Meteor Asset Management

In our last update dated 3 July 2009 we reported that a bar date order had been made on 2 July 2009 for claims against the parent company in New York, Lehman Brothers Holdings Inc ("LBH") as guarantor of the obligations of Lehman Brothers Treasury Co BV ("LBT") and Lehman Brothers Securities NV ("LBS"). One of the provisions of the order was the announcement of a separate claim process for Lehman Program Securities ("LPS process"). Since that order further details of this process have been released. We have established that all of the securities issued in relation to Meteor structured products backed by Lehman have been included in this process and we now have a clearer direction on how to value and submit a claim.

Over the same period the bankruptcy trustees of LBT and LBS have both issued reports stating that no deadline has yet been set for making claims against those companies in their respective jurisdictions. We will provide any further information in this regard as it becomes available. Although there is a desire to co-ordinate claim values and processes across jurisdictions it is not possible to override national laws. It is therefore likely that separate claims will still need to be made against LBT and LBS in due course and that the process of making and valuing those claims may differ from claims against LBH in New York.

The rest of this note therefore concerns claims against LBH only and addresses the valuation, process and timing of claims to be made under the LPS process.

Valuation of claims

The order states that claims should be made in US$ based on the value of securities on the date of the insolvency of LBH, 15 September 2008. Any payment made to creditors will be based on a percentage of this value across all of the claims relating to LBH senior unsecured debt. Valuations must be rational and justifiable and are open to challenge by LBH.

For all but the most recently issued securities, Lehman Brothers International Europe Limited ("LBIE"), in its capacity as calculation agent and market maker for the securities, had provided weekly indicative re-purchase prices up to 11 September 2008. The price at 11 September, (where available) is therefore being used as the basis for the calculation of a fair market value on 15 September 2008. Meteor is taking advice in this regard from Morgan Lewis in New York and a consultancy in the UK specialising in derivative pricing.

Process for making claims

The process for making claims itself is as follows. A form must be submitted before 2 November 2009 in original form which contains the following information:

1.                          The name and address of the claimant

2.                          The ISIN number (unique reference number identifying the security)

3.                          The amount of the claim in US$

4.                          The Clearstream or Euroclear account number where the securities are held

5.                          A "Blocking Reference" that will be issued by Clearstream or Euroclear to identify and match the parcel of securities to the claimant in relation to the claim.

Any securities for which a valid claim is not submitted by the bar date will forfeit any right to any payment from LBH under the guarantee.

The Blocking Reference

Each claimant will need to obtain a Blocking Reference from the depository (Clearstream or Euroclear) in order to make the claim. Requests for a Blocking References must be submitted before 23 October 2009.

Meteor will obtain a single Blocking Reference for each of the securities from Clearstream held in Meteor’s account on 15 October 2009 (see timetable below). It is not possible for Meteor to split its holding of any security to obtain different Blocking Codes. This will mean that Meteor must make one claim for each security under its custody.

 Therefore any investor wishing to opt out of Meteor’s handling of the claims process will need to arrange for the securities to be transferred out of Meteor’s custody.

Authority to act

In the last note we stated that we would be circulating a form authority to allow Meteor to act on each investor’s behalf. Under the LPS process it is not necessary at this stage for Meteor submit any documentation to show that it is authorised by the beneficial owner. Taking into account the timetable, the difficulty in making a claim in relation to part of a holding and

the consequence of failing to submit a claim it has been decided that claims will be submitted by Meteor for all clients unless they specifically opt out of Meteor’s handling of the claim process.

Unless you opt out using the process described below you will be deemed to have agreed to and accepted the following:

1.                          That Meteor may take all such action and exercise all such rights on your behalf that Meteor sees fit in connection with the recovery of any amounts from LBH, LBT, LBS or any other person in respect of your securities

2.                          That you will ratify and confirm whatever Meteor does or purports to do in good faith in connection with the taking of such action or exercise of such rights

3.                          That you will indemnify Meteor fully against all claims, losses, costs, expenses, damages or liability which Meteor sustains or incurs as a result of the taking of such action or exercise of such rights

4.                          Meteor’s valuation of the claim under the LBH guarantee

5.                          That your share of the cost of making the claim may be deducted from any amounts recovered in respect of your securities.

It may become necessary to circulate forms of authority at a later date in respect of the separate proceedings against LBH in the United States and against LBT and LBS in the Netherlands and the Dutch Antilles, but the content and validation required of this form is not known at present.

Costs

Unless there are unforeseen complications, the cost of filing this claim should be within the $2 per £1000 nominal indicated in our last note. Meteor will pay any third party costs associated with filing the claim, but will recharge these costs on a pro-rata basis against any recovery made.

Transferring securities out of Meteor’s custody

If you do not wish to participate in this proposed course of action or do not wish to be bound by the conditions of acceptance set out above you will need to transfer securities out of Meteor’s custody. In order to do this you will need to supply us with the Clearstream or Euroclear account number of the new custodian and contact details for settlement in order that we can match instructions with them. The enclosed form will need to be completed, signed and returned to us by 25 September 2009 – the copy part should be given to your new custodian in order to give us and your new custodian plenty of time to apply for Blocking Codes.

In respect of warrants issued by Lehman Brothers Securities NV, the denomination of each warrant is £100 (except in one case £1000), so we will only be able to transfer the nearest whole 100 or 1000 warrants below the actual number you hold, so a small balance of your holding will stay with Meteor – the numbers are shown on the form.

Timetable

The following timetable has been established in order to ensure that the deadline for claims is not missed

25 September 2009 Last date for receipt of completed transfer forms

15 October 2009 Deadline for completion of transfers

16 October 2009 Meteor to apply for blocking codes from Clearstream for all Lehman securities in Meteor custody

16 October 2009 Meteor couriers part-completed claim forms to counsel in New York

23 October 2009 Deadline for application for blocking codes

On receipt Blocking Codes added to claim forms and claim forms submitted

2 November 2009 Deadline for submission of claim forms

This note has been prepared on the basis of information supplied to Meteor up to 4 September 2009. It is intended as a communication of information and should not be construed as advice. Produced by Meteor Capital Holdings Limited 68 Lombard Street London EC3V 9LJ.