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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 />

200<br />

150<br />

100<br />

50<br />

0<br />

-50<br />

-100<br />

Bullish<br />

Benefit if Probability<br />

of Citigroup Default Decreases<br />

Bearish Benefit if Probability<br />

of Citigroup Default Increases<br />

Citigroup Credit Default Swap Transactions<br />

MORGAN STANLEY<br />

Bearish # 8 / Bullish # 4 / Net Bearish # 116 (Net Bullish # 1)<br />

-31<br />

31<br />

0 -5<br />

-5<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 />

10<br />

-16<br />

-35<br />

5<br />

-46<br />

-10<br />

165<br />

155

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