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PARMALAT

Short covered

Long / Short

Trade Unwind

Non-directional pair trade

Long Parmalat CB 0.875% ‘21 @ 62

Short Parmalat 6.25% ‘5 @ 64

Accrued Interest pickup = 5.1 points

Parmalat files for Bankruptcy on      19/12/03

Long / Short unwound @ Px of 24 & 20

Profit: (24-62) + (64 – 20) +5.1= 11.1 points

On €10mm, Gross Profit = €1.11mill.

Non-directional pair trade – profit from volatility without directional risk

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