HighlyConfidentialNewYorkFedInformation

Derivatives:Top25CounterpartiesbyCurrentExposure(toLehman)

MINISTRYOFFINANCEITALy(1)CENTRALGOVERNMENTDEPAF/,877,705,4285,300,199,09216

FINANCELLC

(2)

MISCFINANCECOMPANIES,445,411,6222,853,560,00044PYXISABSCDO2007-1LTDSPECIALPURPOSEVEHICLE,085,468,9301,128,255,088125LIBRACDOLIMITEDSPECIALPURPOSEVEHICLE889,296,844961,100,000146MKP

VELA

CBOLTDSPECIALPURPOSEVEHICLE877,139,813981,300,000110CENTRALBANKOFNORWAY(NORGESBANK)CENTRALBANK543,407,412726,774,2261,560KBCINVESTMENTSCAYMANISLANDSVLTDSPECIALPURPOSEVEHICLE434,999,565500,000,0001

BALLYROCKABS

CDO2007-1LTDSPECIALPURPOSEVEHICLE391,688,893420,107,860108CANADIANNATURALRESOURCESOIL/GASCOMPANY378,886,954484,144,36726

FINANCIALMARKETSGENERALMANUFACTURER368,636,262511,546,307110PORTFOLIOCDSTRUST187FINANCIALGUARANTOR356,935,264390,000,0001TEXASCOMPETITIVEELECTRICHOLDINGSCOLLCUTILITY-INVeSTOROWNEDIIND334,430,8171,058,813,1528PRESIDENTANDFELLOWSOFHARVARDCOLLEGECOLLEGES/UNIVERSITIES298,332,459320,805,021200MINISTRYOFFINANCEGERMANYCENTRALGOVERNMENTDEPAF291,381,844409,565,52162DEUTSCHEBANKAGCOMMERCIALBANK282,929,9231,479,532,33659,149

lA-GR

FINANCIALPRODUCTSINCFINANCIALGUARANTOR275,241,722363,679,60575EUROPEANINVESTMENTBANKSUPRANATIONALS-MULTIGOV·268,426,336524,777,67522MIZUHOINTERNATIONALPLCBROKERDEALERGENERAL260,448,649713,670,6278,820CHESAPEAKEENERGYCORPORATIONOIL/GASCOMPANY247,191,751998,987,814268CALYONCOMMERCIALBANK224,813,0451,072,058,2997,397JPMORGANCHASEBANK

COMMERCIALBANK213,430,9451,323,309,45853,036LINNENERGYLLCOIL/GASCOMPANY206,890,834417,793,88430RUBYFINANCE2008-01LEHMANSPECIALPURPOSEVEl32,538,83083,349,7825MORGANSTANLEYCAPITALSERVICESINCBROKERDEALERGENERAL173,020,831675,032,74440,283

801

GRANDCDOSPCSERIES2006-1LEHMANSPECIALPURPOSEVEl172,872,191280,000,0009

(1)

Exposurereportedabovedoesnotreflecthedgeswehaveagainstourexposure,including

,899moflongcreditprotection.ActualCCEandMPEnetofhedgeswas$979mand$3,401mrespectively.

(2)

Exposurereportedabovedoesnotreflect$710mofCDShedgeswehaveagainstourexposure.ActualCCEandMPEnetofhedgeswas$735m

and

$2,144mrespectively.

Derivatives:Top25CounterpartiesbyDealCount

DEUTSCHEBANKAGCOMMERCIALBANK282,929,9231,479,532,33659,149JPMORGANCHASEBANK

COMMERCIALBANK213,430,9451,323,309,45853,036

UBSAG

COMMERCIALBANK43,451,528832,278,36944,619MORGANSTANLEYCAPITALSERVICESINCBROKERDEALERGENERAL173,020,831675,032,74440,283BARCLAYS

BANK

PLCCOMMERCIALBANK100,126,4751,251,248,91036,912CITIBANK

COMMERCIALBANK91,846,896803,947,30124,816BANKOF

AMERICA

NATIONALASSOCIATIONCOMMERCIALBANK56,293,979579,257,11223,188ROYALBANKOFSCOTLANDPLC(THE)COMMERCIALBANK19,025,877602,471,31422,294GOLDMANSACHSINTERNATIONALBROKERDEALERGENERAL77,233,888371,902,20118,896BNPPARIBASCOMMERCIALBANK147,175,943863,927,53418,609MERRILLLYNCHINTERNATIONALBROKERDEALERGENERAL20,279,730310,953,51617,289BEARSTEARNSCREDITPRODUCTSINCBROKERDEALERGENERAL

37642335244056042

16890

SOCIETEGENERALECOMMERCIALBANK76,542,624860,358,85812,021MIZUHOINTERNATIONALPLCBROKERDEALERGENERAL260,448,649713,670,6278,820

~ B N

AMRO

BANKNVCOMMERCIALBANK22,229,930640,963,8327,854CALYONCOMMERCIALBANK224,813,0451,072,058,2997,397HSBCBANK

USA

COMMERCIALBANK82,175,344222,959,7235,781DRESDNERBANKAGCOMMERCIALBANK70,254,161327,842,6705,767

~ I G

INTERNATIONALINCINSURANCE-LIFE/HEALTH16,627,23248,771,3675,445BANKOFTOKYOMITSUBISHIUFJLTDCOMMERCIALBANK76,077,755134,075,0064,103NATIXISCOMMERCIALBANK52,039,309350,333,6113,799WACHOVIABANKNATIONALASSOCIATIONCOMMERCIALBANK27,151,940367,121,8283,375MORGANSTANLEYCAPITALGROUP,INC.BROKER/DEALER

C O M M O D I T I E ~