SIFMA SETS PROTOCOL FOR TERMINATING OUTSTANDING LEHMAN TRADES

Posted October 1, 2008

NEW YORK – The Securities Industry and Financial Markets Association’s (SIFMA’s) Asset Management Group (AMG) convened buy-side members to work with Lehman’s court-appointed Securities Investor Protection Corporation (SIPC) Trustee to develop an industry protocol that will provide guidance to firms terminating outstanding trades with Lehman Brothers.

The protocol, 08-01, applies to to-be-announced (TBA), mortgage-backed securities trades that were expected to settle in October, November and December.

“This protocol provides welcome certainty and a way to terminate trades in an orderly fashion,” says Joe Sack, Managing Director at SIFMA. “By working with the SIPC and SIPC Trustee, buy-side firms have come up with a solution to terminate billions of dollars in trades that would have otherwise required firms to navigate the bankruptcy system.”

The 08-01 protocol contains the essential components that provided a level of comfort to asset managers wishing to terminate forward settling trades done with Lehman Brothers that do not clear through the Fixed-Income Clearing Corporation (FICC). Both the protocol and the termination agreement can be found on SIFMA’s website at http://www.sifma.org/asset_management/asset_management.html