Further to the recent developments Fortis wishes to detail its estimated exposure to Lehman Brothers as of today 15th September:
Direct Exposure
§ EUR 137 million exposure in bonds (of which EUR 5 million in secured bonds).
§ There are no outstandings under the credit facility made available to Lehman Brothers.
§ The marked to market value of transactions done with Lehman under Off Balance Sheet Instruments (OBI) (forex, IRS, etc...) is close to zero, as the operations done are covered by a Credit Support Annex (CSA), with zero threshold.
§ Collateralised exposures in Reverse Repo transactions (cash provided in return for collateral) of EUR 270 million with quality collateral unrelated to Lehman.
§ Credit Default Swap (CDS): Fortis bought and sold protection on Lehman Brothers which results in a negative net profit and loss impact of EUR 7 million.
Indirect Exposure
§ Credit Default Swap (CDS):
o Fortis bought from Lehman protection on different companies ( not Lehman related) for an amount of Euro 117 million. This is covered by a Credit Support Annex (CSA)
Fortis is an international provider of banking and insurance services to personal, business and institutional customers. We deliver a total package of financial products and services through our own high-performance channels and via intermediaries and other partners. We have a presence in over 50 countries and a dedicated, professional workforce of more than 65,000. All this makes us a leader in financial services in Europe, a top 3 private banker and a top tier asset manager. More information is available at www.fortis.com.
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