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2.0.0.10 false Derivative Financial Instruments 118 - Disclosure - Derivative Financial Instruments 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 Derivative Financial Instruments 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> Note 10.    Derivative Financial Instruments We use derivative financial instruments to support our customers’ needs, conduct our trading activities, and manage our interest-rate and currency risk. As part of our trading activities, we assume positions in both the foreign exchange and interest-rate markets by buying and selling cash instruments and using derivative financial instruments, including foreign exchange forward contracts, foreign exchange and interest-rate options, and interest-rate swaps. All foreign exchange contracts are valued daily at current market rates. Interest-rate contracts involve an agreement with a counterparty to exchange cash flows based on the movement of an underlying interest-rate index. An interest-rate swap agreement involves the exchange of a series of interest payments, either at a fixed or variable rate, based upon the notional amount without the exchange of the underlying principal amount. An interest-rate option contract provides the purchaser, for a premium, the right, but not the obligation, to receive an interest rate based upon a predetermined notional amount during a specified period. An interest-rate futures contract is a commitment to buy or sell, at a future date, a financial instrument at a contracted price; it may be settled in cash or through the delivery of the contracted instrument.   Foreign exchange contracts involve an agreement to exchange one currency for another currency at an agreed-upon rate and settlement date. Foreign exchange contracts generally consist of foreign exchange forward and spot contracts and option contracts. Derivative financial instruments involve the management of interest-rate and foreign currency risk, and involve, to varying degrees, market risk and credit and counterparty risk (risk related to repayment). Market risk is defined as the risk of adverse financial impact due to fluctuations in interest rates, foreign exchange rates and other market-driven factors and prices. We use a variety of risk management tools and methodologies to measure, monitor and manage the market risk associated with our trading activities. One such risk-management measure is value-at-risk, or VaR. VaR is an estimate of potential loss for a given period within a stated statistical confidence interval. We use a risk-measurement system to estimate VaR daily. We have adopted standards for estimating VaR, and we maintain capital for market risk in accordance with applicable regulatory guidelines. Derivative financial instruments are also subject to credit and counterparty risk, which is defined as the risk of financial loss if a borrower or counterparty is either unable or unwilling to repay borrowings or settle a transaction in accordance with the underlying contractual terms. We manage credit and counterparty risk by performing credit reviews, maintaining individual counterparty limits, entering into netting arrangements and requiring the receipt of collateral. Collateral requirements are determined after a comprehensive review of the creditworthiness of each counterparty, and the collateral requirements are monitored and adjusted daily. Collateral is generally held in the form of cash or highly liquid U.S. government securities. We may be required to provide collateral to the counterparty in connection with our entry into derivative financial instruments. We enter into master netting agreements with many of our derivative counterparties. Certain of these agreements contain credit risk-related contingent features in which the counterparty has the option to declare State Street in default and accelerate cash settlement of our net derivative liabilities with the counterparty in the event our credit rating falls below specified levels. The aggregate fair value of all derivative instruments with credit risk-related contingent features that were in a net liability position as of March 31, 2010 totaled approximately $535 million, against which we had posted aggregate collateral of approximately $149 million. If State Street’s credit rating were downgraded below levels specified in the agreements, the maximum additional amount of payments related to termination events that could have been required pursuant to these contingent features as of March 31, 2010 was approximately $386 million. Accelerated settlement because of such events would not affect our consolidated results of operations. Trading Activities In connection with our trading activities, we use derivative financial instruments in our role as a financial intermediary and as both a manager and servicer of financial assets, to accommodate our customers’ investment and risk management needs. In addition, we use derivative financial instruments to contribute to overall corporate earnings and liquidity. These activities are designed to generate trading revenue and to hedge volatility in our net interest revenue. The level of market risk that we assume is a function of our overall objectives and liquidity needs, customer requirements and market volatility. Our customers use derivative financial instruments to manage the financial risks associated with their investment goals and business activities. With respect to cross-border investing, customers have a need for foreign exchange forward contracts to convert currency for international investment and to manage the currency risk in their investment portfolios. As an active participant in the foreign exchange markets, we provide foreign exchange forward contracts and options in support of these customer needs. As part of our trading activities, we may assume positions in both the foreign exchange and interest-rate markets by buying and selling cash instruments and using derivative financial instruments, including foreign exchange forward contracts, foreign exchange and interest-rate options, and interest-rate swaps. In the aggregate, foreign exchange forward positions are matched closely to minimize currency and interest-rate risk. All foreign exchange contracts are valued daily at prevailing market rates, and gains or losses in the fair value of trading derivatives are recorded in trading services revenue in our consolidated statement of income. We offer products that provide book-value protection primarily to plan participants in stable value funds managed by non-affiliated investment managers of post-retirement defined contribution benefit plans, particularly 401(k) plans. The book-value protection is intended to provide safety and stable growth of principal invested, and to cover any shortfall caused by significant withdrawals when book value exceeds market value and the liquidation of the assets is not sufficient to redeem the participants. We account for these contingencies individually as trading derivative financial instruments, specifically written options. These contracts are valued quarterly and unrealized losses, if any, are recorded in other expenses in our consolidated statement of income. Asset and Liability Management Activities In connection with our asset and liability management activities, we use derivative financial instruments to manage interest-rate risk. Interest-rate risk, defined as the sensitivity of income or financial condition to variations in interest rates, is a significant non-trading market risk to which our assets and liabilities are exposed. We manage interest-rate risk by identifying, quantifying and hedging our exposures, using fixed-rate portfolio securities and a variety of derivative financial instruments, most frequently interest-rate swaps and options (e.g., interest rate caps and floors). Interest-rate swap agreements alter the interest rate characteristics of specific balance sheet assets or liabilities. When appropriate, forward rate agreements, options on swaps, and exchange-traded futures and options are also used. Fair value hedges Derivatives designated as fair value hedges are utilized to mitigate the risk of changes in fair value of recognized assets and liabilities. Gains and losses on fair value hedges are recorded in net interest revenue or in processing fees and other revenue along with the gain or loss on the asset or liability attributable to the hedged risk. Differences between the gains and losses on fair value hedges and the gains and losses on the asset or liability attributable to the hedged risk represent hedge ineffectiveness, which is recorded in net interest revenue or in processing fees and other revenue. We use interest-rate swap agreements in this manner to manage our exposure to changes in the fair value of hedged items caused by changes in interest rates. We have entered into interest-rate swap agreements to modify our interest revenue from certain available-for-sale securities from a fixed rate to a floating rate. The securities hedged have a weighted-average life of approximately 8.0 years. These securities are hedged with interest-rate swap contracts of similar maturity, repricing and fixed-rate coupons. The interest-rate swap contracts convert the interest revenue from a fixed rate to a floating rate indexed to LIBOR, thereby mitigating our exposure to fluctuations in the fair value of the securities attributable to changes in the benchmark interest rate.   We have entered into interest-rate swap agreements to modify our interest expense on one senior note and three subordinated notes from a fixed rate to a floating rate. The senior note matures in 2014 and pays fixed interest at a 4.30% annual rate. Of the three subordinated notes, one matures in 2010 and pays fixed interest at a 7.65% annual rate, the second matures in 2016 and pays fixed interest at a 5.30% annual rate and the third matures in 2018 and pays fixed interest at a 5.25% annual rate. These notes are hedged with interest-rate swap contracts with similar notional amounts, maturities and fixed-rate coupons. The interest-rate swap contracts convert the fixed-rate coupons to a floating rate indexed to LIBOR, thereby mitigating our exposure to fluctuations in the fair value of the subordinated notes stemming from changes in the benchmark interest rate. Cash flow hedges Derivatives categorized as cash flow hedges are utilized to offset the variability of cash flows to be received from or paid on a floating-rate asset or liability. Gains and losses on cash flow hedges that are considered highly effective are recorded in other comprehensive income until earnings are affected by the hedged item. When gains or losses are reclassified from accumulated other comprehensive income into earnings, they are recorded in net interest revenue. The ineffectiveness of cash flow hedges, defined as the extent to which the changes in fair value of the derivative exceeded the variability of cash flows of the forecasted transaction, is recorded in processing fees and other revenue. We have entered into interest-rate swap agreements to modify our interest revenue from certain available-for-sale securities from a floating rate to a fixed rate. The securities hedged have a weighted-average life of approximately 3.6 years. These securities are hedged with interest-rate swap contracts of similar maturities, repricing and other characteristics. The interest-rate swap contracts convert the interest revenue from a floating rate to a fixed rate, thereby mitigating our exposure to fluctuations in the cash flows of the securities attributable to changes in the benchmark interest rate. During the three months ended March 31, 2010, we terminated an interest-rate swap agreement with an aggregate notional amount of $200 million, which had modified our interest payments on a subordinated note maturing in 2015 from a floating rate to a fixed rate. A cumulative mark-to-market loss of $24 million on the interest-rate swap agreement was recorded in other comprehensive income as of the termination date; this loss will be amortized into interest expense in our consolidated statement of income over the remaining term of the subordinated note.   The following table presents the aggregate contractual, or notional, amounts of derivative financial instruments held or issued for trading and asset and liability management activities as of the dates indicated:   <table border="0" cellspacing="0" cellpadding="0" width="84%" align="center"> <tr> <td width="72%"></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom" nowrap="nowrap">(In millions)</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">March 31, 2010</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">December 31, 2009</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Trading: </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Interest-rate contracts: </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Swap agreements </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2,843</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">261</td> </tr> <tr> <td valign="top"> Options and caps purchased </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">582</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">169</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Options and caps written </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">159</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">169</td> </tr> <tr> <td valign="top"> Futures </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">9,771</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">747</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Foreign exchange contracts: </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Forward and spot </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">620,484</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">565,661</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Options purchased </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">15,886</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">10,977</td> </tr> <tr> <td valign="top"> Options written </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">15,441</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">10,710</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Credit derivative contracts: </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Credit default swap agreements </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">145</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">170</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Other contracts: </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Options written </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">52,364</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">52,948</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Asset and liability management: </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Interest-rate contracts: </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Swap agreements </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3,241</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,577</td> </tr> </table> As described above, in connection with our asset and liability management activities, we have executed interest-rate swap agreements designated as fair value and cash flow hedges to manage our interest-rate risk. The aggregate notional amounts of these interest-rate swap agreements and the related assets or liabilities being hedged are presented in the following table.   <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="60%"></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"> </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="8" align="center">March 31, 2010</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="8" align="center">December 31, 2009</td> </tr> <tr> <td valign="bottom" nowrap="nowrap">(In millions)</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Fair Value Hedges</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Cash Flow Hedges</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Total</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Fair Value Hedges</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Cash Flow Hedges</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Total</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Available-for-sale investment securities </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,682</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">159</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,841</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,707</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">170</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,877</td> </tr> <tr> <td valign="top"> Long-term debt(1)(2) </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,400</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,400</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">500</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">200</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">700</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,082</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">159</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,241</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2,207</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">370</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2,577</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> </tr> </table>   <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="4%" align="left">(1)</td> <td valign="top" align="left"> As of March 31, 2010 and December 31, 2009, fair value hedges of long-term debt increased the carrying value of long-term debt presented in our consolidated statement of condition by $35 million and $31 million, respectively. </td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="4%" align="left">(2)</td> <td valign="top" align="left"> For the three months ended March 31, 2010 and 2009, the overall weighted-average interest rate for long-term debt was 3.74% and 4.82%, respectively, on a contractual basis, and 3.28% and 4.65%, respectively, including the effects of the hedges. </td> </tr> </table>   For cash flow hedges, any changes in the fair value of the derivative financial instruments remain in accumulated other comprehensive income and are generally recorded in our consolidated statement of income in future periods when earnings are affected by the variability of the hedged cash flow. Foreign exchange trading revenue related to foreign exchange contracts was $134 million and $191 million for the three months ended March 31, 2010 and 2009, respectively. Future cash requirements, if any, related to foreign exchange contracts are represented by the gross amount of currencies to be exchanged under each contract unless we and the counterparty have agreed to pay or receive the net contractual settlement amount on the settlement date. The following tables present the fair value of derivative financial instruments, excluding the effect of master netting agreements, recorded in our consolidated statement of condition. The impact of master netting agreements is disclosed in note 9.   <table border="0" cellspacing="0" cellpadding="0" width="84%" align="center"> <tr> <td width="46%"></td> <td valign="bottom" width="4%"></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="4" align="center">Asset Derivatives</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="4" align="center">Liability Derivatives</td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="4" align="center">March 31, 2010</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="4" align="center">March 31, 2010</td> </tr> <tr> <td valign="bottom" nowrap="nowrap">(In millions)</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Balance Sheet Location</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Fair Value</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Balance Sheet Location</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Fair Value</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Derivatives utilized in trading activities: </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Interest-rate contracts </td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other assets</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">33</td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other liabilities</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">13</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Foreign exchange contracts </td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other assets</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6,139</td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other liabilities</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6,372</td> </tr> <tr> <td valign="top"> Credit derivative contracts </td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other assets</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1</td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other liabilities</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">6,173</td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">6,386</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> </tr> <tr> <td valign="top"> Derivatives designated as hedges: </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Interest-rate contracts </td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other assets</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">23</td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other liabilities</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">197</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="top"> Total </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">23</td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">197</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> </tr> </table>   <table border="0" cellspacing="0" cellpadding="0" width="84%" align="center"> <tr> <td width="46%"></td> <td valign="bottom" width="4%"></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="4" align="center">Asset Derivatives</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="4" align="center">Liability Derivatives</td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="4" align="center">December 31, 2009</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="4" align="center">December 31, 2009</td> </tr> <tr> <td valign="bottom" nowrap="nowrap">(In millions)</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Balance Sheet Location</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Fair Value</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Balance Sheet Location</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Fair Value</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Derivatives utilized in trading activities: </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Interest-rate contracts </td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other assets</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">13</td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other liabilities</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">13</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Foreign exchange contracts </td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other assets</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6,345</td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other liabilities</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6,398</td> </tr> <tr> <td valign="top"> Credit derivative contracts </td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other assets</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1</td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other liabilities</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">6,359</td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">6,412</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> </tr> <tr> <td valign="top"> Derivatives designated as hedges: </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Interest-rate contracts </td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other assets</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">20</td> <td valign="bottom">  </td> <td valign="bottom" align="right">Other liabilities</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">206</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="top"> Total </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">20</td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">206</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> </tr> </table>   The following tables present the effect of our use of derivative financial instruments on our consolidated statement of income:   <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="35%"></td> <td valign="bottom" width="12%"></td> <td width="25%"></td> <td valign="bottom" width="12%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="12%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center"> Location of Gain (Loss) on Derivative in Consolidated Statement of Income </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom" nowrap="nowrap">(In millions)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Three Months Ended March 31, 2010</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Three Months Ended March 31, 2009</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Derivatives utilized in trading activities : </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Interest-rate contracts </td> <td valign="bottom"> </td> <td valign="bottom"> Processing fees and other revenue </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">11</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(77</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Interest-rate contracts </td> <td valign="bottom"> </td> <td valign="bottom"> Trading services revenue </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Foreign exchange contracts </td> <td valign="bottom"> </td> <td valign="bottom"> Processing fees and other revenue </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Foreign exchange contracts </td> <td valign="bottom"> </td> <td valign="bottom"> Trading services revenue </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">143</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">191</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> </tr> <tr> <td valign="top"> Total </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">155</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">114</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td> </td> </tr> </table>   <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="29%"></td> <td valign="bottom" width="5%"></td> <td></td> <td valign="bottom" width="5%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="5%"></td> <td></td> <td valign="bottom" width="5%"></td> <td></td> <td valign="bottom" width="5%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Location of Gain (Loss) on Derivative in Consolidated Statement of Income</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Hedged Item in Fair Value Hedging Relationship</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Location of Gain (Loss) on Hedged Item in Consolidated Statement of Income</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Amount of Gain (Loss) on Hedged Item Recognized in Consolidated Statement of Income</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom" nowrap="nowrap">(In millions)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Three Months Ended March 31, 2010</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Three Months Ended March 31, 2010</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Derivatives designated as fair value hedges: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Interest-rate contracts </td> <td valign="bottom"> </td> <td valign="bottom" align="center">Net interest revenue</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">9</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="top">Long-term debt</td> <td valign="bottom"> </td> <td valign="bottom" align="center">Net interest revenue</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(16</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Interest-rate contracts </td> <td valign="bottom"> </td> <td valign="bottom" align="center">Processing fees and other revenue </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="top">Long-term debt</td> <td valign="bottom"> </td> <td valign="bottom" align="center">Processing fees and other revenue</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Interest-rate contracts </td> <td valign="bottom"> </td> <td valign="bottom" align="center">Processing fees and other revenue </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(9</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom" nowrap="nowrap">Available-for-sale securities</td> <td valign="bottom"> </td> <td valign="bottom" align="center">Processing fees and other revenue</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">9</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(6</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td> </td> </tr> <tr> <td height="16"></td> <td height="16" colspan="2"></td> <td height="16" colspan="4"></td> <td height="16" colspan="2"></td> <td height="16" colspan="2"></td> <td height="16" colspan="4"></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Location of Gain (Loss) on Derivative in Consolidated Statement of Income</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Hedged Item in Fair Value Hedging Relationship</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Location of Gain (Loss) on Hedged Item in Consolidated Statement of Income</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Amount of Gain (Loss) on Hedged Item Recognized in Consolidated Statement of Income</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom" nowrap="nowrap">(In millions)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Three Months Ended March 31, 2009</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Three Months Ended March 31, 2009</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Derivatives designated as fair value hedges: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Interest-rate contracts </td> <td valign="bottom"> </td> <td valign="top" align="center">Net interest revenue</td> <td valign="bottom"> </td> <td valign="top">$</td> <td valign="top" align="right">2</td> <td valign="top" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="top">Long-term debt</td> <td valign="bottom"> </td> <td valign="bottom" align="center">Net interest revenue</td> <td valign="bottom"> </td> <td valign="top">$</td> <td valign="top" align="right">(2</td> <td valign="top" nowrap="nowrap">) </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Interest-rate contracts </td> <td valign="bottom"> </td> <td valign="top" align="center">Net interest revenue</td> <td valign="bottom"> </td> <td valign="top"> </td> <td valign="top" align="right">1</td> <td valign="top" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="top">Deposits</td> <td valign="bottom"> </td> <td valign="bottom" align="center">Net interest revenue</td> <td valign="bottom"> </td> <td valign="top"> </td> <td valign="top" align="right">(1</td> <td valign="top" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> Interest-rate contracts </td> <td valign="bottom"> </td> <td valign="bottom" align="center">Processing fees and other revenue </td> <td valign="bottom"> </td> <td valign="top"> </td> <td valign="top" align="right">75</td> <td valign="top" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom" nowrap="nowrap">Available-for-sale securities</td> <td valign="bottom"> </td> <td valign="bottom" align="center">Processing fees and other revenue</td> <td valign="bottom"> </td> <td valign="top"> </td> <td valign="top" align="right">(78</td> <td valign="top" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">78</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(81</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td> </td> </tr> </table>   Differences between the gains (losses) on the derivative and the gains (losses) on the hedged item represent hedge ineffectiveness.   <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="30%"></td> <td valign="bottom" width="9%"></td> <td></td> <td valign="bottom" width="9%"></td> <td></td> <td valign="bottom" width="9%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="9%"></td> <td></td> <td valign="bottom" width="9%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Amount of Gain (Loss) on Derivative Recognized in  Other Comprehensive Income</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Location of Gain (Loss) Reclassified from OCI to Consolidated Statement of Income</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Amount of Gain (Loss) Reclassified from OCI to Consolidated Statement of Income</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Location of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income</td> </tr> <tr> <td valign="bottom" nowrap="nowrap">(In millions)</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Three Months Ended March 31, 2010</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Three Months Ended March 31, 2010</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Three Months Ended March 31, 2010</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Derivatives designated as cash flow hedges: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Interest-rate     contracts </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom"> </td> <td valign="bottom" align="center">Net interest revenue</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(1</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom">Net interest revenue </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(1</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> </tr> </table>   <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="30%"></td> <td valign="bottom" width="9%"></td> <td></td> <td></td> <td valign="bottom" width="9%"></td> <td></td> <td valign="bottom" width="9%"></td> <td></td> <td valign="bottom" width="9%"></td> <td></td> <td valign="bottom" width="9%"></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Amount of Gain (Loss) on Derivative Recognized in  Other Comprehensive Income</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Location of Gain (Loss) Reclassified from OCI to Consolidated Statement of Income</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Amount of Gain (Loss) Reclassified from OCI to Consolidated Statement of Income</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Location of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income</td> </tr> <tr> <td valign="bottom" nowrap="nowrap">(In millions)</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Three Months Ended March 31, 2009</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Three Months Ended March 31, 2009</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" align="center">Three Months Ended March 31, 2009</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Derivatives designated as cash flow hedges: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Interest-rate     contracts </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">4</td> <td valign="bottom"> </td> <td valign="bottom">Net interest revenue </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom"> </td> <td valign="bottom">Net interest revenue </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">4</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> </tr> </table>   </div> Note 10.    Derivative Financial Instruments We use derivative financial instruments to support our customers’ needs, conduct our 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