Credit Calls Summary

Short WM long WB since 07/23/08 equity: --WM has dropped 40% up to 09/11/08, 50% up tp 09/10/09 --WB has dropped 20% up to 09/11/08, 15% up to 09/10/09 --We profit 20% - 35% Cash Bonds: 07/23/08 to 09/11/09 --10 y bonds spread narrowed from -600 bps to 1600 bps, profit ~+7% CDS: --5y CDS spread narrowed from -500 bps to 2450 bps, profit +20% --time to close this call Short AIG since 08/17/2008 -It is a good call, as of 09/11/2008 CDS was trading up-front 12.5% + 5% -equity dropped 49% in the week of 09/11 --It is time to close this call But my comment on Lehman in July/08 optimized Lehman. New calls: --Long Lehman Bonds or Short CDS on 09/11/08, equity is too risky --Short 10y TreasurY