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FEDERAL RESERVE BANK OF NEW YORK
NEW YORK, N.Y.
10045-0001
TELEPHONE 212-720-6599
FACSIMILE 212-720-1794
CHRISTOPHER R. BURKE
MARKETS OFFICER
September 14, 2008
VIA EMAIL
Mr. Marco Brandimarte
Assistant Vice President
JPMorgan Chase Bank, N.A.
3 Chase Metrotech Center, 51h Floor
Brooklyn, NY 11245-0001
marco.brandimarte@ jpmorgan.com
Mr. Robert Guglielmo
Senior Vice President
Lehman Brothers Inc.
Capital Markets Contracts - Legal
1271 Avenue of the Americas, 43rd Floor
New York, NY 10020-1300
rgugliel@ lehman. com.
Dear Messrs. Brandimarte and Guglielmo:
Reference is hereby made to (1) the Master Open Market Agreement,
dated as of October 21, 1996, as amended, supplemented or modified from time to time
("MOMA") between Lehman Brothers Inc. ("Dealer") and the Federal Reserve Bank of
New York ("FRBNY"), (2) the Custodial Undertaking In Connection with Master Open
Market Agreement, dated as of October 1, 1999, as amended, supplemented or modified
from time to time ("MOMA Tri-Party Agreement") among Dealer, FRBNY and
JPMorgan Chase Bank, N.A. (formerly, The Chase Manhattan Bank) and (3) the Legal
Terms and Conditions for Primary Dealer Credit Facility, dated March 16, 2008 ("Terms
and Conditions") and the related Acknowledgment and Agreement to the Terms and
Conditions executed by Dealer.
As discussed with your firms, FRBNY will be amending the Schedules of
Eligible Securities with respect to any Repurchase Transaction (as defined in the
MOMA) undertaken by Dealer and FRBNY pursuant to the Primary Dealer Credit
Facility ("PDCF") under the MOMA and the Terms and Conditions. Please find attached
to this letter a copy of the revised Schedules of Eligible Securities that should be
substituted for the Schedules of Eligible Securities to Custodial Undertaking in
Connection with Master Open. Market Agreement (PDCF) that currently form part of the
MOMA Tri-Party Agreement. The revised Schedules attached hereto shall be effective
as of the date of this letter.
Please have an authorized officer(s) acknowledge and accept this letter by
executing three (3) copies of this letter, fax or email one executed copy to the attention of
Catherine Kung, Federal Reserve Bank of New York, at (212) 720-6297 or
Catherine.kung@ny.frb.org, as applicable, and return the executed originals by same-day
messenger to FRBNY as follows:
Attention: Catherine Kung
Federal Reserve Bank of New York
33 Liberty Street, ih Floor
New York, NY 10045
Thank you for your prompt attention to this matter.
Christopher R. Burke
Assistant Vice President
Acknowledgment and Acceptance (which may be executed in counterparts) as of
September 14, 2008:
LEHMAN BROTHERS INC.
By: _________________________
Name:
Title:
JPMORGAN CHASE BANK, N.A. (formerly, THE CHASE MANHATTAN BANK)
By: _________________________
Name:
Title:
2
Lehman Brothers
Effective September 14, 2008
To Custodial Undertaking in Connection with Master Open Market Agreement (PDCF)
Schedule of Eligible Securities
DIRECT OBLIGATIONS OF THE U.S. TREASURY
Margin
Percentage
Security Type
Bills ........................................................ ..................................... 101%
Notes and Bonds (including Inflation-Indexed Securities):
Up to and including 3 years remaining maturity ......... .......... . .. . ......... 101%
Greater than 3 and up to and including 5 years remaining maturity ......... 102%
Greater than 5 and up to and including 10 years remaining maturity .. ...... 102%
Greater than 10 and up to 30 years remaining maturity ............ . ...... . .... 103%
STRIPS and Private Label Treasury Backed (including Strips of Inflation Indexed Securities):
Up to and including 3 years remaining maturity ................................ 101%
Greater than 3 and up to and including 5 years remaining maturity . ... . ..... 102%
Greater than 5 and up to and including 10 years remaining maturity ........ 103%
Greater than 10 and up to and including 20 years remaining maturity ...... 104%
Greater than 20 and up to and including 30 years remaining maturity ...... 106%
Page 1 of4
To Custodial Undertaking in Connection with Master Open Market Agreement (PDCF)
Schedule of Eligible Securities
JP Morgan Chase
Lehman Brothers
Effective September 14,2008
To Custodial Undertaking in Connection with Master Open Market Agreement (PDCF)
Schedule of Eligible Securities
DIRECT OBLIGATIONS OF THE FOLLOWING FEDERALLY RELATED
ENTITIES:
Farm Credit System Financial Assistance Corporation;
Federal Agricultural Mortgage Corporation (Farmer Mac);
Federal Farm Credit Banks Funding ~orporation (Farm Credit System);
Federal Home Loan Bank System;
Federal Home Loan Mortgage Corporation (Freddie Mac);
Federal National Mortgage Association (Fannie Mae);
Financing Corporation (FICO);
Resolution Funding Corporation (REFCO);
Student Loan Marketing Association (SLMA); or
Tennessee Valley Authority
Margin
Percentage
Security Type
Discount Notes ....... . ........................................................................ 101%
Fixed and Floating Rate Debentures
Up to and including 3 years remaining maturity ................................ 101%
Greater than 3 and up to and including 5 years remaining maturity .......... 102%
Greater than 5 and up to and including 10 years remaining maturity ........ 103%
Greater than 10 and up to 30.5 years remaining maturity ..................... 104%
Interest and Principal Strips
Up to and including 3 years remaining maturity ................................ 102%
Greater than 3 and up to and including 5 years remaining maturity .......... 102%
Greater than 5 and up to and including 10 years remaining maturity ........ 103%
Greater than 10 and up to and including 20 years remaining maturity ...... 105%
Greater than 20 and up to and including 30.5 years remaining maturity .... 108%
(1)
(2)
Margin percentages apply to all existing and potential future obligations of the type
indicated, regardless of current security types outstanding.
Obligations of other federally related agencies not listed above have been excluded on the
basis of operational experience and/or limitations of triparty custodian.
Page 2 of4
To Custodial Undertaking in Connection with Master Open Market Agreement (PDCF)
Schedule of Eligible Securities
JP Morgan Chase
Lehman Brothers
Effective September 14, 2008
To Custodial Undertaking in Connection with Master Open Market Agreement (PDCF)
Schedule of Eligible Securities
AGENCY AND PR.IVATE LABEL MORTGAGE-BACKED SECURITIES
PASSTHROUGHS AND CMOS
Margin
Percentage
Security Type
Agency Single-Family, Fixed-Rate Pass-through Secutities
(Regardless of original maturity of underlying mortgages)
Up to and including 20 years remaining maturity ............................... 105%
Greater than 20 and up to and including 30 years remaining maturity ....... 106%
Agency Single-Family, Adjustable Rate Pass-through Securities
(Regardless of original maturity of underlying mortgages)
Up to and including 20 years remaining maturity ............................... 105%
Greater than 20 and up to and including 30 years remaining maturity ...... 106%
Agency REMICS/CMOs (all types) ........................................................ 120%
Private Label Passthroughs and CMOs (all types)
BBB-/Baa3/BBB- Rated or better (by at least 2 rating agencies) ............. 120%
All other ................................................................................ 120%
(1) Agency refers to securities issued and/or fully guaranteed by the Government National
Mortgage Association, Federal Home Loan Mortgage Corporation, Federal National
Mortgage Association, Farmers Agricultural Mortgage Corporation or Small Business
Administration.
(2) CMOs include CMBS
Page 3 of4
To Custodial Undertaking in Connection with Master Open Market Agreement (PDCF)
Schedule of Eligible Securities
JP Morgan Chase
Lehman Brothers
Effective September 14, 2008
To Custodial Undertaking in Connection with Master Open Market Agreement (PDCF)
Schedule of Eligible Securities
AUCTION RATE NOTES, MUNICIPAL SECURITIES, CORPORATE SECURITIES,
ASSET BACKED SECURITIES (INCLUDING CDOS, CBOS, CLOS),
INTERNATIONAL AGENCIES, MONEY MARKET INSTRUMENTS, TRUST
RECEIPTS, WHOLE LOANS, EQUITIES AND EQUITY DERIVATIVES
Margin
Security Type
Percentage
Auction Rate Notes .................................................................................. 120%
Municipal Securities ...................... ....................... .. ............. ..................... 120%
Corporate Securities
Medium Term Notes ............................... ......................................... 120%
Bonds .......................................................................................... 120%
Asset Backed Securities
BBB-/Baa3/BBB- Rated or better (by at least 2 rating agencies) ... .. ................ 120%
All other .................... ... ............ ... ............................. . ................... 120%
International Agency Securities .. .. .............. ...................... . ............................. 120%
Money Market Instruments
Commercial Paper. .. ........................................................................ 120%
Bankers Acceptances ..... ... ..... .... ...................................................... 120%
Certificates of Dep.osit ...................................................................... 120%
Trust Receipts .................................................................. ....................... 120%
Whole Loans ......... ................................................................................. 120%
Equities and Equity Derivatives .................................................................... 120%
Page 4 of4
To Custodial Undertaking in Connection with Master Open Market Agreement (PDCF)
Schedule of Eligible Securities
JP Morgan Chase
@FedFRASER