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2.0.0.10 false Derivatives 111 - Disclosure - Derivatives true false false false 1 usd $ 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 3 us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock us-gaap true na duration string No definition available. false false false false false false false false false false false false 1 false false false false 0 0 <div> <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td bgcolor="#E6E6E6" valign="top"> <p style="BORDER-BOTTOM: #000000 1px solid; MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>NOTE 4 &#x2013; Derivatives</b></font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 12px"> &#xA0;</p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font style="FONT-FAMILY: Times New Roman" size="2"><b><i>Derivative Balances</i></b></font></p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">Derivatives are held for trading, as economic hedges, or as qualifying accounting hedges<i>.</i> The Corporation enters into derivatives to facilitate client transactions, for proprietary trading purposes and to manage risk exposures. For additional information on the Corporation&#x2019;s derivatives and hedging activities, see <i>Note 1 &#x2013; Summary of Significant Accounting Principles</i> to the Consolidated Financial Statements of the Corporation&#x2019;s 2009 Annual Report on Form 10-K. The following table identifies derivative instruments included on the Corporation&#x2019;s Consolidated Balance Sheet in derivative assets and liabilities at March&#xA0;31, 2010 and December&#xA0;31, 2009. Balances are provided on a gross basis, prior to the application 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.</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 12px"> &#xA0;</p> <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="41%"></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="20" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>March&#xA0;31, 2010</b></font></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="8" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Gross Derivative Assets</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="8" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Gross Derivative Liabilities</b></font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;(Dollars in billions)</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Contract/<br /> Notional&#xA0; <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Trading<br /> Derivatives<br /> and<br /> Economic<br /> Hedges</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Qualifying<br /> Accounting<br /> Hedges <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(2)</sup></b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Total</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Trading<br /> Derivatives<br /> and<br /> Economic<br /> Hedges</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Qualifying<br /> Accounting<br /> Hedges&#xA0; <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(2)</sup></b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Total</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;&#xA0;Interest rate contracts</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>43,320.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,128.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>6.2&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,134.6&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,107.0&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1.2&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,108.2&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Futures and forwards</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>12,096.0&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>5.9&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>0.1&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>6.0&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>6.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>6.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Written options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>2,791.0&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>77.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>77.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Purchased options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>2,732.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>78.1&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>78.1&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;&#xA0;Foreign exchange contracts</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>646.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>21.6&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>5.8&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>27.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>26.0&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>27.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Spot, futures and forwards</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>2,207.9&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>25.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>25.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>27.1&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>27.1&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Written options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>391.3&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>10.9&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>10.9&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Purchased options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>392.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>10.5&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>10.5&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;&#xA0;Equity contracts</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>72.3&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>7.6&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>7.6&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>7.5&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>7.5&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Futures and forwards</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>95.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>3.1&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>3.1&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>2.3&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>2.3&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Written options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>430.9&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>23.3&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>0.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>23.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Purchased options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>391.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>24.5&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>24.5&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;&#xA0;Commodity contracts</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>101.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>8.8&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>0.2&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>9.0&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>8.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>8.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Futures and forwards</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>435.0&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>10.2&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>10.2&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>9.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>9.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Written options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>65.1&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>4.8&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>4.8&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Purchased options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>60.0&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>4.5&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>4.5&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;&#xA0;Credit derivatives</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Purchased credit derivatives:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Credit default swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>2,525.8&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>88.1&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>88.1&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>38.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>38.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Total return swaps/other</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>25.9&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1.3&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1.3&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>0.8&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>0.8&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Written credit derivatives:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Credit default swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>2,534.1&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>37.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>37.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>82.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>82.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Total return swaps/other</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>36.0&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>0.6&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>0.6&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Gross derivative assets/liabilities</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,457.4&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>12.3&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,469.7&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,433.0&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>3.3&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,436.3&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Less: Legally enforceable master netting agreements</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>(1,334.0)&#xA0;&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>(1,334.0)&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Less: Cash collateral applied</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>(58.1)&#xA0;&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>(55.4)&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 2px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;&#xA0;&#xA0;<b>Total derivative assets/liabilities</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>77.6&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>46.9&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Represents the total contract/notional amount of the derivatives outstanding and includes both written and purchased credit derivatives.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(2)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Excludes $4.1 billion of long-term debt designated as a hedge of foreign currency risk.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font size="1">&#xA0;</font></p> <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="47%"></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="21" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">December&#xA0;31, 2009</font></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="8" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Gross&#xA0;Derivative&#xA0;Assets</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom" colspan="8" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Gross Derivative Liabilities</font></td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">&#xA0;&#xA0;</td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">&#xA0;&#xA0;</td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom"> &#xA0;</td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom" colspan="7">&#xA0;</td> <td>&#xA0;</td> <td valign="bottom">&#xA0;</td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom"> &#xA0;</td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom" colspan="7">&#xA0;</td> </tr> <tr> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;(Dollars in billions)</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Contract/<br /> Notional&#xA0;<sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Trading<br /> Derivatives<br /> and</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Economic<br /> Hedges</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Qualifying<br /> Accounting<br /> Hedges <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(2)</sup></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Total</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Trading<br /> Derivatives</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">and</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Economic<br /> Hedges</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Qualifying<br /> Accounting<br /> Hedges <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(2)</sup></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Total</font></td> </tr> <tr style="FONT-SIZE: 1px"> <td style="BORDER-TOP: #000000 1px solid" valign="bottom" colspan="23">&#xA0;</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;&#xA0;Interest rate contracts</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">45,261.5</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,121.3</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">5.6</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,126.9</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,105.0</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">0.8</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,105.8&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Futures and forwards</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">11,842.1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">7.1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">7.1</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">6.1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">6.1&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Written options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2,865.5</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">84.1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">84.1&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Purchased options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2,626.7</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">84.1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">84.1</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;&#xA0;Foreign exchange contracts</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">661.9</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">23.7</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">4.6</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">28.3</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">27.3</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">0.5</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">27.8&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Spot, futures and forwards</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,750.8</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">24.6</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">0.3</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">24.9</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">25.6</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">0.1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">25.7&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Written options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">383.6</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">13.0</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">13.0&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Purchased options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">355.3</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">12.7</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">12.7</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;&#xA0;Equity contracts</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">58.5</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2.0</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2.0</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2.0</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2.0&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Futures and forwards</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">79.0</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">3.0</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">3.0</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2.2</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2.2&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Written options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">283.4</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">25.1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">0.4</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">25.5&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Purchased options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">273.7</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">27.3</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">27.3</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;&#xA0;Commodity contracts</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">65.3</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">6.9</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">0.1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">7.0</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">6.8</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">6.8&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Futures and forwards</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">387.8</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">10.4</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">10.4</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">9.6</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">9.6&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Written options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">54.9</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">7.9</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">7.9&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Purchased options</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">50.9</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">7.6</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">7.6</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;&#xA0;Credit derivatives</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Purchased credit derivatives:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 4em"><font style="FONT-FAMILY: Times New Roman" size="2">Credit default swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2,800.5</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">105.5</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">105.5</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">45.2</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">45.2&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 4em"><font style="FONT-FAMILY: Times New Roman" size="2">Total return swaps/other</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">21.7</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1.5</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1.5</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">0.4</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">0.4&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Written credit derivatives:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 4em"><font style="FONT-FAMILY: Times New Roman" size="2">Credit default swaps</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2,788.8</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">44.1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">44.1</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">98.4</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">98.4&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 4em"><font style="FONT-FAMILY: Times New Roman" size="2">Total return swaps/other</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">33.1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1.8</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1.8</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1.1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1.1&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr style="FONT-SIZE: 1px"> <td style="BORDER-TOP: #000000 1px solid" valign="bottom" colspan="23">&#xA0;</td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Gross derivative assets/liabilities</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,483.6</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">10.6</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,494.2</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,459.8</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1.8</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,461.6&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Less: Legally enforceable master netting agreements</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">(1,355.1</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">)&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">(1,355.1)&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;Less: Cash collateral applied</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">(58.4</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">)&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">(62.8)&#xA0;&#xA0;</font></td> </tr> <tr style="FONT-SIZE: 1px"> <td style="BORDER-TOP: #000000 1px solid" valign="bottom" colspan="23">&#xA0;</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 4em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>Total derivative assets/liabilities</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">80.7</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">43.7&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr style="FONT-SIZE: 1px"> <td style="BORDER-TOP: #000000 2px solid" valign="bottom" colspan="23">&#xA0;</td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Represents the total contract/notional amount of the derivatives outstanding and includes both written and purchased credit derivatives.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(2)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Excludes $4.4 billion of long-term debt designated as a hedge of foreign currency risk.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 24px"> &#xA0;</p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font style="FONT-FAMILY: Times New Roman" size="2"><b><i>ALM and Risk Management Derivatives</i></b></font></p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">The Corporation&#x2019;s asset and liability management (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&#x2019;s ALM and risk management activities.</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">The Corporation maintains an overall interest rate risk management strategy that incorporates the use of interest rate contracts, which are generally non-leveraged generic interest rate and basis swaps, options, futures and forwards, to minimize significant fluctuations in earnings that are caused by interest rate volatility. Interest rate contracts are used by the Corporation in the management of its interest rate risk position. The Corporation&#x2019;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.</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font size="1">&#xA0;</font></p> <p style="MARGIN-TOP: 0px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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 mortgage servicing rights (MSRs). For additional information on MSRs, see <i>Note 16 &#x2013; Mortgage Servicing Rights</i>.</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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&#x2019;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.</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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.</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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.</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 24px"> &#xA0;</p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font style="FONT-FAMILY: Times New Roman" size="2"><b><i>Derivatives Designated as Accounting Hedges</i></b></font></p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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 and equity derivatives 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.</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">The following table summarizes certain information related to the Corporation&#x2019;s derivatives designated as fair value hedges for the three months ended March&#xA0;31, 2010 and 2009.</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 12px"> &#xA0;</p> <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="49%"></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></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></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="22" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Amounts Recognized in Income for the Three Months Ended</b></font></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="10" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>March&#xA0;31, 2010</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="10" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">March&#xA0;31, 2009</font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;(Dollars in millions)</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;&#xA0;&#xA0;Derivative&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Hedged<br /> Item</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Hedge<br /> Ineffectiveness</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Derivative</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Hedged<br /> Item</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Hedge<br /> &#xA0;&#xA0;&#xA0;&#xA0;Ineffectiveness&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;Derivatives designated as fair value hedges</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Interest rate risk on long-term debt <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>885</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(1,013</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(128</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(765</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">636</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(129)&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Interest rate and foreign currency risk on long-term debt <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(1,375</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>1,251</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(124</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(951</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">1,009</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">58&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Interest rate risk on available-for-sale securities <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(2, 3)</sup></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(30</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>19</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(11</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">53</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(81</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(28)&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Commodity price risk on commodity inventory <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(4)</sup></font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>57</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(61</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(4</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">56</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(58</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(2)&#xA0;&#xA0;</font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 2px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Total</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(463</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>196</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(267</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(1,607</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">1,506</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(101)&#xA0;&#xA0;</font></td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Amounts are recorded in interest expense on long-term debt.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(2)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Amounts are recorded in interest income on AFS securities.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(3)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Measurement of ineffectiveness in the three months ended March&#xA0;31, 2010 and 2009 includes $4 million and $28 million of interest costs on short forward contracts. The Corporation considers this as part of the cost of hedging, and it is offset by the fixed coupon receipt on the AFS security that is recognized in interest income on securities.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(4)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Amounts are recorded in trading account profits.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font size="1">&#xA0;</font></p> <p style="MARGIN-TOP: 0px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">The following table summarizes certain information related to the Corporation&#x2019;s derivatives designated as cash flow hedges and net investment hedges for the three months ended March&#xA0;31, 2010 and 2009. During the next 12 months, net losses in accumulated OCI of approximately $1.2 billion ($739 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.</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 12px"> &#xA0;</p> <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="48%"></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></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></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="22" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Three Months Ended March&#xA0;31</b></font></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="10" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>2010</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="10" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">2009</font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">(Dollars in millions, amounts pre-tax)</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Amounts<br /> Recognized<br /> in OCI on<br /> Derivatives</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Amounts<br /> Reclassified<br /> from OCI<br /> into&#xA0;Income</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Hedge<br /> Ineffectiveness<br /> and Amount<br /> Excluded&#xA0;from<br /> Effectiveness<br /> Testing <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Amounts<br /> Recognized</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">in OCI on<br /> Derivatives</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Amounts<br /> Reclassified<br /> from OCI</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">into&#xA0;Income</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Hedge<br /> Ineffectiveness<br /> and Amount<br /> Excluded from<br /> Effectiveness<br /> Testing <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;Derivatives designated as cash flow hedges</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Interest rate risk on variable rate portfolios <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(2 ,3 ,4)</sup></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(502</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(81</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(13</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">154</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(484</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">4&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Commodity price risk on forecasted purchases and sales</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>32</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>3</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>-</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">48</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">-</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">-&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Price risk on restricted stock awards <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(5)</sup></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>144</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>11</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>-</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">n/a</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">n/a</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">n/a&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Price risk on equity investments included in available-for-sale securities</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>6</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>-</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>-</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(44</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">-</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">-&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 4em"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Total</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(320</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(67</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(13</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">158</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(484</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">4&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;Net investment hedges</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 2px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Foreign exchange risk <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(6)</sup></font></p> </td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>978</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>-</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(65</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">1,016</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">-</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(80)&#xA0;&#xA0;</font></td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">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.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(2)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Amounts reclassified from OCI increased interest income on assets by $47 million and reduced interest income on assets by $44 million, and increased interest expense on liabilities by $128 million and $440 million during the three months ended March&#xA0;31, 2010 and 2009.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(3)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Hedge ineffectiveness of $(1) million and $4 million was recorded in interest income and $(12) million and $0 was recorded in interest expense during the three months ended March&#xA0;31, 2010 and 2009.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(4)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Amounts reclassified from OCI exclude amounts related to derivative interest accruals which increased interest income by $62 million and $3 million for the three months ended March&#xA0;31, 2010 and 2009.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(5)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Gains reclassified from OCI are recorded in personnel expense.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(6)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Amounts recognized in OCI on derivatives exclude gains of $262 million and $33 million related to long-term debt designated as a net investment hedge for the three months ended March&#xA0;31, 2010 and 2009.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 4px; MARGIN-BOTTOM: 0px"><font style="FONT-FAMILY: Times New Roman" size="1">n/a = not applicable</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">The Corporation entered into total return swaps to hedge a portion of cash-settled restricted stock units (RSUs) granted to certain employees in the three months ended March&#xA0;31, 2010 as part of their 2009 compensation. These cash-settled RSUs are accrued as liabilities over the vesting period and adjusted to fair value based on changes in the share price of the Corporation&#x2019;s common stock. The Corporation entered into the derivatives to minimize the change in the expense to the Corporation driven by fluctuations in the share price of the Corporation&#x2019;s common stock during the vesting period of the restricted stock units. Certain of these derivatives are designated as cash flow hedges of unrecognized non-vested awards with the changes in fair value of the hedge recorded in OCI and reclassified into income in the same period as the RSUs affect earnings. The remaining derivatives are accounted for as economic hedges and changes in fair value are recorded in personnel expense. For more information on restricted stock units, see <i>Note 13 &#x2013; Pension, Postretirement and Other Employee Plans</i>.</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font size="1">&#xA0;</font></p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font style="FONT-FAMILY: Times New Roman" size="2"><b><i>Economic Hedges</i></b></font></p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">Derivatives designated as economic hedges are used by the Corporation to reduce certain risk exposures but are not accounted for as accounting hedges. The following table presents gains (losses) on these derivatives for the three months ended March&#xA0;31, 2010 and 2009. These gains (losses) are largely offset by the income or expense that is recorded on the economically hedged item.</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 12px"> &#xA0;</p> <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="84%"></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="6" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Three&#xA0;Months&#xA0;Ended&#xA0;March&#xA0;31</b></font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;(Dollars in millions)</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>2010</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">2009</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Price risk on mortgage banking production income <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1, 2)</sup></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>1,356</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">2,157&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Interest rate risk on mortgage banking servicing income <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>798</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">150&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Credit risk on loans <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(3)</sup></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(56</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">75&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Interest rate and foreign currency risk on long-term debt and other foreign exchange transactions <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(4)</sup></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(3,988</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(546)&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Other <sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(4)</sup></font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>96</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">15&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 2px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Total</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(1,794</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">1,851&#xA0;&#xA0;&#xA0;</font></td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 6px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Gains (losses) on these derivatives are recorded in mortgage banking income.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(2)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Includes gains on interest rate lock commitments related to the origination of mortgage loans that are held for sale, which are considered derivative instruments, of $1.9 billion and $2.5 billion for the three months ended March&#xA0;31, 2010 and 2009.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(3)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Gains (losses) on these derivatives and bonds are recorded in other income, trading account profits and net interest income.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 4px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(4)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Gains (losses) on these derivatives are recorded in other income, trading account profits and personnel expense.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 24px"> &#xA0;</p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font style="FONT-FAMILY: Times New Roman" size="2"><b><i>Sales and Trading Revenue</i></b></font></p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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&#x2019;s policy to include these derivative instruments in its trading activities which include derivatives and non-derivative cash instruments. The resulting risk from these derivatives is managed on a portfolio basis as part of the Corporation&#x2019;s <i>GBAM</i> business segment. The related sales and trading revenue generated within <i>GBAM</i> is recorded on various income statement line items including trading account profits 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. The following table identifies the amounts in the income statement line items attributable to the Corporation&#x2019;s sales and trading revenue categorized by primary risk for the three months ended March&#xA0;31, 2010 and 2009.</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 12px"> &#xA0;</p> <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="52%"></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="26" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Three Months Ended March&#xA0;31</b></font></td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">&#xA0;&#xA0;</td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom"> &#xA0;</td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom" colspan="25">&#xA0;</td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="12" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>2010</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="13" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">2009</font></td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">&#xA0;&#xA0;</td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom"> &#xA0;</td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom" colspan="11">&#xA0;</td> <td valign="bottom">&#xA0;&#xA0;</td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom"> &#xA0;</td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom" colspan="12">&#xA0;</td> </tr> <tr> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;(Dollars in millions)</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Trading<br /> Account<br /> Profits</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Other<br /> Revenues&#xA0;<sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Net<br /> Interest<br /> Income</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Total</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Trading<br /> Account<br /> Profits</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Other<br /> Revenues&#xA0;<sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Net<br /> Interest<br /> Income</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Total</font></td> </tr> <tr style="FONT-SIZE: 1px" bgcolor="#CCEEFF"> <td style="BORDER-TOP: #000000 1px solid" valign="bottom" colspan="28">&#xA0;</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Interest rate risk</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>1,057</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>41</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>183</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>1,281</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">2,963</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">15</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">334</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">3,312&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Foreign exchange risk</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>281</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>-</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>-</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>281</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">274</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">1</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">7</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">282&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Equity risk</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>874</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>610</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>46</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>1,530</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">786</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">622</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">81</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">1,489&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Credit risk</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>2,619</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>129</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>950</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>3,698</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">197</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(1,104</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">1,507</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">600&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;Other risk</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>224</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>8</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>(50</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>)&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>182</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">683</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(39</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(191</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">453&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr style="FONT-SIZE: 1px"> <td style="BORDER-TOP: #000000 1px solid" valign="bottom" colspan="28">&#xA0;</td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Total sales and trading revenue</b></font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>5,055</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>788</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>1,129</b></font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;</b></font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1"><b>6,972</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">4,903</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">(505</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">)&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">1,738</font></td> <td valign="bottom" nowrap="nowrap"><font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font size="1">&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="1">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="1">6,136&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr style="FONT-SIZE: 1px"> <td style="BORDER-TOP: #000000 2px solid" valign="bottom" colspan="28">&#xA0;</td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 6px"> &#xA0;</p> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="1%" align="left"><font style="FONT-FAMILY: Times New Roman" size="1"><sup style="POSITION: relative; BOTTOM: 0.8ex; VERTICAL-ALIGN: baseline">(1)</sup></font></td> <td valign="top" align="left"> <p align="justify"><font style="FONT-FAMILY: Times New Roman" size="1">Represents investment and brokerage services and other income recorded in <i>GBAM</i> that the Corporation includes in its definition of sales and trading revenue.</font></p> </td> </tr> </table> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 24px"> &#xA0;</p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font style="FONT-FAMILY: Times New Roman" size="2"><b><i>Credit Derivatives</i></b></font></p> <p style="BORDER-BOTTOM: #000000 0.5pt solid; LINE-HEIGHT: 3px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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.</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">Credit derivative instruments in which the Corporation is the seller of credit protection and their expiration at March&#xA0;31, 2010 and December&#xA0;31, 2009 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 investment grade. Non-investment grade includes non-rated credit derivative instruments.</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 12px"> &#xA0;</p> <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="61%"></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="14" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>March&#xA0;31, 2010</b></font></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="14" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Carrying Value</b></font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>&#xA0;&#xA0;&#xA0;&#xA0;</b>&#xA0;&#xA0;(Dollars in millions)</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>Less than</b></font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>One Year</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>One to</b></font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>Three&#xA0;Years</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>Three to</b></font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>Five&#xA0;Years</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>Over</b></font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>Five&#xA0;Years</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1"><b>Total&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">Credit default swaps:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Investment grade</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>353</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>5,887</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>8,295</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>25,256</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>39,791&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Non-investment grade</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,141</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>8,056</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>9,883</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>23,552</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>42,632&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Total</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,494</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>13,943</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>18,178</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>48,808</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>82,423&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">Total return swaps/other:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Investment grade</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>-</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>26</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>33</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>32</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>91&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Non-investment grade</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>192</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>38</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>253</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>484&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Total</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>218</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>71</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>285</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>575&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 2px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>Total credit derivatives</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,495</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>14,161</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>18,249</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>49,093</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>82,998&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="14"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 12px"> &#xA0;</p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1"><b>Maximum Payout/Notional</b></font></p> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">Credit default swaps:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Investment grade</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>162,417</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>453,420</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>575,291</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>390,296</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,581,424&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Non-investment grade</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>95,012</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>296,057</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>295,898</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>265,668</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>952,635&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Total</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>257,429</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>749,477</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>871,189</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>655,964</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>2,534,059&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">Total return swaps/other:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Investment grade</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>4</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>91</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>12,563</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>10,478</b></font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>23,136&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Non-investment grade</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>403</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,712</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>923</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>9,818</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>12,856&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Total</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>407</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>1,803</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>13,486</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>20,296</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>&#xA0;</b></font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>35,992&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 2px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>Total credit derivatives</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>257,836</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>751,280</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>884,675</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>676,260</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2"><b>$</b></font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2"><b>2,570,051&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</b></font></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="14"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 12px"> &#xA0;</p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">December 31, 2009</font></p> </td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="14" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Carrying Value</font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="1">&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;(Dollars in millions)</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Less than</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">One Year</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">One to</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Three Years</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Three to</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Five Years</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Over</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Five Years</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center"><font style="FONT-FAMILY: Times New Roman" size="1">Total&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">Credit default swaps:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Investment grade</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">454</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">5,795</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">5,831</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">24,586</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">36,666&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Non-investment grade</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,342</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">14,012</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">16,081</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">30,274</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">61,709&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Total</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,796</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">19,807</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">21,912</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">54,860</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">98,375&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">Total return swaps/other:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Investment grade</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">20</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">5</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">540</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">566&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Non-investment grade</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">-</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">194</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">3</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">291</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">488&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Total</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">214</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">8</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">831</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,054&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 2px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>Total credit derivatives</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,797</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">20,021</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">21,920</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">55,691</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">99,429&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td valign="bottom"><font size="1">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="14"> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 12px"> &#xA0;</p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 1px" align="center"> <font style="FONT-FAMILY: Times New Roman" size="1">Maximum Payout/Notional</font></p> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">Credit default swaps:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Investment grade</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">147,501</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">411,258</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">596,103</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">335,526</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,490,388&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Non-investment grade</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">123,907</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">417,834</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">399,896</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">356,735</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,298,372&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Total</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">271,408</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">829,092</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">995,999</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">692,261</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2,788,760&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 1em"><font style="FONT-FAMILY: Times New Roman" size="2">Total return swaps/other:</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Investment grade</font></p> </td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">31</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">60</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,081</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">8,087</font></td> <td valign="bottom"><font size="1">&#xA0;&#xA0;</font></td> <td valign="bottom"><font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">9,259&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 2em"><font style="FONT-FAMILY: Times New Roman" size="2">Non-investment grade</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2,035</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,280</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2,183</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">18,352</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">23,850&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr> <td style="BORDER-BOTTOM: #000000 1px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2">Total</font></p> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2,066</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">1,340</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">3,264</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">26,439</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">33,109&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> <tr bgcolor="#CCEEFF"> <td style="BORDER-BOTTOM: #000000 2px solid" valign="top"> <p style="TEXT-INDENT: -1em; MARGIN-LEFT: 3em"><font style="FONT-FAMILY: Times New Roman" size="2"><b>Total credit derivatives</b></font></p> </td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">273,474</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">830,432</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">999,263</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">718,700</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font size="1">&#xA0;&#xA0;</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom"> <font style="FONT-FAMILY: Times New Roman" size="2">$</font></td> <td style="BORDER-BOTTOM: #000000 2px solid" valign="bottom" align="right"><font style="FONT-FAMILY: Times New Roman" size="2">2,821,869&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;&#xA0;</font></td> </tr> </table> <p style="MARGIN-TOP: 24px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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&#x2019;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.</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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 March&#xA0;31, 2010 was $58.9 billion and $1.8 trillion compared to $79.4 billion and $2.3 trillion at December&#xA0;31, 2009.</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px; FONT-SIZE: 24px"> &#xA0;</p> <p style="BORDER-BOTTOM: #000000 1pt solid; LINE-HEIGHT: 1px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font style="FONT-FAMILY: Times New Roman" size="2"><b><i>Credit Risk Management of Derivatives and Credit-related Contingent Features</i></b></font></p> <p style="BORDER-BOTTOM: #000000 1pt solid; LINE-HEIGHT: 1px; MARGIN-TOP: 0px; MARGIN-BOTTOM: 2px"> &#xA0;</p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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.</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">Substantially all of the Corporation&#x2019;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&#x2019;s creditworthiness. At March&#xA0;31, 2010 and December&#xA0;31, 2009, the Corporation received cash and securities collateral of $74.1 billion and $74.6 billion, and posted cash and securities collateral of $62.6 billion and $69.1 billion in the normal course of business under derivative agreements.</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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 March&#xA0;31, 2010 and December&#xA0;31, 2009, the amount of additional collateral and termination payments that would be required for such derivatives and trading agreements was approximately $1.8 billion and $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. At both March&#xA0;31, 2010 and December&#xA0;31, 2009, a second incremental one level downgrade by the ratings agencies would require approximately $1.2 billion in additional collateral.</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">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 the three months ended March&#xA0;31, 2010 and 2009, credit valuation gains (losses) of $326 million and $70 million ($(69) million and $(41) million, net of hedges) for counterparty credit risk related to derivative assets were recognized in trading account profits. At March&#xA0;31, 2010 and December&#xA0;31, 2009, the cumulative counterparty credit risk valuation adjustment that was included in the derivative assets balance was $7.4 billion and $7.6 billion.</font></p> <p style="MARGIN-TOP: 12px; TEXT-INDENT: 2%; MARGIN-BOTTOM: 0px" align="justify"><font style="FONT-FAMILY: Times New Roman" size="2">In addition, the fair value of the Corporation&#x2019;s or its subsidiaries&#x2019; derivative liabilities is adjusted to reflect the impact of the Corporation&#x2019;s credit quality. During the three months ended March&#xA0;31, 2010 and 2009, credit valuation gains of $171 million and $1.7 billion were recognized in trading account profits for changes in the Corporation&#x2019;s or its subsidiaries&#x2019; credit risk. At March&#xA0;31, 2010 and December&#xA0;31, 2009, the Corporation&#x2019;s cumulative credit risk valuation adjustment that was included in the derivative liabilities balance was $950 million and $608 million.</font></p> <p style="MARGIN-TOP: 0px; MARGIN-BOTTOM: 0px"><font size="1">&#xA0;</font></p> </div> NOTE 4 &#x2013; Derivatives &#xA0; &#xA0; Derivative Balances &#xA0; Derivatives are held for trading, as economic hedges, or as qualifying accounting false false false This element can be used to disclose the entity's entire derivative instruments and hedging activities disclosure as a single block of text. Describes an entity's risk management strategies, derivatives in hedging activities and non-hedging derivative instruments, the assets, obligations, liabilities, revenues and expenses arising there from, and the amounts of and methodologies and assumptions used in determining the amounts of such items. Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 45 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44 false false 1 1 false UnKnown UnKnown UnKnown false true