beatandraise : SEC Filings Research with AI

beatandraise.com

1.0.0.3 false Derivative Instruments and Hedging Activities. false 1 $ false false iso4217_USD Standard http://www.xbrl.org/2003/iso4217 USD iso4217 0 iso4217_USD_per_shares Divide http://www.xbrl.org/2003/iso4217 USD iso4217 http://www.xbrl.org/2003/instance shares 0 shares Standard http://www.xbrl.org/2003/instance shares 0 5 Derivative Instruments and Hedging Activities. 3 us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock us-gaap true na duration string No definition available. false false false false false false false false false 1 false false 0 0 <div> 10.    Derivative Instruments and Hedging Activities.   The Company trades, makes markets and takes proprietary positions globally in listed futures, OTC swaps, forwards, options and other derivatives referencing, among other things, interest rates, currencies, investment grade and non-investment grade corporate credits, loans, bonds, U.S. and other sovereign securities, emerging market bonds and loans, credit indices, asset-backed security indices, property indices, mortgage-related and other asset-backed securities and real estate loan products. The Company uses these instruments for trading, foreign currency exposure management, and asset and liability management.   The Company manages its trading positions by employing a variety of risk mitigation strategies. These strategies include diversification of risk exposures and hedging. Hedging activities consist of the purchase or sale of positions in related securities and financial instruments, including a variety of derivative products (e.g., futures, forwards, swaps and options). The Company manages the market risk associated with its trading activities on a Company-wide basis, on a worldwide trading division level and on an individual product basis.   The Company incurs credit risk as a dealer in OTC derivatives. Credit risk with respect to derivative instruments arises from the failure of a counterparty to perform according to the terms of the contract. The Company’s exposure to credit risk at any point in time is represented by the fair value of the derivative contracts reported as assets. The fair value of a derivative represents the amount at which the derivative could be exchanged in an orderly transaction between market participants, and is further described in Notes 2 and 4.   In connection with its derivative activities, the Company generally enters into master netting agreements and collateral arrangements with counterparties. These agreements provide the Company with the ability to offset a counterparty’s rights and obligations, request additional collateral when necessary or liquidate the collateral in the event of counterparty default.   The tables below present a summary by counterparty credit rating and remaining contract maturity of the fair value of OTC derivatives in a gain position as of December 31, 2009 and December 31, 2008, respectively. Fair value is presented in the final column net of collateral received (principally cash and U.S. government and agency securities):   OTC Derivative Products—Financial Instruments Owned at December 31, 2009(1)   <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="29%"></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="11" align="center">Years to Maturity</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" rowspan="2" colspan="2" align="center">Cross-Maturity and Cash Collateral Netting(3)</td> <td valign="bottom" rowspan="2"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" rowspan="2" colspan="2" align="center">Net Exposure Post-Cash Collateral</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" rowspan="2" colspan="2" align="center">Net Exposure Post- Collateral</td> </tr> <tr> <td valign="bottom" nowrap="nowrap"> Credit Rating(2) </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Less than 1</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">1-3</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">3-5</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Over 5</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom">  </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td valign="bottom" colspan="21" align="center">(dollars in millions)</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> AAA </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">852</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2,026</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,876</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">9,331</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(6,616</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">9,469</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">9,082</td> </tr> <tr> <td valign="top"> AA </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6,469</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,855</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6,600</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">15,071</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(25,576</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">10,419</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,614</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> A </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,018</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">10,712</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,990</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">22,739</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(38,971</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">10,488</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">9,252</td> </tr> <tr> <td valign="top"> BBB </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3,032</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,193</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,947</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,524</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(8,971</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,725</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,902</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Non-investment grade </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,773</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3,331</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,113</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,431</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(4,534</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,114</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6,525</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> </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> <td valign="top"> Total </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">21,144</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">28,117</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">23,526</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">59,096</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(84,668</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">47,215</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">39,375</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> </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="3%" align="left">(1)</td> <td valign="top" align="left">Fair values shown represent the Company’s net exposure to counterparties related to the Company’s OTC derivative products. The table does not include listed derivatives and the effect of any related hedges utilized by the Company. The table also excludes fair values corresponding to other credit exposures, such as those arising from the Company’s lending activities.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(2)</td> <td valign="top" align="left">Obligor credit ratings are determined by the Credit Risk Management Department using methodologies generally consistent with those employed by external rating agencies.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(3)</td> <td valign="top" align="left">Amounts represent the netting of receivable balances with payable balances for the same counterparty across maturity categories. Receivable and payable balances with the same counterparty in the same maturity category are netted within such maturity category, where appropriate. Cash collateral received is netted on a counterparty basis, provided legal right of offset exists.</td> </tr> </table>   OTC Derivative Products—Financial Instruments Owned at December 31, 2008(1)   <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="28%"></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> </tr> <tr> <td valign="bottom" rowspan="2" nowrap="nowrap"> Credit Rating(2) </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="11" align="center">Years to Maturity</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" rowspan="2" colspan="2" align="center">Cross-Maturity and Cash Collateral Netting(3)</td> <td valign="bottom" rowspan="2"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" rowspan="2" colspan="2" align="center">Net Exposure Post-Cash Collateral</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" rowspan="2" colspan="2" align="center">Net Exposure Post- Collateral</td> </tr> <tr> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Less than 1</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">1-3</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">3-5</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Over 5</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom">  </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td valign="bottom" colspan="21" align="center">(dollars in millions)</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> AAA </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,928</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,588</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">6,235</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">16,623</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(11,060</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">17,314</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">15,849</td> </tr> <tr> <td valign="top"> AA </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">10,447</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">13,133</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">16,589</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">40,423</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(63,498</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">17,094</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">15,018</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> A </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,150</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,514</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,805</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">21,752</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(31,025</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">13,196</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12,034</td> </tr> <tr> <td valign="top"> BBB </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,666</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,414</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,980</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,614</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(6,571</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">19,103</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">14,101</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Non-investment grade </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,219</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,163</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,416</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,341</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(12,597</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">16,542</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12,131</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> </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> <td valign="top"> Total </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">32,410</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">39,812</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">41,025</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">94,753</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(124,751</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">83,249</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">69,133</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> </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="3%" align="left">(1)</td> <td valign="top" align="left">Fair values shown represent the Company’s net exposure to counterparties related to the Company’s OTC derivative products. The table does not include listed derivatives and the effect of any related hedges utilized by the Company. The table also excludes fair values corresponding to other credit exposures, such as those arising from the Company’s lending activities.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(2)</td> <td valign="top" align="left">Obligor credit ratings are determined by the Credit Risk Management Department using methodologies generally consistent with those employed by external rating agencies.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(3)</td> <td valign="top" align="left">Amounts represent the netting of receivable balances with payable balances for the same counterparty across maturity categories. Receivable and payable balances with the same counterparty in the same maturity category are netted within such maturity category, where appropriate. Cash collateral received is netted on a counterparty basis, provided legal right of offset exists.</td> </tr> </table>   Hedge Accounting.   The Company applies hedge accounting using various derivative financial instruments and non-U.S. dollar-denominated debt used to hedge interest rate and foreign exchange risk arising from assets and liabilities not held at fair value as part of asset and liability management and foreign currency exposure management.   The Company’s hedges are designated and qualify for accounting purposes as one of the following types of hedges: hedges of changes in fair value of assets and liabilities due to the risk being hedged (fair value hedges) and hedges of net investments in foreign operations whose functional currency is different from the reporting currency of the parent company (net investment hedges).   For all hedges where hedge accounting is being applied, effectiveness testing and other procedures to ensure the ongoing validity of the hedges are performed at least monthly.   Fair Value Hedges—Interest Rate Risk.    The Company’s designated fair value hedges consisted primarily of interest rate swaps designated as fair value hedges of changes in the benchmark interest rate of fixed rate senior long-term borrowings. The Company uses regression analysis to perform an ongoing prospective and retrospective assessment of the effectiveness of these hedging relationships (i.e., the Company applies the “long-haul” method of hedge accounting). A hedging relationship is deemed effective if the fair values of the hedging instrument (derivative) and the hedged item (debt liability) change inversely within a range of 80% to 125%. The Company considers the impact of valuation adjustments related to the Company’s own credit spreads and counterparty credit spreads to determine whether they would cause the hedging relationship to be ineffective.   For qualifying fair value hedges of benchmark interest rates, the changes in the fair value of the derivative and the changes in the fair value of the hedged liability provide offset of one another and, together with any resulting ineffectiveness, are recorded in Interest expense. When a derivative is de-designated as a hedge, any basis adjustment remaining on the hedged liability is amortized to Interest expense over the remaining life of the liability using the effective interest method.   Net Investment Hedges.    The Company may utilize forward foreign exchange contracts and non-U.S. dollar-denominated debt to manage the currency exposure relating to its net investments in non-U.S. dollar functional currency operations. No hedge ineffectiveness is recognized in earnings since the notional amounts of the hedging instruments equal the portion of the investments being hedged, and, where forward contracts are used, the currencies being exchanged are the functional currencies of the parent and investee; where debt instruments are used as hedges, they are denominated in the functional currency of the investee. The gain or loss from revaluing hedges of net investments in foreign operations at the spot rate is deferred and reported within Accumulated other comprehensive income (loss) in Equity, net of tax effects. The forward points on the hedging instruments are recorded in Interest and dividend revenues.   The following tables summarize the fair value of derivative instruments designated as accounting hedges and the fair value of derivative instruments not designated as accounting hedges by type of derivative contract on a gross basis as of December 31, 2009 and December 31, 2008. Fair values of derivative contracts in an asset position are included in Financial instruments owned—derivative and other contracts. Fair values of derivative contracts in a liability position are reflected in Financial instruments sold, not yet purchased—derivative and other contracts.   <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="54%"></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="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="6" align="center">Assets at December 31, 2009</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="6" align="center">Liabilities at December 31, 2009</td> </tr> <tr> <td valign="bottom"> </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 valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Notional</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 valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Notional</td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td valign="bottom" colspan="13" align="center">(dollars in millions)</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Derivatives designated as accounting 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">$</td> <td valign="bottom" align="right">4,343</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">69,026</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">175</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">12,248</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Foreign exchange contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">216</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">10,781</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">105</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,125</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> </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> </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 derivatives designated as accounting hedges </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,559</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">79,807</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">280</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">19,373</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> </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> </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"> Derivatives not designated as accounting hedges(1): </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <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">622,786</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">16,285,375</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">599,291</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">16,123,706</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Credit contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">146,064</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,557,917</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">125,234</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,404,995</td> </tr> <tr> <td valign="top"> Foreign exchange contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">52,312</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,174,815</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">51,369</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,107,989</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Equity contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">41,366</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">476,510</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">49,198</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">492,681</td> </tr> <tr> <td valign="top"> Commodity contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">64,614</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">453,132</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">63,714</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">414,765</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Other </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">389</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12,908</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,123</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6,180</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> </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> </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 derivatives not designated as accounting hedges </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">927,531</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">20,960,657</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">889,929</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">20,550,316</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> </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> </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 derivatives </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">932,090</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">21,040,464</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">890,209</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">20,569,689</td> </tr> <tr> <td valign="top"> Cash collateral netting </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(62,738</td> <td valign="bottom" nowrap="nowrap">) </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">(31,729</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Counterparty netting </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(820,271</td> <td valign="bottom" nowrap="nowrap">) </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">(820,271</td> <td valign="bottom" nowrap="nowrap">) </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 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 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> </tr> <tr> <td valign="top"> Total derivatives </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">49,081</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">21,040,464</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">38,209</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">20,569,689</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> </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> </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="3%" align="left">(1)</td> <td valign="top" align="left">Notional amounts include net notionals related to long and short futures contracts of $434 billion and $696 billion, respectively. The variation margin on these futures contracts (excluded from the table above) of $601 million and $27 million is included in Receivables—brokers, dealers and clearing organizations and Payables—brokers, dealers and clearing organizations, respectively, on the consolidated statements of financial condition.</td> </tr> </table>     <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="50%"></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="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="6" align="center">Assets at December 31, 2008</td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="6" align="center">Liabilities at December 31, 2008</td> </tr> <tr> <td valign="bottom"> </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 valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Notional</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 valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Notional</td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td valign="bottom" colspan="13" align="center">(dollars in millions)</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Derivatives designated as accounting 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">$</td> <td valign="bottom" align="right">5,840</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">60,980</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">112</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,631</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Foreign exchange contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">422</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,796</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">162</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,303</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> </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> </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 derivatives designated as accounting hedges </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6,262</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">65,776</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">274</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,934</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> </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> </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"> Debt instruments designated as net investment hedges(1) </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—  </td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,077</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,077</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> </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> </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 derivatives and non-derivatives designated as accounting hedges </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6,262</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">65,776</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,351</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12,011</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> </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> </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"> Derivatives not designated as accounting hedges(2): </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom">  </td> <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">843,295</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">13,531,925</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">820,697</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">13,616,244</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Credit contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">470,548</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3,688,445</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">442,118</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3,594,335</td> </tr> <tr> <td valign="top"> Foreign exchange contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">98,345</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,077,928</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">99,219</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,027,042</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Equity contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">66,763</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">595,918</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">66,946</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">607,349</td> </tr> <tr> <td valign="top"> Commodity contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">116,213</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">883,441</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">112,836</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">639,555</td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Other </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,520</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">17,797</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,804</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">25,131</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> </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> </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 derivatives not designated as accounting hedges </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,596,684</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">19,795,454</td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,544,620</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">19,509,656</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> </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> </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 derivatives </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,602,946</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">19,861,230</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,544,894</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">19,517,590</td> </tr> <tr> <td valign="top"> Cash collateral netting </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(88,134</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(50,946</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Counterparty netting </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1,425,394</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—  </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1,425,394</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> </tr> <tr> <td valign="top"> Total derivatives </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">89,418</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">19,861,230</td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">68,554</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">19,517,590</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> </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> </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="3%" align="left">(1)</td> <td valign="top" align="left">The notional amount for foreign currency debt instruments designated as net investment hedges represents the principal amount at current exchange rates.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(2)</td> <td valign="top" align="left">Notional amounts include net notionals related to long and short futures contracts of $247 billion and $717 billion, respectively. The variation margin on these futures contracts (excluded from the table above) of $1,927 million and $77 million is included in Receivables—brokers, dealers and clearing organizations and Payables—brokers, dealers and clearing organizations, respectively, on the consolidated statements of financial condition.</td> </tr> </table>   The following tables summarize the gains or losses reported on derivative instruments designated and qualifying as accounting hedges for 2009 and the one month ended December 31, 2008, respectively.   Derivatives Designated as Fair Value Hedges.   The following table presents gains (losses) reported on derivative instruments and the related hedge item as well as the hedge ineffectiveness included in Interest expense in the consolidated statements of income from interest rate contracts:   <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="77%"></td> <td valign="bottom" width="7%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="7%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">2009</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">One Month Ended December 31, 2008</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td valign="bottom" colspan="6" align="center">(dollars in millions)</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> (Loss) gain recognized on derivatives </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(2,696</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,237</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Gain (loss) recognized on borrowings </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3,013</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1,231</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">317</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">6</td> <td valign="bottom" nowrap="nowrap">  </td> </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> </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>   In addition, a gain of $17 million during fiscal 2008 and a gain of $132 million during fiscal 2007 were recognized in income related to hedge ineffectiveness.     Derivatives Designated as Net Investment Hedges.   <table border="0" cellspacing="0" cellpadding="0" width="92%" align="center"> <tr> <td width="73%"></td> <td valign="bottom" width="11%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="6" align="center">Losses Recognized in OCI (effective portion)(1)</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom" nowrap="nowrap"> Product Type </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">2009</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">One Month Ended December 31, 2008</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td valign="bottom" colspan="6" align="center">(dollars in millions)</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Foreign exchange contracts(2) </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(278</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(102</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> Debt instruments </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(192</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(18</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(470</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(120</td> <td valign="bottom" nowrap="nowrap">) </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> </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 style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(1)</td> <td valign="top" align="left">No gains (losses) related to net investment hedges were reclassified from Other comprehensive income (“OCI”) into income during 2009 and the one month ended December 31, 2008, respectively.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(2)</td> <td valign="top" align="left">A loss of $6 million and a loss of $17 million were recognized in income related to amounts excluded from hedge effectiveness testing during 2009 and the one month ended December 31, 2008, respectively. In addition, the amount excluded from the assessment of hedge effectiveness for fiscal 2008 was not material.</td> </tr> </table>   The table below summarizes gains (losses) on derivative instruments not designated as accounting hedges for 2009 and the one month ended December 31, 2008, respectively:   <table border="0" cellspacing="0" cellpadding="0" width="92%" align="center"> <tr> <td width="72%"></td> <td valign="bottom" width="10%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="9%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="6" align="center">Gains (Losses) Recognized in Income(1)(2)</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom" nowrap="nowrap"> Product Type </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">2009</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">One Month Ended December 31, 2008</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td valign="bottom" colspan="6" align="center">(dollars in millions)</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Interest rate contracts </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,515</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,814</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Credit contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(2,579</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1,017</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"> </td> <td valign="bottom" align="right">469</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(2,176</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> Equity contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(9,125</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">91</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Commodity contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,748</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">880</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Other contracts </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">680</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(177</td> <td valign="bottom" nowrap="nowrap">) </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> </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 derivative instruments </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(5,292</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(585</td> <td valign="bottom" nowrap="nowrap">) </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> </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 style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(1)</td> <td valign="top" align="left">Gains (losses) on derivative contracts not designated as hedges are primarily included in Principal transactions—trading.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(2)</td> <td valign="top" align="left">Gains (losses) associated with derivative contracts that have physically settled are excluded from the table above. Gains (losses) on these contracts are reflected with the associated cash instruments, which are also included in Principal transactions—trading.</td> </tr> </table>   The Company also has certain embedded derivatives that have been bifurcated from the related structured borrowings. Such derivatives are classified in Long-term borrowings and had a net fair value of $110 million and $269 million, as of December 31, 2009 and December 31, 2008, respectively, and a notional of $3,442 million and $4,601 million, as of December 31, 2009 and December 31, 2008, respectively. The Company recognized losses of $76 million and $97 million related to changes in the fair value of its bifurcated embedded derivatives for 2009 and the one month ended December 31, 2008, respectively.   As of December 31, 2009 and December 31, 2008, the amount of payables associated with cash collateral received that was netted against derivative assets was $62.7 billion and $88.1 billion, respectively. The amount of receivables in respect of cash collateral paid that was netted against derivative liabilities was $31.7 billion and $50.9 billion, respectively. Cash collateral receivables and payables of $62 million and $227 million, respectively, as of December 31, 2009, and $1.3 billion and $92 million, respectively, as of December 31, 2008, were not offset against certain contracts that did not meet the definition of a derivative.   Credit-Risk-Related Contingencies.   In connection with certain OTC trading agreements, the Company may be required to provide additional collateral or immediately settle any outstanding liability balances with certain counterparties in the event of a credit ratings downgrade. As of December 31, 2009 and December 31, 2008, the aggregate fair value of derivative contracts that contain credit-risk-related contingent features that are in a net liability position totaled $23,052 million and $39,871 million, respectively, for which the Company has posted collateral of $20,607 million and $31,779 million, respectively, in the normal course of business. As of December 31, 2009 and December 31, 2008, the amount of additional collateral or termination payments that could be called by counterparties under the terms of such agreements in the event of a one-notch downgrade of the Company’s long-term credit rating was approximately $717 million and $928 million, respectively. Additional collateral or termination payments of approximately $975 million and $1,898 million could be called by counterparties in the event of a two-notch downgrade, as of December 31, 2009 and December 31, 2008, respectively. Of these amounts, $1,203 million and $1,738 million, as of December 31, 2009 and December 31, 2008, respectively, related to bilateral arrangements between the Company and other parties where upon the downgrade of one party, the downgraded party must deliver incremental collateral to the other party. These bilateral downgrade arrangements are a risk management tool used extensively by the Company as credit exposures are reduced if counterparties are downgraded.   Credit Derivatives and Other Credit Contracts.   The Company enters into credit derivatives, principally through credit default swaps, under which it provides counterparties protection against the risk of default on a set of debt obligations issued by a specified reference entity or entities. A majority of the Company’s counterparties are banks, broker-dealers, insurance and other financial institutions, and monoline insurers. The table below summarizes certain information regarding protection sold through credit default swaps and credit-linked notes as of December 31, 2009:   <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 valign="bottom" width="2%"></td> <td></td> <td></td> <td valign="bottom" width="2%"></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" colspan="17" align="center">Protection Sold</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="14" align="center">Maximum Potential Payout/Notional</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" rowspan="3" colspan="2" align="center">Fair Value (Asset)/ Liability(1)(2)</td> <td valign="bottom" rowspan="3"> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="14" align="center">Years to Maturity</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom" nowrap="nowrap"> Credit Ratings of the Reference Obligation </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Less than 1</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">1-3</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">3-5</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Over 5</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Total</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="17" align="center">(dollars in millions)</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Single name credit default swaps: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> AAA </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">926</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2,733</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">10,969</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">30,542</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">45,170</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">846</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> AA </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">13,355</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">31,475</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">38,360</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">39,424</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">122,614</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,355</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> A </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">35,164</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">101,909</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">100,489</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">50,432</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">287,994</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(3,115</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> BBB </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">57,979</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">161,309</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">151,143</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">80,216</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">450,647</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(6,753</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> Non-investment grade </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">58,408</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">180,311</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">123,972</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">63,871</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">426,562</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">25,870</td> <td valign="bottom" nowrap="nowrap">  </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> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">165,832</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">477,737</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">424,933</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">264,485</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,332,987</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">18,203</td> <td valign="bottom" nowrap="nowrap">  </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> <td> </td> </tr> <tr> <td valign="top"> Index and basket credit default swaps: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> AAA </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">41,517</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">59,925</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">51,750</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">53,917</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">207,109</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1,563</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> AA </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">1,113</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,082</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">17,120</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">22,315</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,794</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> A </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">198</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3,604</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">25,425</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,666</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">34,893</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(377</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> BBB </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12,866</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">65,484</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">183,799</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">93,906</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">356,055</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(2,101</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Non-investment grade </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">40,941</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">160,331</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">160,127</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">132,267</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">493,666</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">27,665</td> <td valign="bottom" nowrap="nowrap">  </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> <td> </td> </tr> <tr> <td valign="top"> Total </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">95,522</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">290,457</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">425,183</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">302,876</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,114,038</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">25,418</td> <td valign="bottom" nowrap="nowrap">  </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> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total credit default swaps sold </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">261,354</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">768,194</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">850,116</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">567,361</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2,447,025</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">43,621</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td> </td> </tr> <tr> <td valign="top"> Other credit contracts(3)(4) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">51</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">24</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,089</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,164</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,118</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Credit-linked notes(4) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">160</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">74</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">337</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">668</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,239</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(335</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> </tr> <tr> <td valign="top"> Total credit derivatives and other credit contracts </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">261,514</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">768,319</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">850,477</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">569,118</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">2,449,428</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">44,404</td> <td valign="bottom" nowrap="nowrap">  </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> <td> </td> </tr> </table>   <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(1)</td> <td valign="top" align="left">Fair value amounts are shown on a gross basis prior to cash collateral or counterparty netting.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(2)</td> <td valign="top" align="left">Fair value amounts of certain credit default swaps where the Company sold protection have an asset carrying value because credit spreads of the underlying reference entity or entities tightened during 2009.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(3)</td> <td valign="top" align="left">Other credit contracts are credit default swaps that are considered hybrid instruments.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(4)</td> <td valign="top" align="left">Fair value amount shown represents the fair value of the hybrid instruments.</td> </tr> </table>   The table below summarizes certain information regarding protection sold through credit default swaps and credit-linked notes as of December 31, 2008:   <table border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="45%"></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></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="17" align="center">Protection Sold</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="14" align="center">Maximum Potential Payout/Notional</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" rowspan="3" colspan="2" align="center">Fair Value (Asset)/ Liability(1)</td> <td valign="bottom" rowspan="3"> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="14" align="center">Years to Maturity</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom" nowrap="nowrap"> Credit Ratings of the Reference Obligation </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Less than 1</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">1-3</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">3-5</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Over 5</td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Total</td> <td valign="bottom"> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" colspan="17" align="center">(dollars in millions)</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Single name credit default swaps: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> AAA </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,946</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,593</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">12,766</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">37,166</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">55,471</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">4,438</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> AA </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">13,450</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">24,897</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">54,308</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">42,355</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">135,010</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,757</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> A </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">45,097</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">81,279</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">156,888</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">72,690</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">355,954</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">20,044</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> BBB </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">54,823</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">142,528</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">250,621</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">117,869</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">565,841</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">51,920</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Non-investment grade </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">47,605</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">144,923</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">231,745</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">83,845</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">508,118</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">116,512</td> <td valign="bottom" nowrap="nowrap">  </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> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">162,921</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">397,220</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">706,328</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">353,925</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,620,394</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">198,671</td> <td valign="bottom" nowrap="nowrap">  </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> <td> </td> </tr> <tr> <td valign="top"> Index and basket credit default swaps: </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> AAA </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,989</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">24,821</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">68,390</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">146,105</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">242,305</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">10,936</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> AA </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,435</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,684</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,683</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,073</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">19,875</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,128</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> A </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12,986</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">11,289</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">28,885</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">30,757</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">83,917</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">4,069</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> BBB </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">10,914</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">127,933</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">443,709</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">273,851</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">856,407</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">46,282</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Non-investment grade </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">34,497</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">211,319</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">341,223</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">176,496</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">763,535</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">166,252</td> <td valign="bottom" nowrap="nowrap">  </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> <td> </td> </tr> <tr> <td valign="top"> Total </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">62,821</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">381,046</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">886,890</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">635,282</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,966,039</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">228,667</td> <td valign="bottom" nowrap="nowrap">  </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> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total credit default swaps sold </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">225,742</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">778,266</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,593,218</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">989,207</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,586,433</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">427,338</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td style="BORDER-TOP: #000000 3px double" valign="bottom">  </td> <td> </td> </tr> <tr> <td valign="top"> Other credit contracts(2)(3) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">53</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">43</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">188</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,014</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,298</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,379</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Credit-linked notes(3) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">207</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">486</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">326</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">640</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1,659</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(242</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td valign="bottom"> </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td style="BORDER-TOP: #000000 1px solid" valign="bottom">  </td> <td> </td> </tr> <tr> <td valign="top"> Total credit derivatives and other credit contracts </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">226,002</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">778,795</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">1,593,732</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">992,861</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">3,591,390</td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">430,475</td> <td valign="bottom" nowrap="nowrap">  </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> <td> </td> </tr> </table>   <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(1)</td> <td valign="top" align="left">Fair value amounts are shown on a gross basis prior to cash collateral or counterparty netting.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(2)</td> <td valign="top" align="left">Other credit contracts are credit default swaps that are considered hybrid instruments.</td> </tr> </table> <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="3%" align="left">(3)</td> <td valign="top" align="left">Fair value amount shown represents the fair value of the hybrid instruments.</td> </tr> </table>   Single Name Credit Default Swaps.    A credit default swap protects the buyer against the loss of principal on a bond or loan in case of a default by the issuer. The protection buyer pays a periodic premium (generally quarterly) over the life of the contract and is protected for the period. The Company in turn will have to perform under a credit default swap if a credit event as defined under the contract occurs. Typical credit events include bankruptcy, dissolution or insolvency of the referenced entity, failure to pay and restructuring of the obligations of the referenced entity. In order to provide an indication of the current payment status or performance risk of the credit default swaps, the external credit ratings, primarily Moody’s credit ratings, of the underlying reference entity of the credit default swaps are disclosed.   Index and Basket Credit Default Swaps.    Index and basket credit default swaps are credit default swaps that reference multiple names through underlying baskets or portfolios of single name credit default swaps. Generally, in the event of a default on one of the underlying names, the Company will have to pay a pro rata portion of the total notional amount of the credit default index or basket contract. In order to provide an indication of the current payment status or performance risk of these credit default swaps, the weighted average external credit ratings, primarily Moody’s credit ratings, of the underlying reference entities comprising the basket or index were calculated and disclosed.   The Company also enters into index and basket credit default swaps where the credit protection provided is based upon the application of tranching techniques. In tranched transactions, the credit risk of an index or basket is separated into various portions of the capital structure, with different levels of subordination. The most junior tranches cover initial defaults, and once losses exceed the notional of the tranche, they are passed on to the next most senior tranche in the capital structure. As external credit ratings are not always available for tranched indices and baskets, credit ratings were determined based upon an internal methodology.   Credit Protection Sold Through CLNs.    The Company has invested in CLNs, which are hybrid instruments containing embedded derivatives, in which credit protection has been sold to the issuer of the note. If there is a credit event of a reference entity underlying the CLN, the principal balance of the note may not be repaid in full to the Company.   Purchased Credit Protection.    For single name credit default swaps and non-tranched index and basket credit default swaps, the Company has purchased protection with a notional amount of approximately $1.9 trillion and $2.7 trillion as of December 31, 2009 and December 31, 2008, respectively, compared with a notional amount of approximately $2.1 trillion and $3.0 trillion, as of December 31, 2009 and December 31, 2008, respectively, of credit protection sold with identical underlying reference obligations. In order to identify purchased protection with the same underlying reference obligations, the notional amount for individual reference obligations within non-tranched indices and baskets was determined on a pro rata basis and matched off against single name and non-tranched index and basket credit default swaps where credit protection was sold with identical underlying reference obligations. The Company may also purchase credit protection to economically hedge loans and lending commitments. In total, not considering whether the underlying reference obligations are identical, the Company has purchased credit protection of $2.5 trillion with a positive fair value of $65 billion compared with $2.4 trillion of credit protection sold with a negative fair value of $44 billion as of December 31, 2009. In total, not considering whether the underlying reference obligations are identical, the Company has purchased credit protection of $3.7 trillion with a positive fair value of $458 billion compared with $3.6 trillion of credit protection sold with a negative fair value of $430 billion as of December 31, 2008.   The purchase of credit protection does not represent the sole manner in which the Company risk manages its exposure to credit derivatives. The Company manages its exposure to these derivative contracts through a variety of risk mitigation strategies, which include managing the credit and correlation risk across single name, non-tranched indices and baskets, tranched indices and baskets, and cash positions. Aggregate market risk limits have been established for credit derivatives, and market risk measures are routinely monitored against these limits. The Company may also recover amounts on the underlying reference obligation delivered to the Company under credit default swaps where credit protection was sold. </div> 10.    Derivative Instruments and Hedging Activities.   The Company trades, makes markets and takes proprietary positions globally in false false No definition available. No authoritative reference available. false false 1 1 false UnKnown UnKnown UnKnown false true