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全书免费下载：是谁杀死了雷曼：雷曼破产报告[阳民资料库2010年新书]
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EXAMINER’S REPORT
TABLE OF CONTENTS
VOLUME 1
Introduction, Sections I & II: Executive Summary & Procedural Background
Introduction ..................................................................................................................................2
I. Executive Summary of The Examiner’s Conclusions ......................................................15
A. Why Did Lehman Fail? Are There Colorable Causes of Action That Arise
From Its Financial Condition and Failure?..................................................................15
B. Are There Administrative Claims or Colorable Claims For Preferences or
Voidable Transfers? ........................................................................................................24
C. Do Colorable Claims Arise From Transfers of LBHI Affiliate Assets to
Barclays, or From the Lehman ALI Transaction?.......................................................26
II. Procedural Background and Nature of the Examination................................................28
A. The Examiner’s Authority .............................................................................................28
B. Document Collection and Review................................................................................30
C. Systems Access ................................................................................................................33
D. Witness Interview Process.............................................................................................35
E. Cooperation and Coordination With the Government and Parties ........................37
Section III.A.1: Risk
III. Examiner’s Conclusions.......................................................................................................43
A. Why Did Lehman Fail? Are There Colorable Causes of Action That Arise
From Its Financial Condition and Failure?..................................................................43
1. Business and Risk Management .............................................................................43
a) Executive Summary............................................................................................43
(1) The Examiner Does Not Find Colorable Claims That Lehman’s
Senior Officers Breached Their Fiduciary Duty of Care by
Failing to Observe Lehman’s Risk Management Policies and
Procedures......................................................................................................47
(2) The Examiner Does Not Find Colorable Claims That Lehman’s
Senior Officers Breached Their Fiduciary Duty to Inform the
Board of Directors Concerning The Level of Risk Lehman Had
Assumed.........................................................................................................52
(未完待续)

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续1:
(3) The Examiner Does Not Find Colorable Claims That Lehman’s
Directors Breached Their Fiduciary Duty by Failing to Monitor
Lehman’s Risk‐Taking Activities................................................................54
b) Facts.......................................................................................................................58
(1) From Moving to Storage: Lehman Expands Its Principal
Investments....................................................................................................58
(a) Lehman’s Changed Business Strategy .................................................59
(b) The Increased Risk From Lehman’s Changed Business
Strategy.....................................................................................................62
(c) Application of Risk Controls to Changed Business Strategy ...........65
(i) Stress Testing Exclusions ................................................................66
(ii) Risk Appetite Limit Increase For Fiscal 2007...............................70
(iii) Decision Not To Enforce Single Transaction Limit.....................73
(d) The Board’s Approval of Lehman’s Growth Strategy.......................76
(2) Lehman Doubles Down: Lehman Continues Its Growth Strategy
Despite the Onset of the Subprime Crisis..................................................78
(a) Lehman’s Residential Mortgage Business...........................................82
(i) Lehman Decides to Curtail Subprime Originations but
Continues to Pursue “Alt‐A” Originations..................................82
(ii) The March 20, 2007 Board Meeting...............................................90
(b) The Explosion in Lehman’s Leveraged Loan Business .....................95
(i) Relaxation of Risk Controls to Accommodate Growth of
Lehman’s Leveraged Loans Business ...........................................97
(c) Internal Opposition to Growth of Leveraged Loans Business .......100
(d) Growth of Lehman’s Commercial Real Estate Business at the
Start of the Subprime Crisis.................................................................103
(i) Relaxation of Risk Controls to Accommodate Growth of
Lehman’s Commercial Real Estate Business..............................105
(ii) Internal Opposition to Growth of Commercial Real
Estate Business ...............................................................................107
(iii) Archstone ........................................................................................108
a. Lehman’s Commitment............................................................108
b. Risk Management of Lehman’s Archstone
Commitment..............................................................................112
(e) Nagioff’s Replacement of Gelband as Head of FID.........................114
(f) The Board of Directors’ Awareness of Lehman’s Increasing
Risk Profile .............................................................................................116
(未完待续)

续2:
(3) Early Warnings: Risk Limit Overages, Funding Concerns, and
the Deepening Subprime Crisis ................................................................117
(a) Nagioff and Kirk Try to Limit Lehman’s High Yield Business......119
(b) July‐August 2007 Concerns Regarding Lehman’s Ability to
Fund Its Commitments ........................................................................123
(c) Lehman Delays the Archstone Closing .............................................128
(d) Lehman Increases the Risk Appetite Limit to Accommodate
the Additional Risk Attributable to the Archstone
Transaction.............................................................................................131
(e) Cash Capital Concerns .........................................................................134
(f) Lehman’s Termination of Its Residential Mortgage
Originations ...........................................................................................138
(g) September, October, and November 2007 Meetings of Board
of Directors.............................................................................................139
(i) Risk Appetite Disclosures.............................................................139
(ii) Leveraged Loan Disclosures ........................................................144
(iii) Leverage Ratios and Balance Sheet Disclosures........................147
(iv) Liquidity and Capital Disclosures...............................................148
(4) Late Reactions: Lehman Slowly Exits Its Illiquid Real Estate
Investments..................................................................................................150
(a) Fiscal 2008 Risk Appetite Limit Increase ...........................................152
(b) January 2008 Meeting of Board of Directors .....................................154
(c) Executive Turnover...............................................................................156
(d) Commercial Real Estate Sell‐Off: Too Little, Too Late ...................157
(e) Lehman’s Compensation Practices.....................................................161
c) Analysis ..............................................................................................................163
(1) The Examiner Does Not Find Colorable Claims That Lehman’s
Senior Officers Breached Their Fiduciary Duty of Care by
Failing to Observe Lehman’s Risk Management Policies and
Procedures....................................................................................................164
(a) Legal Standard.......................................................................................164
(b) Background............................................................................................166
(i) Countercyclical Growth Strategy with Respect to
Residential Mortgage Origination...............................................171
(ii) Lehman’s Concentration of Risk in Its Commercial Real
Estate Business ...............................................................................172
(iii) Concentrated Investments in Leveraged Loans........................175
(iv) Firm‐Wide Risk Appetite Excesses..............................................179
(v) Firm‐Wide Balance Sheet Limits .................................................181
(vi) Stress Testing ..................................................................................181
(vii) Summary: Officers’ Duty of Care..............................................182
(2) The Examiner Does Not Find Colorable Claims That Lehman’s
Senior Officers Breached Their Fiduciary Duty to Inform the
Board of Directors Concerning the Level of Risk Lehman Had
Assumed.......................................................................................................183
(3) The Examiner Does Not Find Colorable Claims That Lehman’s
Directors Breached Their Fiduciary Duty by Failing to Monitor
Lehman’s Risk‐Taking Activities..............................................................188
(a) Lehman’s Directors are Protected From Duty of Care
Liability by the Exculpatory Clause and the Business
Judgment Rule.......................................................................................188
(b) Lehman’s Directors Did Not Violate Their Duty of Loyalty ..........190
(c) Lehman’s Directors Did Not Violate Their Duty to Monitor .........191
(i) Application of Caremark to Risk Oversight: In re Citigroup
Inc. ....................................................................................................191
(ii) Application of Caremark and Citigroup to Lehman’s
Directors ..........................................................................................193
VOLUME 2
Section III.A.2: Valuation
2. Valuation ..................................................................................................................203
a) Executive Summary..........................................................................................203
(1) Scope of Examination .................................................................................210
(2) Summary of Applicable Legal Standards................................................212
(3) Summary of Findings and Conclusions...................................................214
b) Overview of Valuation of Lehman’s Commercial Real Estate
Portfolio ..............................................................................................................215
(1) Overview of Lehman’s CRE Portfolio......................................................217
(a) Summary of Portfolio ...........................................................................217
(b) Overview of Valuation of CRE Portfolio ...........................................220
(i) GREG Leaders ................................................................................220
(ii) Participants in the Valuation Process .........................................220
(c) Changes in the CRE Portfolio from 2006 through 2008...................223
(d) “Perfect Storm” Impact on CRE Valuation in 2008..........................227
(2) Outside Review of Lehman’s CRE Valuation Process...........................232
(a) SEC ..........................................................................................................233
(b) Ernst & Young .......................................................................................237
c) Senior Management’s Involvement in Valuation.........................................241
(1) Senior Management’s General Role With Respect to CRE
Valuation ......................................................................................................243
(2) Senior Management’s Involvement in Valuation in the Second
Quarter of 2008 ............................................................................................245
(3) Senior Management’s Involvement in Valuation in the Third
Quarter of 2008 ............................................................................................247
(a) Senior Management’s Account ...........................................................248
(b) Paul Hughson’s Account .....................................................................253
(c) Other Accounts......................................................................................254
(4) Examiner’s Findings and Conclusions With Respect to Senior
Management’s Involvement in CRE Valuation......................................265
d) Examiner’s Analysis of the Valuation of Lehman’s Commercial
Book ....................................................................................................................266
(未完待续)

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(1) Executive Summary....................................................................................266
(2) Lehman’s Valuation Process for its Commercial Book .........................270
(3) Examiner’s Findings and Conclusions as to the Reasonableness
of Lehman’s Valuation of Its Commercial Book.....................................274
(a) As of the Second Quarter of 2008 .......................................................274
(b) As of the Third Quarter of 2008 ..........................................................282
e) Examiner’s Analysis of the Valuation of Lehman’s Principal
Transactions Group ..........................................................................................285
(1) Executive Summary....................................................................................285
(2) Overview of Lehman’s PTG Portfolio......................................................292
(3) Evolution of Lehman’s PTG Portfolio From 2005 Through 2008.........296
(4) Lehman’s Valuation Process for Its PTG Portfolio.................................303
(a) The Role of TriMont in the Valuation Process for Lehman’s
PTG Portfolio .........................................................................................306
(i) Lehman’s Issues with TriMont’s Data ........................................311
(ii) Lehman Changed Its Valuation Methodology for Its PTG
Portfolio in Late 2007.....................................................................312
(b) The Role of Lehman’s PTG Business Desk in the Valuation
Process for Lehman’s PTG Portfolio ..................................................319
(c) The Role of Lehman’s Product Control Group in Price
Testing the Valuation of Lehman’s PTG Portfolio ...........................321
(d) The Influence of Lehman’s PTG Business Desk upon the
Price Testing Function of Lehman’s Product Control Group.........326
(5) The Examiner’s Findings and Conclusions as to the
Reasonableness of Lehman’s Valuation of PTG Portfolio.....................329
(a) Lehman Did Not Mark PTG Assets to Market‐Based Yield ...........331
(b) The Effect of Not Marking to Market‐Based Yield...........................337
(i) Effect of Cap * 105 Not Marking to Market‐Based Yield .........337
(ii) Effect of IRR Models Not Marking to Market‐Based
Yield.................................................................................................342
(iii) Effect of Product Control Price Testing Not Marking to
Market‐Based Yield .......................................................................349
(iv) Effect of Modifying TriMont’s Data in the Third Quarter
of 2008..............................................................................................351
(c) Examiner’s Findings and Conclusions as to the Effect of Not
Marking Lehman’s PTG Portfolio to Market‐Based Yield..............353
f) Examiner’s Analysis of the Valuation of Lehman’s Archstone
Positions .............................................................................................................356
(1) Executive Summary....................................................................................356
(2) Lehman’s Acquisition of Archstone.........................................................364
(a) Background on Archstone ...................................................................364
(b) Acquisition of Archstone .....................................................................365
(i) Analyst Reaction ............................................................................367
(ii) Lehman’s Syndication Efforts ......................................................370
(iii) Bridge and Permanent Equity at Closing...................................374
(iv) Capital Structure at Closing .........................................................375
(v) Price Flex .........................................................................................377
(vi) Standard & Poor’s Credit Rating .................................................380
(3) Lehman’s Valuation of Archstone............................................................382
(a) Valuation Between Commitment and Closing.................................386
(b) Valuation as of the Closing Date ........................................................388
(c) Valuation as of the Fourth Quarter of 2007.......................................390
(d) Valuation Issues During the First Quarter of 2008...........................391
(i) Barron’s Article ..............................................................................391
a. Archstone’s Response to the Barron’s Article.......................392
b. Lehman’s Response to the Barron’s Article ..........................394
(ii) January 2008 Archstone Update..................................................396
(iii) Valuation as of February 29, 2008................................................399
(iv) First Quarter 2008 Earnings Call and Lenders’
Discussion Regarding Modifying the Archstone Strategy ......401
(e) Valuation Issues During the Second Quarter of 2008......................402
(i) March 2008 Archstone Update ....................................................402
(ii) March 2008 Valuation ...................................................................404
(iii) April 2008 Downgrade by S&P....................................................407
(iv) Einhorn Speech in April 2008.......................................................407
(v) May 2008 Valuation.......................................................................408
(vi) Second Quarter 2008 Earnings Conference Call........................411
a. Preparation and Lehman’s Methods of Analyzing
Reasonableness of Valuations Prior to the Call ....................411
b. Discussion During the Second Quarter 2008 Earnings
Call ..............................................................................................412
(vii) Lehman’s Revised Plan to Sell Archstone Positions................414
(f) Valuation Issues During the Third Quarter of 2008.........................416
(i) Discussion Among Lenders in July 2008....................................417
(ii) August 2008 Valuation..................................................................417
(g) Product Control’s Review of Archstone Valuations........................418
(4) Examiner’s Analysis of Lehman’s Valuation Process for its
Archstone Positions ....................................................................................419
(a) Discounted Cash Flow Valuation Method........................................421
(i) Rent Growth ...................................................................................422
a. Net Operating Income..............................................................426
b. Sensitivity Analysis...................................................................429
(ii) Exit Capitalization Rate..................................................................431
(iii) Exit Platform Value .......................................................................433
(iv) Discount Rate..................................................................................436
(b) Sum of the Parts Method .....................................................................438
(c) Comparable Company Method ..........................................................440
(i) Potential Overvaluation Based on Primary Comparable
Companies ......................................................................................445
(5) Examiner’s Analysis of the Reasonableness of Lehman’s
Valuation of its Archstone Positions on a Quarterly Basis ...................446
(a) Reasonableness as of the Fourth Quarter of 2007.............................446
(b) Reasonableness as of the First Quarter of 2008.................................449
(i) Barron’s Article ..............................................................................450
(ii) Discussions Among Archstone, Tishman and Lenders ...........458
(iii) Lehman’s Valuation During the First Quarter of 2008.............459
(iv) Sum of the Parts .............................................................................460
(v) DCF Method ....................................................................................464
(vi) Examiner’s Findings and Conclusions as to the
Reasonableness of Lehman’s Archstone Valuation as of
the End of the First Quarter of 2008 ............................................466
(c) Reasonableness as of the Second Quarter of 2008............................468
(i) Second Quarter Earnings Call ........................................................469
(ii) Sum of the Parts ..............................................................................476
(iii) DCF Model......................................................................................477
(iv) Rent Growth ...................................................................................478
(v) Exit Capitalization Rate..................................................................479
(vi) Quantification of Changes in Assumptions...............................480
(vii) Examiner’s Findings and Conclusions as to the
Reasonableness of Lehman’s Archstone Valuation as of
the End of the Second Quarter of 2008 .......................................481
(未完待续)

续4:
(d) Reasonableness as of the Third Quarter of 2008...............................484
(i) Sum of the Parts................................................................................487
(ii) DCF Model.......................................................................................488
(iii) Rent Growth ...................................................................................489
(iv) Exit Capitalization Rate.................................................................490
(v) Quantification of Changes in Assumptions ................................491
(vi) Examiner’s Findings and Conclusions as to the
Reasonableness of Lehman’s Archstone Valuation as of
the End of the Third Quarter of 2008 ..........................................492
g) Examiner’s Analysis of the Valuation of Lehman’s Residential
Whole Loans Portfolio......................................................................................494
(1) Residential Whole Loans Overview.........................................................494
(2) Lehman’s U.S. Residential Whole Loans in 2008 ...................................497
(3) Lehman’s Valuation Process for its Residential Whole Loans..............501
(a) Lehman’s May 2008 Price Testing ......................................................504
(b) Lehman’s August 2008 Price Testing .................................................515
(4) Examiner’s Independent Valuation of Lehman’s Residential
Whole Loans Portfolio................................................................................520
(5) Examiner’s Findings and Conclusions With Respect to the
Reasonableness of Lehman’s Valuation of Its Residential Whole
Loans Portfolio ............................................................................................525
(h) Examiner’s Analysis of the Valuation of Lehman’s RMBS Portfolio ........527
(i) Examiner’s Analysis of the Valuation of Lehman’s CDOs.........................538
(1) Lehman’s Price Testing Process for CDOs..............................................543
(2) Price Testing Results for the Second and Third Quarters 2008............551
(a) Lehman’s Price Testing of its Ceago CDOs.......................................553
(3) Examiner’s Review of Lehman’s Largest U.S. ABS/CRE CDO
Positions .......................................................................................................562
(4) Examiner’s Findings and Conclusions With Respect to the
Reasonableness of Lehman’s Valuation of its CDOs.............................567
(j) Examiner’s Analysis of the Valuation of Lehman’s Derivatives
Positions .............................................................................................................568
(1) Overview of Lehman’s Derivatives Positions.........................................568
(2) Lehman’s Use of Credit Support Annexes to Mitigate
Derivatives Risk ..........................................................................................574
(3) Lehman’s Price Testing of its Derivatives Positions ..............................578
(k) Examiner’s Analysis of the Valuation of Lehman’s Corporate Debt
Positions .............................................................................................................583
(1) Overview of Lehman’s Corporate Debt Positions .................................583
(2) Lehman’s Price Testing of its Corporate Debt Positions.......................585
(3) Examiner’s Findings and Conclusions With Respect to the
Valuation of Lehman’s Corporate Debt Positions..................................589
(a) Reliance on Non‐Trades.......................................................................590
(b) Quality Control Errors – Mismatched Companies ..........................591
(c) No Testing of Internal Credit Rating ..................................................592
(l) Examiner’s Analysis of the Valuation of Lehman’s Corporate
Equities Positions ..............................................................................................594
(1) Overview of Lehman’s Corporate Equities Positions............................594
(2) Lehman’s Valuation Process for its Corporate Equities Positions.......596
(3) Examiner’s Findings and Conclusions With Respect to the
Valuation of Lehman’s Corporate Equities Positions............................599
(a) Impaired Debt with No Equity Mark Down.....................................601
(b) Static Marks............................................................................................603
VOLUME 2 (CONT.)
Section III.A.3: Survival
3. Lehman’s Survival Strategies and Efforts ...........................................................609
a) Introduction to Lehman’s Survival Strategies and Efforts..........................609
(1) Examiner’s Conclusions.............................................................................609
(2) Introduction to Lehman’s Survival Strategies ........................................612
b) Lehman’s Actions in 2008 Prior to the Near Collapse of Bear Stearns......622
(1) Rejection of Capital Investment Inquiries ...............................................623
(a) KIA Offer................................................................................................624
(b) KDB Makes Its Initial Approach.........................................................625
(c) ICD’s Initial Approach .........................................................................626
(2) Divergent Views..........................................................................................627
(a) Competitors Raise Capital ...................................................................627
(b) Internal Warnings Regarding Capital................................................629
c) Actions and Efforts Following the Near Collapse of Bear Stearns ............631
(1) Lehman’s Attempt to Increase Liquidity.................................................633
(2) Lehman’s Attempt to Reduce its Balance Sheet .....................................634
(3) Lehman Sells Stock to Private and Public Investors ..............................638
(4) SpinCo ..........................................................................................................640
(a) Evolution of SpinCo..............................................................................642
(b) Execution Issues ....................................................................................644
(i) Equity Hole.....................................................................................645
(ii) Outside Financing for SpinCo......................................................649
(iii) SEC Issues .......................................................................................653
a. Auditing and Accounting Issues ............................................653
b. Tax‐Free Status ..........................................................................658
(iv) Valuation of Assets ........................................................................659
(c) Barclays’ “SpinCo” ...............................................................................661
(5) Potential Strategic Partners........................................................................662
(a) Buffett and Berkshire Hathaway ........................................................664
(i) March 2008......................................................................................664
(ii) Last‐Ditch Effort with Buffett.......................................................667
(b) KDB.........................................................................................................668
(i) Discussions Begin ..........................................................................668
(ii) Discussions Resume: Second Round of Talks between
KDB and Lehman...........................................................................673
(iii) Third Round of Talks between KDB and Lehman....................677
(iv) KDB’s September 9, 2008 Announcement..................................681
(c) MetLife....................................................................................................687
(d) ICD ..........................................................................................................691
(e) Bank of America....................................................................................694
(i) Initial Discussions in the Summer of 2008 .................................694
(ii) Talks Resume in September .........................................................696

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续5:

(f) Barclays...................................................................................................703
(6) Government Communications..................................................................711
(a) Treasury Dinner ....................................................................................712
(b) Short Sales ..............................................................................................713
(c) Possibility of Federal Assistance.........................................................716
(7) Lehman’s Bankruptcy ................................................................................718
VOLUME 3
Section III.A.4: Repo 105
4. Repo 105 ...................................................................................................................732
a) Repo 105 – Executive Summary......................................................................732
b) Introduction .......................................................................................................750
c) Why the Examiner Investigated Lehman’s Use of Repo 105
Transactions .......................................................................................................764
d) A Typical Repo 105 Transaction .....................................................................765
(1) The Genesis of Lehman’s Repo 105 Program in 2001 ............................765
(2) Repo 105 Transactions Versus Ordinary Repo Transactions ...............766
(a) Lehman’s Accounting Treatment of Repo 105 Transactions
Versus Ordinary Repo Transactions ..................................................768
(b) Lehman’s Accounting Policy for Repo 105 Transactions................775
(c) The Accounting Purpose of the Larger Haircut ...............................777
(d) Lehman Did Not Record a Cash Borrowing but Recorded a
Derivative Asset in a Repo 105 Transaction......................................781
(3) Anatomy of Repo 105 Transactions and the Linklaters True Sale
Opinion Letter .............................................................................................782
(4) Types of Securities Used in Repo 105 Transactions...............................793
(5) Product Controllers Manually Booked Repo 105 Transactions ...........797
e) Managing Balance Sheet and Leverage .........................................................800
(1) Lehman Management’s Focus in Late 2007 on Reducing the
Firm’s Reported Leverage..........................................................................802
(a) Lehman’s Calculation of Net Leverage .............................................804
(2) By January 2008, Lehman Decided to Cut its Net Leverage in
Half to Win Back the Confidence of the Market, Lenders and
Investors .......................................................................................................805
(a) Bart McDade, as Newly Appointed Balance Sheet Czar,
Advised the Executive Committee in March 2008 to Cap
Lehman’s Use of Repo 105 Transactions ...........................................809
(b) McDade Became President and COO on June 12, 2008 and
Authorized the Reduction of Repo 105 Usage..................................819
(3) The Market’s Increased Scrutiny of the Leverage of Investment
Banks.............................................................................................................822
(a) The Cost of Deleveraging ....................................................................825
(4) “Sticky” Inventory and FID’s Balance Sheet Breaches Hampered
Lehman’s Ability to Manage Its Net Leverage.......................................828
(5) Deleveraging Resulted in Intense Pressure at Quarter‐End to
Meet Balance Sheet Targets for Reporting Purposes .............................843
(6) Lehman’s Earnings Calls and Press Release Statements
Regarding Leverage....................................................................................845
(a) Analysts’ Statements Regarding Lehman’s Leverage .....................850
f) The Purpose of Lehman’s Repo 105 Program Was to Reverse
Engineer Publicly Reported Financial Results..............................................853
(1) Lehman Did Not Disclose Its Accounting Treatment For or Use
of Repo 105 Transactions in Its Forms 10‐K and 10‐Q...........................853
(a) Lehman’s Outside Disclosure Counsel Was Unaware of
Lehman’s Repo 105 Program ..............................................................855
(2) Lehman’s Repo 105 Practice Improved the Firm’s Public Balance
Sheet Profile at Quarter‐End .....................................................................856
(a) Contemporaneous Documents Confirm That Lehman
Undertook Repo 105 Transactions to Reduce Its Balance
Sheet and Reverse Engineer Its Leverage..........................................859
(b) Witness Statements to the Examiner Regarding the True
Purpose of Lehman’s Repo 105 Practice............................................867
(3) Quarter‐End Spikes in Lehman’s Repo 105 Usage Also Suggest
the True Purpose of Lehman’s Repo 105 Practice Was Balance
Sheet Manipulation.....................................................................................870
(4) Repo 105 Transactions Served No Business Purpose Other Than
Balance Sheet Reduction ............................................................................877
(a) Repo 105 Transactions Came at a Higher Cost than Ordinary
Repo Transactions.................................................................................877
(b) Witnesses Also Stated That Financing Was Not the Real
Motive for Undertaking Repo 105 Transactions...............................882
g) The Materiality of Lehman’s Repo 105 Practice ...........................................884
(1) The Repo 105 Program Exposed Lehman to Potential
“Reputational Risk”....................................................................................884
(2) Lehman’s Repo 105 Practice Had a Material Impact on
Lehman’s Net Leverage Ratio ...................................................................888
(a) Lehman Significantly Expanded Its Repo 105 Practice in Late
2007 and Early 2008 ..............................................................................890
(3) Balance Sheet Targets for FID Businesses Were Unsustainable
Without the Use of Repo 105 Transactions .............................................899
(4) Rating Agencies Advised the Examiner that Lehman’s
Accounting Treatment and Use of Repo 105 Transactions to
Manage Its Net Leverage Ratio Would Have Been Relevant
Information ..................................................................................................902
(5) Government Regulators Had No Knowledge of Lehman’s Repo
105 Program.................................................................................................910
(a) Officials from the Federal Reserve Bank Would Have
Wanted to Know about Lehman’s Use of Repo 105
Transactions ...........................................................................................910
(b) Securities and Exchange Commission CSE Monitors Were
Unaware of Lehman’s Repo 105 Program.........................................913
h) Knowledge of Lehman’s Repo 105 Program at the Highest Levels of
the Firm ..............................................................................................................914
(1) Richard Fuld, Former Chief Executive Officer .......................................917
(2) Lehman’s Former Chief Financial Officers .............................................921
(a) Chris O’Meara, Former Chief Financial Officer ...............................921
(b) Erin Callan, Former Chief Financial Officer......................................930
(c) Ian Lowitt, Former Chief Financial Officer .......................................937
(3) Lehman’s Board of Directors.....................................................................945
i) Ernst & Young’s Knowledge of Lehman’s Repo 105 Program ..................948
(1) Ernst & Young’s Comfort with Lehman’s Repo 105 Accounting
Policy.............................................................................................................948
(2) The “Netting Grid” .....................................................................................951
(a) Quarterly Review and Audit...............................................................953
(3) Ernst & Young Would Not Opine on the Materiality of
Lehman’s Repo 105 Usage.........................................................................954

续6:
(4) Matthew Lee’s Statements Regarding Repo 105 to Ernst &
Young............................................................................................................956
(5) Accounting‐Motivated Transactions........................................................962
j) The Examiner’s Conclusions ...........................................................................962
(1) Materiality....................................................................................................963
(a) Whether Lehman’s Repo 105 Transactions Technically
Complied with SFAS 140 Does Not Impact Whether a
Colorable Claim Exists .........................................................................964
(2) Disclosure Requirements and Analysis ...................................................967
(a) Disclosure Obligations: Regulation S‐K and the MD&A...............968
(b) Duty to Disclose ....................................................................................972
(c) Lehman’s Public Filings .......................................................................973
(i) Summary of Lehman’s 2000 through 2007 Public Filings........974
(ii) Lehman’s 2007 Form 10‐K, First Quarter 2008 Form 10‐
Q, and Second Quarter 2008 Form 10‐Q.....................................977
a. Treatment of Repo Transactions and SFAS 140....................978
b. Net Leverage..............................................................................980
c. Derivatives .................................................................................981
d. A Reader of Lehman’s Forms 10‐K and 10‐Q Would
Not Have Been Able to Ascertain That Lehman
Engaged in Temporary Sales Using Liquid Securities ........984
(d) Conclusions Regarding Lehman’s Failure to Disclose ....................985
(3) Colorable Claims.........................................................................................990
(4) Fiduciary Duty Claims ...............................................................................991
(a) Breach of Fiduciary Duty Claims against Board of Directors ........991
(b) Breach of Fiduciary Duty Claims against Specific Lehman
Officers....................................................................................................992
(i) Richard Fuld ...................................................................................996
a. There Is Sufficient Evidence to Support a Finding By
the Trier of Fact That Fuld Was at Least Grossly
Negligent in Causing Lehman to File Misleading
Periodic Reports ........................................................................997
(ii) Chris O’Meara ..............................................................................1002
a. There Is Sufficient Evidence To Support a Colorable
Claim That O’Meara Was at Least Grossly Negligent
in Allowing Lehman to File Misleading Financial
Statements and Engage in Material Volumes of Repo
105 Transactions ......................................................................1007
b. There Is Sufficient Evidence To Support a Colorable
Claim That O’Meara Breached His Fiduciary Duties
by Failing to Inform the Board and His Superiors of
Lehman’s Repo 105 Practice ..................................................1009

(iii) Erin Callan ....................................................................................1013
a. There Is Sufficient Evidence To Support a Finding By
the Trier of Fact That Callan Breached Her Fiduciary
Duties by Causing Lehman to Make Materially
Misleading Statements ...........................................................1017
b. There Is Sufficient Evidence to Support a Colorable
Claim That Callan Breached Her Fiduciary Duty of
Care by Failing to Inform the Board of Directors of
Lehman’s Repo 105 Program ................................................1019
(iv) Ian Lowitt ......................................................................................1021
(c) Remedies ..............................................................................................1024
(5) Malpractice Claims Against Ernst & Young .........................................1027
(a) Background and Legal Standards ....................................................1028
(i) Professional Standards................................................................1028
(ii) Common Law Standards ............................................................1031
(b) There Is Sufficient Evidence to Support a Colorable Claim
That Ernst & Young Was Negligent.................................................1032
(i) Malpractice in Failure to Advise Audit Committee of
Repo 105 Activity and Lee’s Allegations..................................1033
(ii) Lehman’s 2008 Forms 10‐Q........................................................1040
(iii) Lehman’s 2007 Form 10‐K..........................................................1048
(iv) Effect on Prior Filings..................................................................1050
(v) Causation and Damages .............................................................1051
(c) Possible Defenses ................................................................................1053
VOLUME 4
Section III.A.5: Secured Lenders
5. Potential Claims Against Lehman’s Secured Lenders.....................................1066
a) Introduction and Executive Summary.........................................................1066
(1) JPMorgan....................................................................................................1068
(2) Citibank ......................................................................................................1073
(3) HSBC...........................................................................................................1077
(4) Other Lenders............................................................................................1080
(5) The Federal Reserve Bank of New York................................................1081
(6) Lehman’s Liquidity Pool..........................................................................1082
b) Lehman’s Dealings With JPMorgan.............................................................1084
(1) Facts.............................................................................................................1084
(a) Overview of JPMorgan‐Lehman Relationship ...............................1084
(b) Triparty Repo Prior to 2008 ...............................................................1089
(c) JPMorgan Restructures Its Approach to Triparty Risk .................1094
(d) Lehman Begins Posting Additional Collateral ...............................1101
(e) JPMorgan Concern Over Lehman Collateral in August 2008 ......1105
(f) The August Agreements ....................................................................1113
(g) Background to the September 9 Collateral Request and
September Agreements ......................................................................1125
(h) September 9 Calls Between Steven Black and Richard Fuld ........1138
(i) September Agreements ......................................................................1143
(j) Daily Liquidity Pool Updates From Lehman to JPMorgan..........1156
(k) September 11 Collateral Request Pursuant to the September
Agreements ..........................................................................................1158
(l) Additional Valuation Analyses by JPMorgan Beginning
September 11........................................................................................1165
(m) Lehman Requests for Return of Collateral.....................................1168
(2) Analysis of Potential Claims ...................................................................1172
(a) The Evidence Does Not Support a Colorable Claim Against
JPMorgan for Economic Duress........................................................1173
(i) Legal Background: Economic Duress .......................................1173
(ii) There Is No Available Evidence of an Express Unlawful
Threat Made by JPMorgan in Connection With the
Formation of the September Agreements ................................1174
(iii) The Available Evidence Suggests JPMorgan Did Not
Have an Improper Purpose........................................................1178
(iv) There Was a Degree of Negotiation Over the Terms of
the September Agreements ........................................................1181
(b) There Is Insufficient Evidence to Support a Colorable Claim
That the September Agreements Are Invalid for Lack of
Consideration ......................................................................................1183
(c) There is Sufficient Evidence to Support the Existence of a
Technical, But Not Colorable, Claim That the September
Agreements Are Invalid for Lack of Authority ..............................1186
(i) Tonucci May Have Acted With Apparent Authority.............1190
(ii) There Is Substantial Evidence That Lehman Ratified the
September Agreements...............................................................1193
(d) There Is Insufficient Evidence to Support a Colorable Claim
That JPMorgan Fraudulently Induced the September
Agreements ..........................................................................................1198
(e) There Is Insufficient Evidence to Support a Colorable Claim
for Breach of Contract of the September Agreements Based
on JPMorgan’s Refusal to Return Collateral ...................................1200
(i) Legal Background: Contractual Obligations Under
September Agreements...............................................................1200
(ii) There Was No Written Notice for Collateral Return ..............1208

下了看看吧。

续7:
(f) There Is Evidence to Support a Colorable, But Not Strong,
Claim That JPMorgan Breached the Implied Covenant of
Good Faith and Fair Dealing by Demanding Excessive
Collateral in September 2008.............................................................1210
(i) Legal Standards Governing Implied Covenant of Good
Faith and Fair Dealing.................................................................1211
(ii) There Is Sufficient Evidence To Support a Colorable, But
Not a Strong, Claim That JPMorgan Violated the Implied
Covenant by Demanding Excessive Collateral .......................1214
(iii) A Trier of Fact Will Likely Have to Resolve a Waiver
Defense ..........................................................................................1220
c) Lehman’s Dealings With Citigroup..............................................................1224
(1) Facts.............................................................................................................1224
(a) Citigroup Provided Continuous Linked Settlement Service
and Other Clearing and Settlement Operations to Lehman.........1224
(i) Background Information on the Continuous Linked
Settlement Service Citi Provided to Lehman...........................1224
(ii) Other Clearing and Settlement Services That Citi
Provided to Lehman....................................................................1227
(iii) Citi’s Clearing and Settlement Exposure to Lehman,
Generally.......................................................................................1229
(iv) The Terms of Lehman’s CLS Agreement with Citi.................1231
(b) Lehman Provided a $2 Billion Cash Deposit with Citi on
June 12, 2008 To Support its Clearing Needs..................................1233
(i) The Market Environment and Other Circumstances
Surrounding Citi’s Request for the $2 Billion Cash
Deposit on June 12 .......................................................................1235
(ii) The Parties Did Not Share the Same Understanding of
the Terms of the $2 Billion Cash Deposit .................................1242
a. What Lehman Understood the Terms of the Deposit
To Be..........................................................................................1243
b. What Citi Understood the Terms of the Deposit To Be.....1245
c. The Exact Terms of the “Comfort Deposit” Are
Unknown Because the Terms Were Not Reduced to
Writing......................................................................................1250
(iii) Citi Knew the “Comfort Deposit” was Included in
Lehman’s Liquidity Pool ............................................................1250
(c) Collateral Pledge Discussions Between Lehman and Citi
Began in June 2008 and Continued Until September 2008 ...........1251
(i) The Unexecuted Pledge Agreement: the Parties Agreed
to Negotiate the Terms but Not Execute the Agreement
Until It Was Needed....................................................................1251
(ii) Citi Had Difficulty Pricing the Collateral Offered by
Lehman as a Substitute for the Cash Deposit..........................1254
(iii) The Guaranty Amendment Was Signed in a “Fire Drill”
on September 9, 2008...................................................................1261
a. Events Prior to the Signing of the September 9
Guaranty Amendment from Citi’s Perspective..................1263
b. Events Prior to the Signing of the September 9
Guaranty Amendment from Lehman’s Perspective..........1265
c. Negotiations Between Lehman and Citi Personnel
Regarding Which Lehman Entities Were To Be Added
to the Parent Guaranty by the September 9 Guaranty
Amendment.............................................................................1268
(iv) September 12, 2008: A Lehman Collateral Account at Citi
was Activated After Two Months of Discussion, and
Lehman Signed an Amendment to the Direct Custodial
Services Agreement .....................................................................1273
(d) Lehman’s Clearing Environment at Citi During the Week of
September 8, 2008................................................................................1276
(i) Citi Required Lehman To Operate Under Lower
Daylight Overdraft Limits..........................................................1276
(ii) Lehman Deposited Amounts in Excess of the $2 Billion
Deposit at Various Times in 2008 With Citi.............................1279
(iii) Citi Endeavored To Help Lehman in September 2008,
Prior to the Bankruptcy Filing ...................................................1281
(iv) Lehman’s Accounts at Citi Closed on Friday September
12 With Funds in Excess of the $2 Billion Deposit..................1284
(e) Citi’s Participation in “Lehman Weekend” Events........................1285
(f) Citi’s Actions Toward Lehman After Lehman Filed for
Bankruptcy Protection........................................................................1287
(i) Citi Continued to Provide CLS Services for Lehman, But
Not in an Entirely Uninterrupted Manner...............................1287
(ii) Prior to Lehman’s Bankruptcy Filing, Citi Set Off a
Portion of the Cash Deposit .......................................................1290
(2) Analysis of Potential Colorable Claims .................................................1291
(a) Validity of the September 9 Guaranty Amendment......................1291
(i) Economic Duress..........................................................................1291
a. Legal Framework ....................................................................1292
b. The Evidence Does Not Support the Existence of a
Colorable Claim Against Citi for Economic Duress ..........1293
(ii) The Failure of Consideration......................................................1297
a. Legal Framework ....................................................................1298
b. The Evidence Does Not Support the Existence of a
Colorable Claim Against Citi for Failure of
Consideration ..........................................................................1298
(b) Breach of the Duty of Good Faith and Fair Dealing in
Connection With the CLS Services Agreement ..............................1300
(i) The Evidence Does Not Support the Existence of a
Colorable Claim Against Citi for Breach of the Duty of
Good Faith and Fair Dealing in Connection With the
CLS Services Agreement.............................................................1301
d) Lehman’s Dealings With HSBC....................................................................1303
(1) Overview of HSBC’s Relationship With Lehman ................................1305
(a) HSBC Provided CREST Clearing and Settlement Services to
Lehman.................................................................................................1306
(b) Overview of the Operative Agreements..........................................1309
(2) The Examiner’s Investigation of Particular Transactions ...................1311
(a) HSBC Cancelled a $1 Billion Intraday Credit Facility ...................1311
(b) Lehman Maintained a $1 Billion Segregated Deposit with
HSBC.....................................................................................................1312
(c) Lehman Deposited $750 Million with HSBC on June 24...............1314
(d) Lehman Committed $25 Million on August 15 to HSBC’s
Syndicated Lending Facility..............................................................1315
(e) Lehman Pledged $6 Million to HSBC as Collateral for Letters
of Credit................................................................................................1317
(f) Other Significant Exposures..............................................................1318
(3) HSBC Required Lehman to Provide Approximately $1 Billion in
Collateral While Quietly Ending Their Relationship...........................1319
(a) HSBC Determined to End Its Relationship with Lehman.............1319
(b) HSBC Demanded Collateral for Intraday Credit ...........................1322
(c) HSBC Agreed To Accommodate Lehman at Quarter End ...........1325
(d) Lehman Deposited the Cash Collateral With HSBC......................1326
(e) Lehman Negotiated New Terms and Executed the Cash
Deeds ....................................................................................................1327
(i) Lehman Secured Concessions in the U.K. Cash Deeds..........1327
(ii) Lehman Executed the Hong Kong Cash Deed Late on
September 12 ................................................................................1329
(f) HSBC and LBHI Stipulated To Setoff and Return Some of the
Funds Covered by the U.K. Cash Deeds .........................................1332
(4) Other Issues Stemming from HSBC’s Collateral Demand..................1333
(a) Lehman Included the Deposits Covered by the Cash Deeds
in Its Reported Liquidity Pool...........................................................1333
(b) HSBC Considered Withholding Payments or Requiring
Prefunding of Trades in the Asia‐Pacific Region Prior to
Lehman’s Bankruptcy ........................................................................1336
(5) The Evidence Does Not Support the Existence of Colorable
Claims Arising From HSBC’s Demand That Lehman Provide
Cash Collateral and Execute Cash Deeds in Order for HSBC to
Continue Providing Clearing and Settlement Services .......................1336
(a) The Parameters of the Examiner’s Analysis....................................1336
(b) The Facts Provide Little to No Support for Invalidating the
U.K. Cash Deeds..................................................................................1339
(i) Analytical Framework ................................................................1339