COF as of 03/05/2008

valuation --BBB+ --10y cash bond trading around 350 bp, used to trade at 400 bps in January 2008, 5y bonds 350 bps --5y CDS 467 bps, 3y 523 CDS pros --high core deposite around 10% cons --loan provision increase to 1.29 bill from 0.5 bil in Q3 WB --AA trading --short WB cds, long COF bonds