Finlawmetrics Conference Milan, Italy June 21. 2012

1. Connectedness and ContagionHal S. ScottNomura Professor of International Financial SystemsHarvard Law School Finlawmetrics Conference Milan, Italy June 21. 2012

2. Interconnectedness Asset Interconnectedness Sale of CDS AIG Goldman Sachs Liability Interconnectedness Repo Funding Wachovia JPM

3. Figure 1.1: Projected Recoveries of Key Creditors Under Modified Third Amended Plan

4. Figure 1.5: Expected Recoveries for LBHI and Affiliates (with LBHI Guarantees)

5. Figure 1.7: AIG’s CDS Portfolio

6. Figure 1.8: Maximum Losses on Multi-Sector CDS Relative to Equity

7. Figure 2.1: U.S. Commercial and Investment Banks Summary of Assets and Liabilities at Year End 2008 ($ in Millions)

8. Figure 2.2: Commercial Paper Outstanding Seasonally Adjusted ($ in Billions)

9. Figure 2.5: Morgan Stanley and Goldman Sachs – Share Price Evolution

10. Figure 2.6: Basel III Capital Requirements Provisional Phase-In Schedule

11. Figure 2.7A: Illustrative Bail-in of Citigroup Balance Sheet as of December 31, 2008 ($ in Millions)

12. Figure 2.7B: Illustrative Bail-in of Citigroup under IIF Proposal with Subordinated Debt Only ($ in Millions)

13. Figure 2.10: Deposit and Non-Deposit U.S. FinancialSystem Liabilities – 1950 to Present ($ in Billions)