC reports today that they do not haveconfidence in a MTM number, given the dynamics of how underlyingrisk factors will react when markets open tomorrow.(USD Millions)Please call with any questions,Brandon Hall and Jordan Pollinger____________________________________Brandon J. HallCounterparty Credit Risk Monitoring & AnalysisFederal Reserve Bank of New York33 Liberty St.  |  New York, NY 10045P: 212-720-1349F: 212-720-1468E: brandon.hall@ny.frb.orgHIGHLY CONFIDENTIAL FRB to LEH Examiner 001364FCIC-155015

Federal Reserve Bank Email from Coryann Stefansson to Brandon Hall Re Reverse Couterparty Analysis I Lehman Brothers

https://elischolar.library.yale.edu/context/ypfs-documents/article/6575/viewcontent/2008_09_14_Federal_Reserve_Bank_Email_from_Coryann_Stefansson_to_Brandon_Hall_Re_Reverse_Couterparty_Analysis_I_Lehman_Brothers.pdf

Federal Reserve Bank Email from Coryann Stefansson to Brandon Hall Re Reverse Couterparty Analysis I Lehman Brothers

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