John Thain: The simple answer is almost all of the sales were for cash and then I will give you what the exceptions were. On the leveraged loans we did two trades of approximately $3 billion where we did provide financing and that financing was a significant haircut so one of the trades it was a 50% haircut so we provided 50% leverage and the other trade it was mixed because it was different between bonds and bank loans but on the bonds we also provided 50% leverage and on the bank loans we provided 75% leverage. Those are the only two trades out of the leverage loan book that had any leverage to them. In the commercial sale, again it was almost all for cash, there was a small amount that was financed but also on totally commercial terms. Almost all the asset sales were for cash.
Roger Freeman (Lehman Brothers): Are you financing Bloomberg and FDS sales?
John Thain: We are financing the Bloomberg sale and we will, although we have determined the total amount yet, finance a significant part of the FDS sale.
Roger Freeman (Lehman Brothers): How important have they been the sales that you have done to establish market based pricing for the level threes, are they coming down a lot?
John Thain: Yes.
Roger Freeman (Lehman Brothers): Are you going to see flow backs from three to twos because of these sales during the quarter?
John Thain: Yes.
Prashant Bhatia (Citigroup): The gross long CDO exposure was down about $6 billion. Can you breakout what drove that decline and the same on the short side that was down about $4 billion?
John Thain: It is mostly markdowns. There are sales, but it is mostly markdowns.
Prashant Bhatia (Citigroup): On the short side, is it just the ineffectiveness basically on the $4 billion?
John Thain: Yes, the single biggest impact was the ineffectiveness of one of the hedges.
Prashant Bhatia (Citigroup): You had said on an if-converted basis, you are going to be on book value per share at about the same level as the first quarter. Is that correct?
Nelson Chai: That is correct.
Prashant Bhatia (Citigroup): Do the sales add something like $6 billion in after-tax proceeds?
Nelson Chai: First of all we are projecting what they are and so we are mindful because we are still negotiating through the details of the FDS contract to give out numbers, understanding how these are used, and so we were more comfortable saying they are in line and as we get closer to it we will share that information but we are comfortable saying today that pro forma we will be in line with first quarter. The first quarter if converted basis book value per share was $28.93.
Prashant Bhatia (Citigroup): You said you adjusted the cumulative loss assumptions on the CDO side, did you adjust them down two our up two?
John Thain: I want to caveat looking at that, there are two things that are happening with our CDOs, on is that the sub-prime component of what is inside of the CDOs is becoming less important because it is being written down so much. The answer to your question is the range of cume losses on the sub-prime range between 19% and 26%. Those are cume losses. But those are becoming less relevant because we are now looking through the CDO structure to the actual assets that underline the CDO and although we run a cash flow model, we ascribe no value to the CDO structure at this time.
We are simply looking through the CDO into the assets themselves. There was more transparency in a number of the assets that are inside of the CDO particularly the Alt-As and so the value that we carry them now at reflects to the best of our ability that we can get the value of the underlying pieces. It is the way that CDOs are going to be looked at going forward is if you could collapse them and of course most of them you can not yet, but if you could collapse them, what is the underlying collateral worth that is inside of them.
Prashant Bhatia (Citigroup): Does that then on a go forward basis make looking at things like the ABX index less relevant?
John Thain: The answer is yes and as we have said before we do not use the index to hedge these and so there would be huge tracking error between the ABX and what I just said in terms of the collateral value.
Prashant Bhatia (Citigroup): The write-downs that you have taken on the mono lines were down graded and you continued to take the write-downs. What portion of your credit valuation adjustments about $6 billion might you get back over time if these entities just simply ran off, would you be able to get something back over time do you think?
John Thain: It is dependent on which of the mono lines. In the case of MBIA it is unlikely that they will default because it is not in their interest to do that. They will go into a run off mode and they will keep collecting their payments and making their payments and they will live for years and year. In that particular case it will be a question of over multiple year period of time how long can they continue to make their payment and what is the actual result on the assets which nobody knows. That is the best case for recovery.
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