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SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

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Total Notional Amount (DTCC)<br />

Millions<br />

80<br />

60<br />

40<br />

20<br />

0<br />

-20<br />

-40<br />

-60<br />

-80<br />

-100<br />

Bullish<br />

Bearish<br />

Benefit if Probability<br />

of Citigroup Default Decreases<br />

-25<br />

15 15<br />

-10<br />

Benefit if Probability<br />

of Citigroup Default Increases<br />

Citigroup Credit Default Swap Transactions<br />

BARCLAYS BANK PLC<br />

Bearish # 5 / Bullish # 5 / Net Bearish # 37<br />

-20<br />

-5<br />

-10<br />

40<br />

20<br />

-10 -16<br />

-10<br />

11/17/2008 11/18/2008 11/19/2008 11/20/2008 11/21/2008<br />

Add Reduce<br />

Buy Side<br />

Add to Buy Side<br />

Reduce Buy Side<br />

Daily Net Bearish<br />

Sell Side<br />

Reduce Sell Side<br />

Cumulative Net Bearish<br />

Add to Sell Side<br />

-74<br />

53<br />

5<br />

-47<br />

68<br />

11

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