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Table Of Contents

2. Valuation
a) Executive Summary
(1) Scope of Examination
(2) Summary of Applicable Legal Standards
(3) Summary of Findings and Conclusions
(1) Overview of Lehman’s CRE Portfolio
(a) Summary of Portfolio
(b) Overview of Valuation of CRE Portfolio
(i) GREG Leaders
(ii) Participants in the Valuation Process
(c) Changes in the CRE Portfolio from 2006 through 2008
(d) “Perfect Storm” Impact on CRE Valuation in 2008
(2) Outside Review of Lehman’s CRE Valuation Process
(a) SEC
(b) Ernst & Young
c) Senior Management’s Involvement in Valuation
(a) Senior Management’s Account
(b) Paul Hughson’s Account
(c) Other Accounts
(1) Executive Summary
(2) Lehman’s Valuation Process for its Commercial Book
(a) As of the Second Quarter of 2008
(b) As of the Third Quarter of 2008
(2) Overview of Lehman’s PTG Portfolio
(4) Lehman’s Valuation Process for Its PTG Portfolio
(i) Lehman’s Issues with TriMont’s Data
(b) The Effect of Not Marking to Market‐Based Yield
(2) Lehman’s Acquisition of Archstone
(a) Background on Archstone
(iii) Bridge and Permanent Equity at Closing
(iv) Capital Structure at Closing
(v) Price Flex
(vi) Standard & Poor’s Credit Rating
(3) Lehman’s Valuation of Archstone
(a) Valuation Between Commitment and Closing
(b) Valuation as of the Closing Date
(c) Valuation as of the Fourth Quarter of 20071442
(d) Valuation Issues During the First Quarter of 20081448
(i) Barron’s Article
a. Archstone’s Response to the Barron’s Article
b. Lehman’s Response to the Barron’s Article
(ii) January 2008 Archstone Update
(iii) Valuation as of February 29, 2008
(e) Valuation Issues During the Second Quarter of 20081512
(i) March 2008 Archstone Update
(ii) March 2008 Valuation
(iii) April 2008 Downgrade by S&P
(iv) Einhorn Speech in April 2008
(v) May 2008 Valuation
(vi) Second Quarter 2008 Earnings Conference Call
(vii) Lehman’s Revised Plan to Sell Archstone Positions
(f) Valuation Issues During the Third Quarter of 20081574
(i) Discussion Among Lenders in July 2008
(ii) August 2008 Valuation
(g) Product Control’s Review of Archstone Valuations
(a) Discounted Cash Flow Valuation Method
(i) Rent Growth
a. Net Operating Income
b. Sensitivity Analysis
(ii) Exit Capitalization Rate
(iii) Exit Platform Value
(iv) Discount Rate
(b) Sum of the Parts Method
(c) Comparable Company Method
(a) Reasonableness as of the Fourth Quarter of 2007
(b) Reasonableness as of the First Quarter of 2008
(iv) Sum of the Parts
(v) DCF Method
(c) Reasonableness as of the Second Quarter of 2008
(i) Second Quarter Earnings Call
(ii) Sum of the Parts
(iii) DCF Model
(iv) Rent Growth
(v) Exit Capitalization Rate
(vi) Quantification of Changes in Assumptions
(d) Reasonableness as of the Third Quarter of 2008
(i) Sum of the Parts
(ii) DCF Method
(iii) Rent Growth
(iv) Exit Capitalization Rate
(v) Quantification of Changes in Assumptions
(1) Residential Whole Loans Overview
(2) Lehman’s U.S. Residential Whole Loans in 2008
(3) Lehman’s Valuation Process for its Residential Whole Loans
(a) Lehman’s May 2008 Price Testing
(b) Lehman’s August 2008 Price Testing
i) Examiner’s Analysis of the Valuation of Lehman’s CDOs
(1) Lehman’s Price Testing Process for CDOs
(2) Price Testing Results for the Second and Third Quarters 2008
(a) Lehman’s Price Testing of its Ceago CDOs
(3) Lehman’s Price Testing of its Derivatives Positions
(1) Overview of Lehman’s Corporate Debt Positions
(2) Lehman’s Price Testing of its Corporate Debt Positions
(a) Reliance on Non‐Trades
(b) Quality Control Errors – Mismatched Companies
(c) No Testing of Internal Credit Rating
(1) Overview of Lehman’s Corporate Equities Positions
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Published by: lion1king1 on Nov 10, 2011
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