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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 />

150<br />

100<br />

50<br />

0<br />

-50<br />

-100<br />

Benefit if Probability<br />

of Citigroup Default Decreases<br />

Bullish<br />

Bearish<br />

-10<br />

0<br />

-10<br />

Benefit if Probability<br />

of Citigroup Default Increases<br />

-27<br />

Citigroup Credit Default Swap Transactions<br />

BNP PARIBAS<br />

Non-Proprietary (No Proprietary in the Period)<br />

10 10<br />

0<br />

10<br />

-17<br />

-40<br />

60<br />

-85<br />

105<br />

20 20<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

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