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1.0.0.3 false Derivatives false 1 $ false false iso4217_USD Standard http://www.xbrl.org/2003/iso4217 USD iso4217 0 iso4217_USD_per_shares Divide http://www.xbrl.org/2003/iso4217 USD iso4217 http://www.xbrl.org/2003/instance shares 0 shares Standard http://www.xbrl.org/2003/instance shares 0 5 Derivatives 3 us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock us-gaap true na duration string No definition available. false false false false false false false false false 1 false false 0 0 <div> NOTE 4 – Derivatives Derivative Balances Derivatives are held for trading, as economic hedges, or as qualifying accounting hedges. The Corporation enters into derivatives to facilitate client transactions, for proprietary trading purposes and to manage risk exposures. The following table identifies derivative instruments included on the Corporation’s Consolidated Balance Sheet in derivative assets and liabilities at December 31, 2009 and 2008. Balances are provided on a gross basis, prior to the application of the impact of counterparty and collateral netting. Total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and have been reduced by the cash collateral applied.     <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="34%"></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="3%"></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td height="8"></td> <td height="8" colspan="25"></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="23" align="center">December 31, 2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="11" align="center">Gross Derivative Assets</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="8" align="center">Gross Derivative Liabilities</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="bottom">(Dollars in billions)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Contract/ Notional (1)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Trading Derivatives and Economic Hedges</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Qualifying Accounting Hedges (2)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Total</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Trading Derivatives and Economic Hedges</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Qualifying Accounting Hedges (2)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Total</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="top"> Interest rate contracts </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Swaps </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">45,261.5</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,121.3</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">5.6</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,126.9</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,105.0</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">0.8</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,105.8</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Futures and forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">11,842.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7.1</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6.1</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Written options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,865.5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">84.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">84.1</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Purchased options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,626.7</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">84.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">84.1</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Foreign exchange contracts </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Swaps </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">661.9</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">23.7</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">28.3</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">27.3</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">27.8</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Spot, futures and forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,750.8</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">24.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.3</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">24.9</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">25.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">25.7</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Written options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">383.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">13.0</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">13.0</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Purchased options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">355.3</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12.7</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12.7</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Equity contracts </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Swaps </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">58.5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.0</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.0</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.0</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.0</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Futures and forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">79.0</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.0</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.0</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.2</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.2</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Written options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">283.4</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">25.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.4</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">25.5</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Purchased options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">273.7</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">27.3</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">27.3</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Commodity contracts </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Swaps </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">65.3</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6.9</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7.0</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6.8</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6.8</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Futures and forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">387.8</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">10.4</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">10.4</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">9.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">9.6</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Written options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">54.9</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7.9</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7.9</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Purchased options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">50.9</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7.6</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Credit derivatives </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Purchased credit derivatives: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Credit default swaps </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,800.5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">105.5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">105.5</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">45.2</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">45.2</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Total return swaps/other </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">21.7</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.5</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.4</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.4</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Written credit derivatives: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Credit default swaps </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,788.8</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">44.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">44.1</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">98.4</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">98.4</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total return swaps/other </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">33.1</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1.8</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1.8</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1.1</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1.1</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Gross derivative assets/liabilities </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,483.6</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">10.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,494.2</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,459.8</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1.8</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,461.6</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Less: Legally enforceable master netting agreements </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1,355.1</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1,355.1</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Less: Cash collateral applied </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(58.4</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(62.8</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total derivative assets/liabilities </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">80.7</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">43.7</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(1)</td> <td valign="top" align="left"> Represents the total contract/notional amount of the derivatives outstanding and includes both written and purchased credit derivatives. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(2)</td> <td valign="top" align="left"> Excludes $4.4 billion of long-term debt designated as a hedge of foreign currency risk. </td> </tr> </table>       <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="34%"></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="3%"></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td height="12"></td> <td height="12" colspan="25"></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="23" align="center">December 31, 2008</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="5" align="center">Gross Derivative Assets</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="5" align="center">Gross Derivative Liabilities</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="bottom">(Dollars in billions)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Contract/ Notional (1)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Trading Derivatives and Economic Hedges</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Qualifying Accounting Hedges (2)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Total</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Trading Derivatives and Economic Hedges</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Qualifying Accounting Hedges (2)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Total</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="top"> Interest rate contracts </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Swaps </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">26,577.4</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,213.2</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2.2</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,215.4</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,186.0</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,186.0</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Futures and forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,432.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5.1</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7.9</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7.9</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Written options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,731.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">62.7</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">62.7</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Purchased options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,656.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">60.3</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">60.3</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Foreign exchange contracts </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Swaps </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">438.9</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">17.5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">21.1</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">20.5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.3</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">21.8</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Spot, futures and forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,376.5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">52.3</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">52.3</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">51.3</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">51.3</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Written options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">199.8</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7.5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7.5</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Purchased options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">175.7</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8.0</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8.0</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Equity contracts </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Swaps </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">34.7</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.8</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.8</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.0</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.0</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Futures and forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">14.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.3</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.3</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.1</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Written options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">214.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">31.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">31.7</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Purchased options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">217.5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">32.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">32.6</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Commodity contracts </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Swaps </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.4</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.4</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.1</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Futures and forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">9.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.2</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.2</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.0</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.0</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Written options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">17.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.8</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.8</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Purchased options </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">15.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.7</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.7</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Credit derivatives </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Purchased credit derivatives: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Credit default swaps </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,025.9</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">125.7</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">125.7</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.4</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.4</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Total return swaps </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6.6</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.8</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.8</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.2</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.2</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Written credit derivatives: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Credit default swaps </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,000.0</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.4</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.4</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">118.8</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">–</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">118.8</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total return swaps </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">6.2</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">0.4</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">0.4</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">0.1</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">0.1</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Gross derivative assets/liabilities </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,529.7</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">5.8</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,535.5</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,498.0</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1.4</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,499.4</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Less: Legally enforceable master netting agreements </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1,438.4</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1,438.4</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Less: Cash collateral applied </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(34.8</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(30.3</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total derivative assets/liabilities </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">62.3</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">30.7</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(1)</td> <td valign="top" align="left"> Represents the total contract/notional amount of the derivatives outstanding and includes both written and purchased credit derivatives. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(2)</td> <td valign="top" align="left"> Excludes $2.0 billion of long-term debt designated as a hedge of foreign currency risk. </td> </tr> </table>   ALM and Risk Management Derivatives The Corporation’s ALM and risk management activities include the use of derivatives to mitigate risk to the Corporation including both derivatives that are designated as hedging instruments and economic hedges. Interest rate, commodity, credit and foreign exchange contracts are utilized in the Corporation’s ALM and risk management activities. The Corporation maintains an overall interest rate risk management strategy that incorporates the use of interest rate contracts to minimize significant fluctuations in earnings that are caused by interest rate volatility. The Corporation’s goal is to manage interest rate sensitivity so that movements in interest rates do not significantly adversely affect earnings. As a result of interest rate fluctuations, hedged fixed-rate assets and liabilities appreciate or depreciate in fair value. Gains or losses on the derivative instruments that are linked to the hedged fixed-rate assets and liabilities are expected to substantially offset this unrealized appreciation or depreciation. Interest rate contracts, which are generally non-leveraged generic interest rate and basis swaps, options, futures and forwards, are used by the Corporation in the management of its interest rate risk position. Non-leveraged generic interest rate swaps involve the exchange of fixed-rate and variable-rate interest payments based on the contractual underlying notional amount. Basis swaps involve the exchange of interest payments based on the contractual underlying notional amounts, where both the pay rate and the receive rate are floating rates based on differ ent indices. Option products primarily consist of caps, floors and swaptions. Futures contracts used for the Corporation’s ALM activities are primarily index futures providing for cash payments based upon the movements of an underlying rate index. Interest rate and market risk can be substantial in the mortgage business. Market risk is the risk that values of mortgage assets or revenues will be adversely affected by changes in market conditions such as interest rate movements. To hedge interest rate risk in mortgage banking production income, the Corporation utilizes forward loan sale commitments and other derivative instruments including purchased options. The Corporation also utilizes derivatives such as interest rate options, interest rate swaps, forward settlement contracts and euro-dollar futures as economic hedges of the fair value of MSRs. For additional information on MSRs, see Note 22 – Mortgage Servicing Rights. The Corporation uses foreign currency contracts to manage the foreign exchange risk associated with certain foreign currency-denominated assets and liabilities, as well as the Corporation’s investments in foreign subsidiaries. Foreign exchange contracts, which include spot and forward contracts, represent agreements to exchange the currency of one country for the currency of another country at an agreed-upon price on an agreed-upon settlement date. Exposure to loss on these contracts will increase or decrease over their respective lives as currency exchange and interest rates fluctuate.     The Corporation enters into derivative commodity contracts such as futures, swaps, options and forwards as well as non-derivative commodity contracts to provide price risk management services to customers or to manage price risk associated with its physical and financial commodity positions. The non-derivative commodity contracts and physical inventories of commodities expose the Corporation to earnings volatility. Cash flow and fair value accounting hedges provide a method to mitigate a portion of this earnings volatility. The Corporation purchases credit derivatives to manage credit risk related to certain funded and unfunded credit exposures. Credit derivatives include credit default swaps, total return swaps and swaptions. These derivatives are accounted for as economic hedges and changes in fair value are recorded in other income.   Derivatives Designated as Accounting Hedges The Corporation uses various types of interest rate, commodity and foreign exchange derivative contracts to protect against changes in the fair value of its assets and liabilities due to fluctuations in interest rates, exchange rates and commodity prices (fair value hedges). The Corporation also uses these types of contracts to protect against changes in the cash flows of its assets and liabilities, and other forecasted transactions (cash flow hedges). The Corporation hedges its net investment in consolidated foreign operations determined to have functional currencies other than the U.S. dollar using forward exchange contracts that typically settle in 90 days, cross-currency basis swaps, and by issuing foreign currency-denominated debt. The following table summarizes certain information related to the Corporation’s derivatives designated as fair value hedges for 2009 and 2008.     <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="44%"></td> <td valign="bottom" width="5%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td valign="bottom" width="3%"></td> <td></td> <td></td> <td valign="bottom" width="5%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td height="8"></td> <td height="8" colspan="25"></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="23" align="center">Amounts Recognized in Income</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="10" align="center">2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="9" align="center">2008</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="bottom">(Dollars in millions)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Derivative</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Hedged Item</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Hedge Ineffectiveness</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Derivative</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Hedged Item</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Hedge Ineffectiveness</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="top"> Derivatives designated as fair value hedges </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Interest rate risk on long-term debt (1) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(4,858</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">4,082</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(776</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">4,340</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(4,143</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">197</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top">Interest rate and foreign currency risk on long-term debt (1)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">932</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(858</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">74</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">294</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(444</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(150</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> Interest rate risk on available-for-sale securities (2, 3) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">791</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1,141</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(350</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">32</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(51</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(19</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Commodity price risk on commodity inventory (4) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(51</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">51</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">—</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">n/a</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">n/a</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">n/a</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total (5) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(3,186</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">2,134</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(1,052</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">4,666</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(4,638</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">28</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(1)</td> <td valign="top" align="left"> Amounts are recorded in interest expense on long-term debt. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(2)</td> <td valign="top" align="left"> Amounts are recorded in interest income on AFS securities. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(3)</td> <td valign="top" align="left"> Measurement of ineffectiveness in 2009 includes $354 million of interest costs on short forward contracts. The Corporation considers this as part of the cost of hedging, and is offset by the fixed coupon receipt on the AFS security that is recognized in interest income on securities. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(4)</td> <td valign="top" align="left"> Amounts are recorded in trading account profits (losses). </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(5)</td> <td valign="top" align="left"> For 2007, hedge ineffectiveness recognized in net interest income was $55 million. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">n/a</td> <td valign="top" align="left"> = not applicable </td> </tr> </table>   The following table summarizes certain information related to the Corporation’s derivatives designated as cash flow hedges and net investment hedges for 2009 and 2008. During the next 12 months, net losses in accumulated OCI of approximately $937 million ($590 million after-tax) on derivative instruments that qualify as cash flow hedges are expected to be reclassified into earnings. These net losses reclassified into earnings are expected to reduce net interest income related to the respective hedged items.     <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="37%"></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="5%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="5%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="5%"></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="5%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="5%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td height="8"></td> <td height="8" colspan="12"></td> <td height="8" colspan="2"></td> <td height="8" colspan="12"></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="10" align="center">2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="10" align="center">2008</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="bottom">(Dollars in millions, amounts pre-tax)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Amounts Recognized in OCI on Derivatives</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Amounts Reclassified from OCI into Income</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Hedge Ineffectiveness and Amount Excluded from Effectiveness Testing (1)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Amounts Recognized in OCI on Derivatives</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Amounts Reclassified from OCI into Income</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Hedge Ineffectiveness and Amount Excluded from Effectiveness Testing (1)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="top"> Derivatives designated as cash flow hedges </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top">Interest rate risk on variable rate portfolios (2, 3, 4, 5)</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">579</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(1,214</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">71</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(82</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(1,334</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(7</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> Commodity price risk on forecasted purchases and sales (6) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">72</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">70</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(2</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Price risk on equity investments included in available-for-sale securities </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(331</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">243</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total (7) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">320</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(1,144</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">69</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">161</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(1,334</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(7</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> Net investment hedges </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Foreign exchange risk (8) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(2,997</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(142</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">2,814</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(192</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(1)</td> <td valign="top" align="left"> Amounts related to derivatives designated as cash flow hedges represent hedge ineffectiveness and amounts related to net investment hedges represent amounts excluded from effectiveness testing. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(2)</td> <td valign="top" align="left"> Amounts reclassified from OCI reduced interest income on assets by $110 million and $224 million during 2009 and 2008, and increased interest expense on liabilities by $1.1 billion during both 2009 and 2008. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(3)</td> <td valign="top" align="left"> Hedge ineffectiveness of $73 million and $(10) million was recorded in interest income and $(2) million and $3 million was recorded in interest expense during 2009 and 2008. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(4)</td> <td valign="top" align="left"> Amounts recognized in OCI on derivatives exclude amounts related to terminated hedges of AFS securities of $(9) million and $206 million for 2009 and 2008. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(5)</td> <td valign="top" align="left"> Amounts reclassified from OCI exclude amounts related to derivative interest accruals which increased interest income by $104 million for 2009 and amounts which increased interest expense $73 million for 2008. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(6)</td> <td valign="top" align="left"> Gains reclassified from OCI into income were recorded in trading account profits (losses) during 2009, 2008 and 2007 were $44 million, $0 and $18 million, respectively, related to the discontinuance of cash flow hedging because it was probable that the original forecasted transaction would not occur. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(7)</td> <td valign="top" align="left"> For 2007, hedge ineffectiveness recognized in net interest income was $4 million. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(8)</td> <td valign="top" align="left"> Amounts recognized in OCI on derivatives exclude losses of $387 million related to long-term debt designated as a net investment hedge for 2009. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">n/a</td> <td valign="top" align="left"> = not applicable </td> </tr> </table>     Economic Hedges Derivatives designated as economic hedges are used by the Corporation to reduce certain risk exposure but are not accounted for as accounting hedges. The following table presents gains (losses) on these derivatives for 2009 and 2008. These gains (losses) are largely offset by the income or expense that is recorded on the economically hedged item.     <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="83%"></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="5%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td height="8"></td> <td height="8" colspan="4"></td> <td height="8" colspan="4"></td> </tr> <tr> <td valign="bottom">(Dollars in millions)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2009</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">2008</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="top"> Price risk on mortgage banking production income (1, 2) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">8,898</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">892</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Interest rate risk on mortgage banking servicing income (1) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(3,792</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,610</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Credit risk on loans and leases (3) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(698</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">309</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Interest rate and foreign currency risk on long-term debt and other foreign exchange transactions (3) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,572</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1,316</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Other (3) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">14</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">34</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">5,994</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">8,529</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(1)</td> <td valign="top" align="left"> Gains (losses) on these derivatives are recorded in mortgage banking income. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(2)</td> <td valign="top" align="left"> Includes gains on IRLCs related to the origination of mortgage loans that are held for sale, which are considered derivative instruments, of $8.4 billion for 2009 and $1.6 billion for 2008. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(3)</td> <td valign="top" align="left"> Gains (losses) on these derivatives are recorded in other income. </td> </tr> </table>   Sales and Trading Revenue The Corporation enters into trading derivatives to facilitate client transactions, for proprietary trading purposes, and to manage risk exposures arising from trading assets and liabilities. It is the Corporation’s policy to include these derivative instruments in its trading activities which include derivative and non-derivative cash instruments. The resulting risk from these derivatives is managed on a portfolio basis as part of the Corporation’s Global Markets business segment. The related sales and trading revenue generated within Global Markets is recorded on different income statement line items including trading account profits (losses) and net interest income as well as other revenue categories. However, the vast majority of income related to derivative instruments is recorded in trading account profits (losses). The following table identifies the amounts in the income statement line items attributable to the Corporation’s sales and trading revenue categorized by primary risk for 2009 and 2008.     <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="34%"></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="3%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="3%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="3%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="3%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="3%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td height="8"></td> <td height="8" colspan="14"></td> <td height="8" colspan="2"></td> <td height="8" colspan="16"></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="13" align="center">2009</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="14" align="center">2008</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="bottom">(Dollars in millions)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Trading Account Profits</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Other Revenues (1)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Net Interest Income</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Total</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right"> Trading Account Profits (Losses) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Other Revenues (1)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Net Interest Income</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Total</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="top"> Interest rate risk </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,145</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">33</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,068</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">4,246</td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,083</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">47</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">276</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,406</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Foreign exchange risk </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">972</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">26</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,004</td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,320</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">13</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,339</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Equity risk </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,041</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,613</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">246</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,900</td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(66</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">686</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">99</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">719</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Credit risk </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,433</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(2,576</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,637</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6,494</td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(8,276</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(6,881</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,380</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(10,777</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Other risk </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,084</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">13</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(469</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">628</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">130</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">58</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(14</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">174</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total sales and trading revenue </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">11,675</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">89</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">5,508</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">17,272</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(5,809</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(6,084</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">4,754</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">   </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">(7,139</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" nowrap="nowrap">) </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left">(1)</td> <td valign="top" align="left"> Represents investment and brokerage services and other income recorded in Global Markets that the Corporation includes in its definition of sales and trading revenue. </td> </tr> </table>   Credit Derivatives The Corporation enters into credit derivatives primarily to facilitate client transactions and to manage credit risk exposures. Credit derivatives derive value based on an underlying third party-referenced obligation or a portfolio of referenced obligations and generally require the Corporation as the seller of credit protection to make payments to a buyer upon the occurrence of a predefined credit event. Such credit events generally include bankruptcy of the referenced credit entity and failure to pay under the obligation, as well as acceleration of indebtedness and payment repudiation or moratorium. For credit derivatives based on a portfolio of referenced credits or credit indices, the Corporation may not be required to make payment until a specified amount of loss has occurred and/or may only be required to make payment up to a specified amount.     Credit derivative instruments in which the Corporation is the seller of credit protection and their expiration at December 31, 2009 and 2008 are summarized below. These instruments are classified as investment and non-investment grade based on the credit quality of the underlying reference obligation. The Corporation considers ratings of BBB- or higher as meeting the definition of investment grade. Non-investment grade includes non-rated credit derivative instruments.     <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="54%"></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> </tr> <tr> <td height="8"></td> <td height="8" colspan="15"></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="14" align="center">December 31, 2009</td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="14" align="center">Carrying Value</td> </tr> <tr> <td valign="bottom">(Dollars in millions)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Less than One Year</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right"> One to Three Years </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Three to Five Years</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right"> Over Five Years </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Total</td> </tr> <tr> <td valign="top"> Credit default swaps: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Investment grade </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">454</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">5,795</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">5,831</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">24,586</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">36,666</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Non-investment grade </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,342</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">14,012</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">16,081</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">30,274</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">61,709</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,796</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">19,807</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">21,912</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">54,860</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">98,375</td> </tr> <tr> <td valign="top"> Total return swaps/other: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Investment grade </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">20</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">540</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">566</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Non-investment grade </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">194</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">3</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">291</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">488</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">214</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">8</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">831</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,054</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total credit derivatives </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,797</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">20,021</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">21,920</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">55,691</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">99,429</td> </tr> <tr> <td height="10"></td> <td height="10" colspan="15"></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="14" align="center">Maximum Payout/Notional</td> </tr> <tr> <td valign="top"> Credit default swaps: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Investment grade </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">147,501</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">411,258</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">596,103</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">335,526</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,490,388</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Non-investment grade </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">123,907</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">417,834</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">399,896</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">356,735</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,298,372</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">271,408</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">829,092</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">995,999</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">692,261</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">2,788,760</td> </tr> <tr> <td valign="top"> Total return swaps/other: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Investment grade </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">31</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">60</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,081</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,087</td> <td valign="bottom">    </td> <td valign="bottom"> </td> <td valign="bottom" align="right">9,259</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Non-investment grade </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">2,035</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,280</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">2,183</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">18,352</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">23,850</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">2,066</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,340</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">3,264</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">26,439</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">33,109</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total credit derivatives </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">273,474</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">830,432</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">999,263</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">718,700</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">2,821,869</td> </tr> <tr> <td height="10"></td> <td height="10" colspan="15"></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="14" align="center">December 31, 2008</td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="14" align="center">Carrying Value</td> </tr> <tr> <td valign="bottom">(Dollars in millions)</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Less than One Year</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">One to Three Years</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Three to Five Years</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Over Five Years</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="2" align="right">Total</td> </tr> <tr> <td valign="top"> Credit default swaps: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Investment grade </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,039</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">13,062</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">32,594</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">29,153</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">75,848</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Non-investment grade </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,483</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">9,222</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">19,243</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">13,012</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">42,960</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">2,522</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">22,284</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">51,837</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">42,165</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">118,808</td> </tr> <tr> <td valign="top"> Total return swaps/other: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Non-investment grade </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">36</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">8</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">–</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">13</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">57</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total credit derivatives </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">2,558</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">22,292</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">51,837</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">42,178</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">118,865</td> </tr> <tr> <td height="10"></td> <td height="10" colspan="15"></td> </tr> <tr> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" colspan="14" align="center">Maximum Payout/Notional</td> </tr> <tr> <td valign="top"> Credit default swaps: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Investment grade </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">49,535</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">169,508</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">395,768</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">187,075</td> <td valign="bottom">    </td> <td valign="bottom">$</td> <td valign="bottom" align="right">801,886</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Non-investment grade </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">17,217</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">48,829</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">89,650</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">42,452</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">198,148</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">66,752</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">218,337</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">485,418</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">229,527</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,000,034</td> </tr> <tr> <td valign="top"> Total return swaps/other: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">    </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Non-investment grade </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,178</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">628</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">37</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">4,360</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">6,203</td> </tr> <tr> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="top"> Total credit derivatives </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">  </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">67,930</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">218,965</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">485,455</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">233,887</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom">     </td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom"> $</td> <td style="BORDER-BOTTOM: #b23040 1px solid" valign="bottom" align="right">1,006,237</td> </tr> </table>   The notional amount represents the maximum amount payable by the Corporation for most credit derivatives. However, the Corporation does not solely monitor its exposure to credit derivatives based on notional amount because this measure does not take into consideration the probability of occurrence. As such, the notional amount is not a reliable indicator of the Corporation’s exposure to these contracts. Instead, a risk framework is used to define risk tolerances and establish limits to help ensure that certain credit risk-related losses occur within acceptable, predefined limits. The Corporation economically hedges its market risk exposure to credit derivatives by entering into a variety of offsetting derivative contracts and security positions. For example, in certain instances, the Corporation may purchase credit protection with identical underlying referenced names to offset its exposure. The carrying value and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names at December 31, 2009 was $79.4 billion and $2.3 trillion compared to $92.4 billion and $819.4 billion at December 31, 2008.     Credit Risk Management of Derivatives and Credit-related Contingent Features The Corporation executes the majority of its derivative contracts in the over-the-counter market with large, international financial institutions, including broker/dealers and, to a lesser degree, with a variety of non-financial companies. Substantially all of the derivative transactions are executed on a daily margin basis. Therefore, events such as a credit downgrade (depending on the ultimate rating level) or a breach of credit covenants would typically require an increase in the amount of collateral required of the counterparty, where applicable, and/or allow the Corporation to take additional protective measures such as early termination of all trades. Further, as discussed above, the Corporation enters into legally enforceable master netting agreements which reduce risk by permitting the closeout and netting of transactions with the same counterparty upon the occurrence of certain events. Substantially all of the Corporation’s derivative contracts contain credit risk-related contingent features, primarily in the form of International Swaps and Derivatives Association, Inc. (ISDA) master agreements that enhance the creditworthiness of these instruments as compared to other obligations of the respective counterparty with whom the Corporation has transacted (e.g., other debt or equity). These contingent features may be for the benefit of the Corporation, as well as its counterparties with respect to changes in the Corporation’s creditworthiness. At December 31, 2009, the Corporation received cash and securities collateral of $74.6 billion and posted cash and securities collateral of $69.1 billion in the normal course of business under derivative agreements. In connection with certain over-the-counter derivatives contracts and other trading agreements, the Corporation could be required to provide additional collateral or to terminate transactions with certain counterparties in the event of a downgrade of the senior debt ratings of Bank of America Corporation and its subsidiaries. The amount of additional collateral required depends on the contract and is usually a fixed incremental amount and/or the market value of the exposure. At December 31, 2009, the amount of additional collateral and termination payments that would be required for such derivatives and trading agreements was approximately $2.1 billion if the long-term credit rating of Bank of America Corporation and its subsidiaries was incrementally downgraded by one level by all ratings agencies. A second incremental one level downgrade by the ratings agencies would require approximately $1.2 billion in additional collateral. The Corporation records counterparty credit risk valuation adjustments on derivative assets in order to properly reflect the credit quality of the counterparty. These adjustments are necessary as the market quotes on derivatives do not fully reflect the credit risk of the counterparties to the derivative assets. The Corporation considers collateral and legally enforceable master netting agreements that mitigate its credit exposure to each counterparty in determining the counterparty credit risk valuation adjustment. All or a portion of these counterparty credit risk valuation adjustments can be reversed or otherwise adjusted in future periods due to changes in the value of the derivative contract, collateral and creditworthiness of the counterparty. During 2009, credit valuation gains of $1.8 billion for counterparty credit risk related to derivative assets and during 2008, losses of $3.2 billion were recognized in trading account profits (losses). At December 31, 2009 and 2008, the cumulative counterparty credit risk valuation adjustment that was included in the derivative asset balance was $7.6 billion and $4.0 billion. In addition, the fair value of the Corporation’s or its subsidiaries’ derivative liabilities is adjusted to reflect the impact of the Corporation’s credit quality. During 2009, credit valuation losses of $801 million and during 2008, gains of $364 million were recognized in trading account profits (losses) for changes in the Corporation’s or its subsidiaries’ credit risk. At December 31, 2009 and 2008, the Corporation’s cumulative credit risk valuation adjustment that was included in the derivative liabilities balance was $608 million and $573 million.   </div> NOTE 4 – Derivatives Derivative Balances Derivatives are held for trading, as economic hedges, or as qualifying accounting hedges. The Corporation false false No definition available. No authoritative reference available. false false 1 1 false UnKnown UnKnown UnKnown false true