The calculated amount is based on the net notional value of outstanding single-name credit default swaps (CDS) with WaMu as reference entity registered in the Warehouse. That value stood at approximately $2.9 billion as of October 23, 2008. Based on the October 23 credit event auction, which set a price of 57 cents on the dollar for WaMu bonds, the net funds transfer on the single-name CDS amounts to approximately $1.3 billion. Gross notional value of outstanding single name credit default swaps for WaMu registered in the warehouse stood at $41 billion as of yesterday.

WaMu is also a component in approximately 35 indices serviced by the Trade Information Warehouse, with component percentages ranging from 0.80% to 4.17%. These positions will be incorporated into the net settlement requirements for buyers and sellers of protection between now and November 7, the settlement date for the WaMu credit event.

At the time of settlement, DTCC will announce final net funds transfer results based on the single-name and index contracts registered in the Warehouse.

The vast majority of credit default swaps traded globally since November 2006 have been registered in the Warehouse. In addition, all major global CDS dealers have registered in the Warehouse the vast majority of all contracts executed among each other before the Warehouse's November 2006 launch.

Icelandic banks

The Trade Information Warehouse is also preparing to process the credit events for Iceland's three banks for which credit events were determined earlier this month. Net fund transfer requirements between net sellers and net buyers of protection will be determined at the conclusion of the auctions to be held on the dates indicated below. The maximum amount of net funds transfer will be capped by the net notional value for each reference entity. DTCC will announce final net funds transfer results at the time of settlement for these three entities, Landsbanki Islands hf, announce final net funds transfer results at the time of settlement for these three entities, Landsbanki Islands hf, maximum amount of net funds transfer will be capped by the net notional value for each reference entity. DTCC will announce final net funds transfer results at the time of settlement for these three entities, Landsbanki Islands hf, Glitnir Banki hf and Kaupping Banki hf. Cash settlement for the three banks is scheduled for November 20, 2008.