Fitch Affirms Lehman Brothers Derivative Products at 'AAA'; Stable Outlook

NEW YORK--(Business Wire)--Fitch Ratings has affirmed Lehman Brothers Derivative Products
Inc.'s (LBDP) ratings as follows:

--Issuer Default Rating (IDR) at 'AAA';

--Counterparty rating at 'AAA'.

The Rating Outlook is Stable.

Ratings were reviewed following Fitch's downgrade of Ambac
Assurance Corp.'s (Ambac) Insurer Financial Strength (IFS) rating to
'AA' from 'AAA'. At Jan. 18, 2008, LBDP had approximately $317 million
in capital, of which approximately $238 million was in the form of a
surety bond from Ambac. Fitch believes LBDP remains capitalized at an
'AAA' level after reviewing LBDP's capital structure versus its
requirements. While Ambac remains on Negative Rating Watch, Fitch
believes that sufficient capital would be available to support LBDP.
The surety bond has a flexible structure which will allow Lehman
Brothers Holdings Inc. (LEH) to restructure the capital of LBDP if
warranted.

LBDP is a derivative product company (DPC) with a 'termination'
structure that serves as a credit counterparty for over-the-counter
derivative transactions between highly rated external counterparties
and its sponsor LEH's subsidiary, Lehman Brothers Special Financing
(LBSF).

LBDP's 'AAA' rating is based on its conservative capitalization
and collateralization, high-quality counterparties, and restrictive
operating guidelines. LBDP is a bankruptcy-remote entity and passes
market risk emanating from its transactions to LBSF via 'back-to-back'
transactions. Credit risk is retained by LBDP and is supported by a
high level of capital in liquid instruments maintained at a
third-party custodian, as well as by the strict operating guidelines
in place.

Fitch's rating definitions and the terms of use of such ratings
are available on the agency's public site, www.fitchratings.com.
Published ratings, criteria and methodologies are available from this
site, at all times. Fitch's code of conduct, confidentiality,
conflicts of interest, affiliate firewall, compliance and other
relevant policies and procedures are also available from the 'Code of
Conduct' section of this site.

Fitch Ratings, New York
Daniel Barile, +1-212-908-0885
Leslie Bright, +1-212-908-0622
Media Relations:
Kenneth Reed +1-212-908-0540

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