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Bank of America Corp/DE – ‘10-K’ for 12/31/10 – ‘XML.R11’

On:  Friday, 2/25/11, at 4:27pm ET   ·   For:  12/31/10   ·   Delayed-Release:  Document/Exhibit  –  Release Delayed   ·   Accession #:  950123-11-18743   ·   File #:  1-06523

Previous ‘10-K’:  ‘10-K’ on 2/26/10 for 12/31/09   ·   Next:  ‘10-K’ on 2/23/12 for 12/31/11   ·   Latest:  ‘10-K’ on 2/20/24 for 12/31/23   ·   11 References:   

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  As Of               Filer                 Filing    For·On·As Docs:Size             Issuer                      Filing Agent

 2/25/11  Bank of America Corp/DE           10-K12/31/10  191:87M                                    Donnelley … Solutions/FA

Annual Report   —   Form 10-K   —   Sect. 13 / 15(d) – SEA’34
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: 10-K        Annual Report                                       HTML   6.65M 
191: COVER     ¶ Comment-Response or Cover Letter to the SEC         HTML     46K  
 2: EX-3.B      Articles of Incorporation/Organization or Bylaws    HTML    125K 
 3: EX-4.EE     Instrument Defining the Rights of Security Holders  HTML     70K 
 4: EX-4.FF     Instrument Defining the Rights of Security Holders  HTML     68K 
 5: EX-4.GG     Instrument Defining the Rights of Security Holders  HTML     63K 
 6: EX-4.HH     Instrument Defining the Rights of Security Holders  HTML     63K 
 7: EX-10.C     Material Contract                                   HTML     48K 
 9: EX-10.DDD   Material Contract                                   HTML     49K 
10: EX-10.EEE   Material Contract                                   HTML     97K 
 8: EX-10.I     Material Contract                                   HTML    252K 
11: EX-10.III   Material Contract                                   HTML     70K 
12: EX-10.JJJ   Material Contract                                   HTML    122K 
13: EX-10.KKK   Material Contract                                   HTML     83K 
14: EX-10.LLL   Material Contract                                   HTML     75K 
16: EX-21       Subsidiaries List                                   HTML    500K 
17: EX-23       Consent of Experts or Counsel                       HTML     49K 
18: EX-24.A     Power of Attorney                                   HTML     56K 
19: EX-24.B     Power of Attorney                                   HTML     49K 
15: EX-12       Statement re: Computation of Ratios                 HTML     58K 
20: EX-31.A     Certification -- §302 - SOA'02                      HTML     50K 
21: EX-31.B     Certification -- §302 - SOA'02                      HTML     50K 
22: EX-32.A     Certification -- §906 - SOA'02                      HTML     46K 
23: EX-32.B     Certification -- §906 - SOA'02                      HTML     46K 
143: XML         IDEA XML File -- Definitions and References          XML    986K  
169: XML         IDEA XML File -- Filing Summary                      XML   1.32M  
160: XML.R1      Document and Entity Information                      XML    236K  
161: XML.R2      Consolidated Statement of Income                     XML    729K  
91: XML.R3      Consolidated Balance Sheet                           XML   1.13M 
107: XML.R4      Consolidated Balance Sheet (Parenthetical)           XML    439K  
140: XML.R5      Consolidated Statement of Changes in Shareholders'   XML   1.57M  
                Equity                                                           
134: XML.R6      Consolidated Statement of Cash Flows                 XML    734K  
179: XML.R7      Consolidated Statement of Cash Flows                 XML    331K  
                (Parenthetical)                                                  
54: XML.R8      Summary of Significant Accounting Principles         XML    173K 
133: XML.R9      Merger and Restructuring Activity                    XML    144K  
47: XML.R10     Trading Account Assets and Liabilities               XML     89K 
46: XML.R11     Derivatives                                          XML    601K 
90: XML.R12     Securities                                           XML    515K 
152: XML.R13     Outstanding Loans and Leases                         XML    521K  
95: XML.R14     Allowance for Credit Losses                          XML    172K 
100: XML.R15     Securitizations and Other Variable Interest          XML    682K  
                Entities                                                         
125: XML.R16     Representations and Warranties Obligations and       XML    172K  
                Corporate Guarantees                                             
188: XML.R17     Goodwill and Intangible Assets                       XML    117K  
78: XML.R18     Deposits                                             XML     95K 
30: XML.R19     Federal Funds Sold, Securities Borrowed or           XML    124K 
                Purchased Under Agreements to Resell and                         
                Short-term Borrowings                                            
105: XML.R20     Long-term Debt                                       XML    389K  
149: XML.R21     Commitments and Contingencies                        XML    257K  
62: XML.R22     Shareholders' Equity                                 XML    181K 
141: XML.R23     Accumulated Other Comprehensive Income               XML    129K  
101: XML.R24     Earnings Per Common Share                            XML    111K  
178: XML.R25     Regulatory Requirements and Restrictions             XML    127K  
155: XML.R26     Employee Benefit Plans                               XML    599K  
111: XML.R27     Stock Based Compensation Plans                       XML    112K  
126: XML.R28     Income Taxes                                         XML    222K  
45: XML.R29     Fair Value Measurements                              XML    833K 
50: XML.R30     Fair Value Option                                    XML    185K 
66: XML.R31     Fair Value of Financial Instruments                  XML     90K 
85: XML.R32     Mortgage Servicing Rights                            XML    119K 
124: XML.R33     Business Segment Information                         XML    396K  
154: XML.R34     Parent Company Information                           XML    177K  
37: XML.R35     Performance By Geographic Area                       XML    122K 
55: XML.R36     Summary of Significant Accounting Principles         XML    100K 
                (Policies)                                                       
164: XML.R37     Merger and Restructuring Activity (Tables)           XML    155K  
176: XML.R38     Trading Account Assets and Liabilities (Tables)      XML     87K  
113: XML.R39     Derivatives (Tables)                                 XML    606K  
185: XML.R40     Securities (Tables)                                  XML    544K  
56: XML.R41     Outstanding Loans and Leases (Tables)                XML    559K 
187: XML.R42     Allowance for Credit Losses (Tables)                 XML    175K  
70: XML.R43     Securitizations and Other Variable Interest          XML    690K 
                Entities (Tables)                                                
33: XML.R44     Representations and Warranties Obligations and       XML    154K 
                Corporate Guarantees (Tables)                                    
67: XML.R45     Goodwill and Intangible Assets (Tables)              XML    106K 
148: XML.R46     Deposits (Tables)                                    XML     99K  
174: XML.R47     Federal Funds Sold, Securities Borrowed or           XML    121K  
                Purchased Under Agreements to Resell and                         
                Short-term Borrowings (Tables)                                   
98: XML.R48     Long-term Debt (Tables)                              XML    389K 
73: XML.R49     Commitments and Contingencies (Tables)               XML    125K 
123: XML.R50     Shareholder's Equity (Tables)                        XML    163K  
43: XML.R51     Accumulated Other Comprehensive Income (Tables)      XML    126K 
129: XML.R52     Earnings Per Common Share (Tables)                   XML    106K  
76: XML.R53     Regulatory Requirements and Restrictions (Tables)    XML    112K 
53: XML.R54     Employee Benefit Plans (Tables)                      XML    645K 
172: XML.R55     Stock-Based Compensation Plans (Tables)              XML    109K  
166: XML.R56     Income Taxes (Tables)                                XML    246K  
89: XML.R57     Fair Value Measurements (Tables)                     XML    837K 
60: XML.R58     Fair Value Option (Tables)                           XML    145K 
157: XML.R59     Fair Value of Financial Instruments (Tables)         XML     85K  
49: XML.R60     Mortage Servicing Rights (Tables)                    XML    129K 
135: XML.R61     Business Segment Information (Tables)                XML    394K  
130: XML.R62     Parent Company Information (Tables)                  XML    189K  
165: XML.R63     Performance by Geographical Area (Tables)            XML    121K  
159: XML.R64     Summary of Significant Accounting Principles         XML    958K  
                (Details)                                                        
181: XML.R65     Merger and Restructuring Activity (Details)          XML    215K  
58: XML.R66     Merger and Restructuring Activity (Details 1)        XML    504K 
88: XML.R67     Merger and Restructuring Activity (Details 2)        XML    132K 
119: XML.R68     Merger and Restructuring Activity (Details 3)        XML    318K  
103: XML.R69     Merger and Restructuring Activity (Details           XML    446K  
                Textuals)                                                        
122: XML.R70     Trading Account Assets and Liabilities (Details)     XML    511K  
186: XML.R71     Derivatives (Details)                                XML   7.25M  
59: XML.R72     Derivatives (Details 1)                              XML    426K 
71: XML.R73     Derivatives (Details 2)                              XML    517K 
65: XML.R74     Derivatives (Details Textuals)                       XML    479K 
115: XML.R75     Securities (Details)                                 XML   3.66M  
128: XML.R76     Securities (Details 1)                               XML   4.67M  
110: XML.R77     Securities (Details 2)                               XML    478K  
99: XML.R78     Securities (Details 3)                               XML    120K 
57: XML.R79     Securities (Details 4)                               XML    182K 
35: XML.R80     Securities (Details Textuals)                        XML   1.40M 
117: XML.R81     Outstanding Loans and Leases (Details)               XML   1.82M  
87: XML.R82     Outstanding Loans and Leases (Details 1)             XML    410K 
109: XML.R83     Outstanding Loans and Leases (Details 2)             XML   2.61M  
145: XML.R84     Outstanding Loans and Leases (Details 3)             XML    554K  
139: XML.R85     Outstanding Loans and Leases (Details 4)             XML    230K  
80: XML.R86     Outstanding Loans and Leases (Details 5)             XML    858K 
151: XML.R87     Outstanding Loans and Leases (Details 6)             XML    720K  
136: XML.R88     Outstanding Loans and Leases (Details 7)             XML    218K  
64: XML.R89     Outstanding Loans and Leases (Details 8)             XML    130K 
97: XML.R90     Outstanding Loans and Leases (Details Textuals)      XML   1.28M 
138: XML.R91     Allowance for Credit Losses (Details 1)              XML    615K  
77: XML.R92     Allowance for Credit Losses (Details 2)              XML   1.32M 
156: XML.R93     Allowance for Credit Losses (Details Textuals)       XML    260K  
83: XML.R94     Securitizations and Other Variable Interest          XML   1.20M 
                Entities (Details 1)                                             
144: XML.R95     Securitizations and Other Variable Interest          XML   3.44M  
                Entities (Details 2)                                             
118: XML.R96     Securitizations and Other Variable Interest          XML   3.95M  
                Entities (Details 3)                                             
36: XML.R97     Securitizations and Other Variable Interest          XML   1.44M 
                Entities (Details 4)                                             
81: XML.R98     Securitizations and Other Variable Interest          XML   1.27M 
                Entities (Details Textuals)                                      
150: XML.R99     Representations and Warranties Obligations and       XML    540K  
                Corporate Guarantees (Details)                                   
51: XML.R100    Representations and Warranties Obligations and       XML    480K 
                Corporate Guarantees (Details 1)                                 
112: XML.R101    Representations and Warranties Obligations and       XML    360K  
                Corporate Guarantees (Details Textuals)                          
127: XML.R102    Goodwill and Intangible Assets (Details 1)           XML    544K  
163: XML.R103    Goodwill and Intangible Assets (Details 2)           XML    345K  
190: XML.R104    Goodwill and Intangible Assets (Details Textuals)    XML    482K  
74: XML.R105    Deposits (Details)                                   XML    475K 
38: XML.R106    Federal Funds Sold, Securities Borrowed or           XML    793K 
                Purchased Under Agreements to Resell and                         
                Short-term Borrowings (Details)                                  
79: XML.R107    Long-term Debt (Details)                             XML   2.11M 
86: XML.R108    Long-term Debt (Details 1)                           XML    732K 
48: XML.R109    Long-term Debt (Details 2)                           XML   7.81M 
171: XML.R110    Long-Term Debt (Details Textuals)                    XML    635K  
168: XML.R111    Commitments and Contingencies (Details)              XML   9.96M  
42: XML.R112    Shareholder's Equity (Details)                       XML   3.04M 
92: XML.R113    Shareholders Equity (Details Textuals)               XML   1.21M 
108: XML.R114    Accumulated Other Comprehensive Income (Details)     XML    756K  
142: XML.R115    Earnings Per Common Share (Details 1)                XML    179K  
44: XML.R116    Earnings Per Common Share (Details 2)                XML    166K 
180: XML.R117    Earnings Per Common Share (Details Textual)          XML    242K  
120: XML.R118    Regulatory Requirements and Restrictions (Details)   XML    472K  
104: XML.R119    Regulatory Requirements and Restrictions (Details    XML    493K  
                Textuals)                                                        
41: XML.R120    Employee Benefit Plans (Details)                     XML    651K 
147: XML.R121    Employee Benefit Plans (Details 1)                   XML   1.15M  
131: XML.R122    Employee Benefit Plans (Details 2)                   XML   1.19M  
82: XML.R123    Employee Benefit Plans (Details 3)                   XML    860K 
72: XML.R124    Employee Benefit Plans (Details 4)                   XML    408K 
96: XML.R125    Employee Benefit Plans (Details 5)                   XML    495K 
183: XML.R126    Employee Benefit Plans (Details 6)                   XML    370K  
114: XML.R127    Employee Benefit Plans (Details 7)                   XML   1.94M  
116: XML.R128    Employee Benefit Plans (Details 8)                   XML    803K  
158: XML.R129    Employee Benefit Plans (Details 9)                   XML    373K  
132: XML.R130    Employee Benefit Plans (Details Textuals)            XML   1.31M  
32: XML.R131    Stock-Based Compensation Plans (Details)             XML    560K 
162: XML.R132    Stock-Based Compensation Plans (Details 1)           XML    812K  
68: XML.R133    Income Taxes (Details)                               XML   2.87M 
94: XML.R134    Fair Value Measurements (Details 1)                  XML   8.81M 
121: XML.R135    Fair Value Measurements (Details 2)                  XML   2.45M  
106: XML.R136    Fair Value Measurements (Details 3)                  XML    740K  
182: XML.R137    Fair Value Measurements (Details 4)                  XML   1.92M  
69: XML.R138    Fair Value Measurements (Details 5)                  XML    774K 
52: XML.R139    Fair Value Measurements (Details 6)                  XML    249K 
189: XML.R140    Fair Value Measurements (Details Textuals)           XML    541K  
175: XML.R141    Fair Value Option (Details)                          XML   1.52M  
93: XML.R142    Fair Value Option (Details 1)                        XML    520K 
31: XML.R143    Fair Value Option (Details Textuals)                 XML     87K 
167: XML.R144    Fair Value of Financial Instruments (Details)        XML    210K  
177: XML.R145    Mortage Servicing Rights (Details)                   XML    223K  
39: XML.R146    Mortgage Servicing Rights (Details 1)                XML    163K 
75: XML.R147    Mortgage Servicing Rights (Details 2)                XML    309K 
102: XML.R148    Mortgage Servicing Rights (Details Textuals)         XML     78K  
184: XML.R149    Business Segment Information (Details)               XML   1.40M  
63: XML.R150    Business Segment Information (Details 1)             XML   1.76M 
84: XML.R151    Business Segment Information (Details 2)             XML    626K 
137: XML.R152    Business Segment Information (Details 3)             XML    331K  
40: XML.R153    Parent Company Information (Details)                 XML    428K 
34: XML.R154    Parent Company Information (Details 1)               XML    551K 
146: XML.R155    Parent Company Information (Details 2)               XML    573K  
61: XML.R156    Performance by Geographical Area (Details)           XML    629K 
173: XML.R157    Performance by Geographical Area (Details            XML    244K  
                Textuals)                                                        
170: EXCEL       IDEA Workbook of Financial Reports (.xls)            XLS  11.72M  
24: EX-101.INS  XBRL Instance -- bac-20101231                        XML  17.41M 
26: EX-101.CAL  XBRL Calculations -- bac-20101231_cal                XML    381K 
29: EX-101.DEF  XBRL Definitions -- bac-20101231_def                 XML   3.49M 
27: EX-101.LAB  XBRL Labels -- bac-20101231_lab                      XML   5.83M 
28: EX-101.PRE  XBRL Presentations -- bac-20101231_pre               XML   4.32M 
25: EX-101.SCH  XBRL Schema -- bac-20101231                          XSD   1.11M 
153: ZIP         XBRL Zipped Folder -- 0000950123-11-018743-xbrl      Zip   1.02M  


‘XML.R11’   —   Derivatives


This Financial Report is an XBRL XML File.


                                                                                                                                                                                
<?xml version="1.0" encoding="windows-1252"?>
<InstanceReport xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema">
<Version> 2.2.0.25 </Version>
<hasSegments> false </hasSegments>
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<ReportLongName> 0204 - Disclosure - Derivatives </ReportLongName>
<DisplayLabelColumn> true </DisplayLabelColumn>
<ShowElementNames> false </ShowElementNames>
<RoundingOption/>
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<CurrencyCode> USD </CurrencyCode>
<FootnoteIndexer/>
<hasSegments> false </hasSegments>
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<MCU>
<KeyName> 1/1/2010 - 12/31/2010 USD ($) USD ($) / shares </KeyName>
<CurrencySymbol> $ </CurrencySymbol>
<contextRef>
<ContextID> Jan-01-2010_Dec-31-2010 </ContextID>
<EntitySchema> http://www.sec.gov/CIK </EntitySchema>
<EntityValue> 0000070858 </EntityValue>
<PeriodDisplayName/>
<PeriodType> duration </PeriodType>
<PeriodStartDate> 2010-01-01T00:00:00 </PeriodStartDate>
<PeriodEndDate> 2010-12-31T00:00:00 </PeriodEndDate>
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<MeasureNamespace> iso4217 </MeasureNamespace>
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<Scale> 0 </Scale>
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<UnitProperty>
<UnitID> Shares </UnitID>
<UnitType> Standard </UnitType>
<StandardMeasure>
<MeasureSchema> http://www.xbrl.org/2003/instance </MeasureSchema>
<MeasureValue> shares </MeasureValue>
<MeasureNamespace> xbrli </MeasureNamespace>
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<Scale> 0 </Scale>
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<UnitProperty>
<UnitID> Pure </UnitID>
<UnitType> Standard </UnitType>
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<MeasureValue> pure </MeasureValue>
<MeasureNamespace> xbrli </MeasureNamespace>
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<UnitProperty>
<UnitID> USDEPS </UnitID>
<UnitType> Divide </UnitType>
<NumeratorMeasure>
<MeasureSchema> http://www.xbrl.org/2003/iso4217 </MeasureSchema>
<MeasureValue> USD </MeasureValue>
<MeasureNamespace> iso4217 </MeasureNamespace>
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<MeasureSchema> http://www.xbrl.org/2003/instance </MeasureSchema>
<MeasureValue> shares </MeasureValue>
<MeasureNamespace> xbrli </MeasureNamespace>
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</UPS>
<CurrencyCode> USD </CurrencyCode>
<OriginalCurrencyCode> USD </OriginalCurrencyCode>
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<CurrencySymbol> $ </CurrencySymbol>
<Labels>
<Label Id="1" Label="12 Months Ended"/>
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<IsAbstractGroupTitle> true </IsAbstractGroupTitle>
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<ElementPrefix> us-gaap </ElementPrefix>
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<DisplayDateInUSFormat> false </DisplayDateInUSFormat>
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<SimpleDataType> string </SimpleDataType>
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<IsTotalLabel> false </IsTotalLabel>
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<Label> Derivatives [Abstract] </Label>
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<Id> 3 </Id>
<IsAbstractGroupTitle> false </IsAbstractGroupTitle>
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<ElementName> us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock </ElementName>
<ElementPrefix> us-gaap </ElementPrefix>
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<!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 4 - us-gaap:DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock--> <div style="margin-left: 0%"> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 12pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">NOTE 4 <font style="color: #ce1126">Derivatives</font></font></b> </div> <div style="margin-top: 3pt; font-size: 1pt">  </div> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Derivative Balances</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Derivatives are entered into on behalf of customers, for trading, as economic hedges or as qualifying accounting hedges. The Corporation enters into derivatives to facilitate client transactions, for principal trading purposes and to manage risk exposures. For additional information on the Corporation’s derivatives and hedging activities, see <i>Note 1 – Summary of Significant Accounting Principles</i>. The table below identifies derivative instruments included on the Corporation’s Consolidated Balance Sheet in derivative assets and liabilities at December 31, 2010 and 2009. Balances are presented on a gross basis, prior to the application of counterparty and collateral netting. Total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and have been reduced by the cash collateral applied. </div> <div style="font-size: 12pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #ce1126"> </div> <div style="margin-top: 6pt; font-size: 1pt">  </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <!-- Table Width Row BEGIN --> <tr style="font-size: 1pt" valign="bottom"> <td width="49%"> </td><!-- colindex=01 type=maindata --> <td width="2%"> </td><!-- colindex=02 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=02 type=lead --> <td width="3%" align="right"> </td><!-- colindex=02 type=body --> <td width="1%" align="left"> </td><!-- colindex=02 type=hang1 --> <td width="2%"> </td><!-- colindex=03 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=03 type=lead --> <td width="3%" align="right"> </td><!-- colindex=03 type=body --> <td width="1%" align="left"> </td><!-- colindex=03 type=hang1 --> <td width="2%"> </td><!-- colindex=04 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=04 type=lead --> <td width="3%" align="right"> </td><!-- colindex=04 type=body --> <td width="1%" align="left"> </td><!-- colindex=04 type=hang1 --> <td width="2%"> </td><!-- colindex=05 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=05 type=lead --> <td width="3%" align="right"> </td><!-- colindex=05 type=body --> <td width="1%" align="left"> </td><!-- colindex=05 type=hang1 --> <td width="4%"> </td><!-- colindex=06 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=06 type=lead --> <td width="3%" align="right"> </td><!-- colindex=06 type=body --> <td width="1%" align="left"> </td><!-- colindex=06 type=hang1 --> <td width="2%"> </td><!-- colindex=07 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=07 type=lead --> <td width="3%" align="right"> </td><!-- colindex=07 type=body --> <td width="1%" align="left"> </td><!-- colindex=07 type=hang1 --> <td width="2%"> </td><!-- colindex=08 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=08 type=lead --> <td width="3%" align="right"> </td><!-- colindex=08 type=body --> <td width="1%" align="left"> </td><!-- colindex=08 type=hang1 --> </tr> <!-- Table Width Row END --> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="22" align="center" valign="bottom"> <b>December 31, 2010</b> </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="10" align="center" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Gross Derivative Assets</b> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="10" align="center" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Gross Derivative Liabilities</b> </td> <td style="border-top: 1px solid #ce1126">   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Trading<br /> </b> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Trading<br /> </b> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Derivatives<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Derivatives<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>and<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Qualifying<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>and<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Qualifying<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Contract/<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Economic<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Accounting<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Economic<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Accounting<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <font style="font-size: 7pt">(Dollars in billions) </font> </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Notional <sup style="font-size: 85%; vertical-align: top">(1)</sup></b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Hedges</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Hedges <sup style="font-size: 85%; vertical-align: top">(2)</sup></b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Total</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Hedges</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Hedges <sup style="font-size: 85%; vertical-align: top">(2)</sup></b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Total</b> </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Interest rate contracts</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>42,719.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,193.9</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>14.9</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,208.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,187.9</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,190.1</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Futures and forwards </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>9.939.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>6.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>6.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>4.7</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>4.7</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Written options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,887.7</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>82.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>82.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Purchased options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>3,026.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>88.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>88.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Foreign exchange contracts</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>630.1</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>26.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>3.7</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>30.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>28.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2.1</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>30.6</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Spot, futures and forwards </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,652.9</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>41.3</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>41.3</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>44.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>44.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Written options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>439.6</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>13.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>13.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Purchased options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>417.1</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>13.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>13.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Equity contracts</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>42.4</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1.7</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1.7</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Futures and forwards </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>78.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2.9</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2.9</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2.1</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2.1</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Written options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>242.7</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>19.4</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>19.4</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Purchased options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>193.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>21.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>21.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Commodity contracts</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>90.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>8.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>0.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>9.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>9.3</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>9.3</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Futures and forwards </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>413.7</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>4.1</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>4.1</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Written options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>86.3</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>6.7</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>6.7</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Purchased options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>84.6</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>6.6</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>6.6</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Credit derivatives</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Purchased credit derivatives: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 30pt"> Credit default swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,184.7 </b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>69.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>69.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>34.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>34.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 30pt"> Total return swaps/other </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>26.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>0.9</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>0.9</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>0.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>0.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Written credit derivatives: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 30pt"> Credit default swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,133.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>33.3</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>33.3</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>63.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>63.2</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 30pt"> Total return swaps/other </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>22.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>0.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>0.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>0.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>0.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="top" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Gross derivative assets/liabilities </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,518.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>18.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,537.6</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,501.5</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>4.3</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,505.8</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> Less: Legally enforceable master netting agreements </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(1,406.3</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(1,406.3</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> Less: Cash collateral applied </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(58.3</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(43.6</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="top" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 30pt"> <b><font style="font-size: 6pt">Total derivative assets/liabilities</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>73.0</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>55.9</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <tr> <td width="1%"></td> <td width="1%"></td> <td width="98%"></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(1)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Represents the total contract/notional amount of derivative assets and liabilities outstanding. </font></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(2)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Excludes $4.1 billion of long-term debt designated as a hedge of foreign currency risk. </font></td> </tr> </table> <!-- XBRL Pagebreak Begin --> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="right" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <font style="font-size: 7pt"> </font> <b> <font style="font-size: 8pt"> </font> </b> </div> </div> <!-- END PAGE WIDTH --> <!-- PAGEBREAK --> <div style="margin-left: 0%"> <!-- BEGIN PAGE WIDTH --> <!-- XBRL Pagebreak End --> <div style="margin-top: 0pt; font-size: 1pt">  </div> <div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #ce1126"> </div> <div style="margin-top: 6pt; font-size: 1pt">  </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <!-- Table Width Row BEGIN --> <tr style="font-size: 1pt" valign="bottom"> <td width="50%"> </td><!-- colindex=01 type=maindata --> <td width="2%"> </td><!-- colindex=02 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=02 type=lead --> <td width="3%" align="right"> </td><!-- colindex=02 type=body --> <td width="1%" align="left"> </td><!-- colindex=02 type=hang1 --> <td width="2%"> </td><!-- colindex=03 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=03 type=lead --> <td width="3%" align="right"> </td><!-- colindex=03 type=body --> <td width="1%" align="left"> </td><!-- colindex=03 type=hang1 --> <td width="2%"> </td><!-- colindex=04 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=04 type=lead --> <td width="3%" align="right"> </td><!-- colindex=04 type=body --> <td width="1%" align="left"> </td><!-- colindex=04 type=hang1 --> <td width="2%"> </td><!-- colindex=05 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=05 type=lead --> <td width="3%" align="right"> </td><!-- colindex=05 type=body --> <td width="1%" align="left"> </td><!-- colindex=05 type=hang1 --> <td width="3%"> </td><!-- colindex=06 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=06 type=lead --> <td width="3%" align="right"> </td><!-- colindex=06 type=body --> <td width="1%" align="left"> </td><!-- colindex=06 type=hang1 --> <td width="2%"> </td><!-- colindex=07 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=07 type=lead --> <td width="3%" align="right"> </td><!-- colindex=07 type=body --> <td width="1%" align="left"> </td><!-- colindex=07 type=hang1 --> <td width="2%"> </td><!-- colindex=08 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=08 type=lead --> <td width="3%" align="right"> </td><!-- colindex=08 type=body --> <td width="1%" align="left"> </td><!-- colindex=08 type=hang1 --> </tr> <!-- Table Width Row END --> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="22" align="center" valign="bottom"> December 31, 2009 </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="10" align="center" valign="bottom" style="border-top: 1px solid #ce1126"> Gross Derivative Assets </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="10" align="center" valign="bottom" style="border-top: 1px solid #ce1126"> Gross Derivative Liabilities </td> <td style="border-top: 1px solid #ce1126">   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> Trading<br /> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> Trading<br /> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Derivatives<br /> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Derivatives<br /> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> and<br /> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Qualifying<br /> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> and<br /> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Qualifying<br /> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Contract/<br /> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Economic<br /> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Accounting<br /> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Economic<br /> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Accounting<br /> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <font style="font-size: 7pt">(Dollars in billions) </font> </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Notional <sup style="font-size: 85%; vertical-align: top">(1)</sup> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Hedges </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Hedges <sup style="font-size: 85%; vertical-align: top">(2)</sup> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Total </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Hedges </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Hedges <sup style="font-size: 85%; vertical-align: top">(2)</sup> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Total </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Interest rate contracts</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 45,261.5 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,121.3 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 5.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,126.9 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,105.0 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,105.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Futures and forwards </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 11,842.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 7.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 7.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 6.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 6.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Written options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,865.5 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 84.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 84.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Purchased options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,626.7 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 84.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 84.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Foreign exchange contracts</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 661.9 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 23.7 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 4.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 28.3 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 27.3 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.5 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 27.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Spot, futures and forwards </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,750.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 24.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.3 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 24.9 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 25.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 25.7 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Written options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 383.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 13.0 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 13.0 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Purchased options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 355.3 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 12.7 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 12.7 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Equity contracts</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 58.5 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2.0 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2.0 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2.0 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2.0 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Futures and forwards </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 79.0 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 3.0 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 3.0 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2.2 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2.2 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Written options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 283.4 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 25.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.4 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 25.5 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Purchased options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 273.7 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 27.3 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 27.3 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Commodity contracts</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 65.3 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 6.9 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 7.0 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 6.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 6.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Futures and forwards </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 387.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 10.4 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 10.4 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 9.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 9.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Written options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 54.9 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 7.9 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 7.9 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Purchased options </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 50.9 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 7.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 7.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Credit derivatives</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Purchased credit derivatives: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 30pt"> Credit default swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,800.5 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 105.5 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 105.5 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 45.2 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 45.2 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 30pt"> Total return swaps/other </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 21.7 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1.5 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1.5 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.4 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.4 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 18pt"> Written credit derivatives: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 30pt"> Credit default swaps </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,788.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 44.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 44.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 98.4 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 98.4 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 30pt"> Total return swaps/other </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 33.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1.1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="top" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> Gross derivative assets/liabilities </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,483.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 10.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,494.2 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,459.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1.8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,461.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> Less: Legally enforceable master netting agreements </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,355.1 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,355.1 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 6pt"> Less: Cash collateral applied </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (51.5 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (55.8 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="top" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="top"> <div style="text-indent: -6pt; margin-left: 30pt"> <b><font style="font-size: 6pt">Total derivative assets/liabilities</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 87.6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 50.7 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <tr> <td width="1%"></td> <td width="1%"></td> <td width="98%"></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(1)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Represents the total contract/notional amount of derivative assets and liabilities outstanding. </font></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(2)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Excludes $4.4 billion of long-term debt designated as a hedge of foreign currency risk. </font></td> </tr> </table> <div style="margin-top: 12pt; font-size: 1pt">  </div> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">ALM and Risk Management Derivatives</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation’s ALM and risk management activities include the use of derivatives to mitigate risk to the Corporation including both derivatives that are designated as hedging instruments and economic hedges. Interest rate, commodity, credit and foreign exchange contracts are utilized in the Corporation’s ALM and risk management activities. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation maintains an overall interest rate risk management strategy that incorporates the use of interest rate contracts, which are generally non-leveraged generic interest rate and basis swaps, options, futures, and forwards, to minimize significant fluctuations in earnings that are caused by interest rate volatility. The Corporation’s goal is to manage interest rate sensitivity so that movements in interest rates do not significantly adversely affect earnings. As a result of interest rate fluctuations, hedged fixed-rate assets and liabilities appreciate or depreciate in fair value. Gains or losses on the derivative instruments that are linked to the hedged fixed-rate assets and liabilities are expected to substantially offset this unrealized appreciation or depreciation. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Interest rate and market risk can be substantial in the mortgage business. Market risk is the risk that values of mortgage assets or revenues will be adversely affected by changes in market conditions such as interest rate movements. To hedge interest rate risk in mortgage banking production income, the Corporation utilizes forward loan sale commitments and other derivative instruments including purchased options. The Corporation also utilizes derivatives such as interest rate options, interest rate swaps, forward settlement contracts and euro-dollar futures as economic hedges of the fair value of MSRs. For additional information on MSRs, see <i>Note 25 – Mortgage Servicing Rights</i>. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation uses foreign currency contracts to manage the foreign exchange risk associated with certain foreign currency-denominated assets and liabilities, as well as the Corporation’s investments in <font style="white-space: nowrap">non-U.S. subsidiaries.</font> Foreign exchange contracts, which include spot and forward contracts, represent agreements to exchange the currency of one country for the currency of another country at an <font style="white-space: nowrap">agreed-upon</font> price on an <font style="white-space: nowrap">agreed-upon</font> settlement date. Exposure to loss on these contracts will increase or decrease over their respective lives as currency exchange and interest rates fluctuate. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation enters into derivative commodity contracts such as futures, swaps, options and forwards as well as non-derivative commodity contracts to provide price risk management services to customers or to manage price risk associated with its physical and financial commodity positions. The non-derivative commodity contracts and physical inventories of commodities expose the Corporation to earnings volatility. Cash flow and fair value accounting hedges provide a method to mitigate a portion of this earnings volatility. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation purchases credit derivatives to manage credit risk related to certain funded and unfunded credit exposures. Credit derivatives include credit default swaps, total return swaps and swaptions. These derivatives are accounted for as economic hedges and changes in fair value are recorded in other income (loss). </div> <div style="margin-top: 12pt; font-size: 1pt">  </div> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Derivatives Designated as Accounting Hedges</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation uses various types of interest rate, commodity and foreign exchange derivative contracts to protect against changes in the fair value of its assets and liabilities due to fluctuations in interest rates, exchange rates and commodity prices (fair value hedges). The Corporation also uses these types of contracts and equity derivatives to protect against changes in the cash flows of its assets and liabilities, and other forecasted transactions (cash flow hedges). The Corporation hedges its net investment in consolidated <font style="white-space: nowrap">non-U.S. operations</font> determined to have functional currencies other than the U.S. dollar using forward exchange contracts, cross-currency basis swaps, and by issuing foreign currency-denominated debt (net investment hedges). </div> <div style="margin-top: 12pt; font-size: 1pt">  </div> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Fair Value Hedges</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The table below summarizes certain information related to the Corporation’s derivatives designated as fair value hedges for 2010, 2009 and 2008. </div> <div style="font-size: 12pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #ce1126"> </div> <div style="margin-top: 6pt; font-size: 1pt">  </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <!-- Table Width Row BEGIN --> <tr style="font-size: 1pt" valign="bottom"> <td width="81%"> </td><!-- colindex=01 type=maindata --> <td width="1%"> </td><!-- colindex=02 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=02 type=lead --> <td width="3%" align="right"> </td><!-- colindex=02 type=body --> <td width="1%" align="left"> </td><!-- colindex=02 type=hang1 --> <td width="1%"> </td><!-- colindex=03 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=03 type=lead --> <td width="2%" align="right"> </td><!-- colindex=03 type=body --> <td width="1%" align="left"> </td><!-- colindex=03 type=hang1 --> <td width="1%"> </td><!-- colindex=04 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=04 type=lead --> <td width="5%" align="right"> </td><!-- colindex=04 type=body --> <td width="1%" align="left"> </td><!-- colindex=04 type=hang1 --> </tr> <!-- Table Width Row END --> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td colspan="10" align="center" valign="bottom"> <b>2010</b> </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Hedged<br /> </b> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Hedge<br /> </b> </td> <td style="border-top: 1px solid #ce1126">   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <font style="font-size: 7pt">(Dollars in millions) </font> </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Derivative</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Item</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Ineffectiveness</b> </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Derivatives designated as fair value hedges</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk on long-term debt <sup style="font-size: 85%; vertical-align: top">(1)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">2,952</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(3,496</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(544</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate and foreign currency risk on long-term debt <sup style="font-size: 85%; vertical-align: top">(1)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(463</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">130</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(333</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk on <font style="white-space: nowrap">available-for-sale</font> securities <sup style="font-size: 85%; vertical-align: top">(2, 3)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(2,577</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">2,667</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">90</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Commodity price risk on commodity inventory <sup style="font-size: 85%; vertical-align: top">(4)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">19</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(19</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt"></font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> <b><font style="font-size: 6pt">Total</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(69</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(718</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(787</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom" style="line-height: 6pt"> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="center" valign="bottom">   </td> <td>   </td> <td colspan="10" align="center" valign="bottom"> 2009 </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Derivatives designated as fair value hedges</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk on long-term debt <sup style="font-size: 85%; vertical-align: top">(1)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (4,858 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 4,082 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (776 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate and foreign currency risk on long-term debt <sup style="font-size: 85%; vertical-align: top">(1)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 932 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (858 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 74 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk on <font style="white-space: nowrap">available-for-sale</font> securities <sup style="font-size: 85%; vertical-align: top">(2, 3)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 791 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,141 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (350 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Commodity price risk on commodity inventory <sup style="font-size: 85%; vertical-align: top">(4)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (51 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 51 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> <b><font style="font-size: 6pt">Total</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (3,186 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,134 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,052 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom" style="line-height: 6pt"> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="center" valign="bottom">   </td> <td>   </td> <td colspan="10" align="center" valign="bottom"> 2008 </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Derivatives designated as fair value hedges</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk on long-term debt <sup style="font-size: 85%; vertical-align: top">(1)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 4,340 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (4,143 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 197 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate and foreign currency risk on long-term debt <sup style="font-size: 85%; vertical-align: top">(1)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 294 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (444 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (150 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk on <font style="white-space: nowrap">available-for-sale</font> securities <sup style="font-size: 85%; vertical-align: top">(2)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 32 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (51 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (19 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> <b><font style="font-size: 6pt">Total</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 4,666 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (4,638 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 28 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <tr> <td width="1%"></td> <td width="1%"></td> <td width="98%"></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(1)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Amounts are recorded in interest expense on long-term debt. </font></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(2)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Amounts are recorded in interest income on AFS securities. </font></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(3)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Measurement of ineffectiveness in 2010 includes $7 million compared to $354 million in 2009 of interest costs on short forward contracts. The Corporation considers this as part of the cost of hedging and it is offset by the fixed coupon receipt on the AFS security that is recognized in interest income on securities. </font></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(4)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Amounts are recorded in trading account profits. </font></td> </tr> </table> <!-- XBRL Pagebreak Begin --> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="right" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <font style="font-size: 7pt"> </font> <b> <font style="font-size: 8pt"> </font> </b> </div> </div> <!-- END PAGE WIDTH --> <!-- PAGEBREAK --> <div style="margin-left: 0%"> <!-- BEGIN PAGE WIDTH --> <!-- XBRL Pagebreak End --> <div style="margin-top: 0pt; font-size: 1pt">  </div> <div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Cash Flow Hedges</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The table below summarizes certain information related to the Corporation’s derivatives designated as cash flow hedges and net investment hedges for 2010, 2009 and 2008. During the next 12 months, net losses in accumulated OCI of approximately $1.8 billion ($1.1 billion after-tax) on derivative instruments that qualify as cash flow hedges are expected to be reclassified into earnings. These net losses reclassified into earnings are expected to primarily reduce net interest income related to the respective hedged items. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Amounts related to interest rate risk on variable rate portfolios reclassified from accumulated OCI increased interest income on assets by $144 million in 2010, reduced interest income on assets by $189 million and $156 million in 2009 and 2008 and increased interest expense on liabilities by $554 million, $1.1 billion and $1.1 billion in 2010, 2009 and 2008, respectively. Amounts reclassified from accumulated OCI exclude amounts related to derivative interest accruals which increased interest expense by $88 million and increased interest income by $160 million for 2010 and 2009, and increased interest expense by $73 million for 2008. Hedge ineffectiveness of $(14) million, $73 million and $(11) million was recorded in interest income, and $(16) million, $(2) million and $4 million was recorded in interest expense in 2010, 2009 and 2008. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Amounts related to commodity price risk reclassified from accumulated OCI are recorded in trading account profits (losses) with the underlying hedged item. Amounts related to price risk on restricted stock awards reclassified from accumulated OCI are recorded in personnel expense. Amounts related to price risk on equity investments included in AFS securities reclassified from accumulated OCI are recorded in equity investment income with the underlying hedged item. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Amounts related to foreign exchange risk recognized in accumulated OCI on derivatives exclude gains of $192 million related to long-term debt designated as a net investment hedge for 2010 compared to losses of $387 million for 2009 and $0 for 2008. </div> <div style="font-size: 12pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #ce1126"> </div> <div style="margin-top: 6pt; font-size: 1pt">  </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <!-- Table Width Row BEGIN --> <tr style="font-size: 1pt" valign="bottom"> <td width="69%"> </td><!-- colindex=01 type=maindata --> <td width="1%"> </td><!-- colindex=02 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=02 type=lead --> <td width="7%" align="right"> </td><!-- colindex=02 type=body --> <td width="1%" align="left"> </td><!-- colindex=02 type=hang1 --> <td width="1%"> </td><!-- colindex=03 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=03 type=lead --> <td width="7%" align="right"> </td><!-- colindex=03 type=body --> <td width="1%" align="left"> </td><!-- colindex=03 type=hang1 --> <td width="1%"> </td><!-- colindex=04 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=04 type=lead --> <td width="8%" align="right"> </td><!-- colindex=04 type=body --> <td width="1%" align="left"> </td><!-- colindex=04 type=hang1 --> </tr> <!-- Table Width Row END --> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td colspan="10" align="center" valign="bottom"> <b>2010</b> </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Hedge<br /> </b> </td> <td style="border-top: 1px solid #ce1126">   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Gains (losses)<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Gains (losses)<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Ineffectiveness and<br /> </b> </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Recognized in<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>in Income<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Amounts Excluded<br /> </b> </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Accumulated OCI<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Reclassified from<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>from Effectiveness<br /> </b> </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <font style="font-size: 7pt">(Dollars in millions, amounts pre-tax) </font> </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>on Derivatives</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Accumulated OCI</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Testing <sup style="font-size: 85%; vertical-align: top">(1, 2)</sup></b> </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Derivatives designated as cash flow hedges</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk on variable rate portfolios </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(1,876</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(410</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(30</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Commodity price risk on forecasted purchases and sales </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">32</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">25</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">11</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Price risk on restricted stock awards </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(97</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(33</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt"></font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Price risk on equity investments included in <font style="white-space: nowrap">available-for-sale</font> securities </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">186</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(226</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt"></font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> <b><font style="font-size: 6pt">Total</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(1,755</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(644</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(19</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Net investment hedges</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Foreign exchange risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(482</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt"></font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(315</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom" style="line-height: 6pt"> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="center" valign="bottom">   </td> <td>   </td> <td colspan="10" align="center" valign="bottom"> 2009 </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Derivatives designated as cash flow hedges</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk on variable rate portfolios </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 502 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,293 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 71 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Commodity price risk on forecasted purchases and sales </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 72 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 70 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (2 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Price risk on equity investments included in <font style="white-space: nowrap">available-for-sale</font> securities </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (332 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> <b><font style="font-size: 6pt">Total</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 242 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,223 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 69 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Net investment hedges</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Foreign exchange risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (2,997 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (142 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom" style="line-height: 6pt"> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="center" valign="bottom">   </td> <td>   </td> <td colspan="10" align="center" valign="bottom"> 2008 </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Derivatives designated as cash flow hedges</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk on variable rate portfolios </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (13 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,266 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (7 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Price risk on equity investments included in <font style="white-space: nowrap">available-for-sale</font> securities </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 243 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> <b><font style="font-size: 6pt">Total</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 230 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,266 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (7 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Net investment hedges</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Foreign exchange risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,814 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (192 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <tr> <td width="1%"></td> <td width="1%"></td> <td width="98%"></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(1)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Gains (losses). </font></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(2)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Amounts related to derivatives designated as cash flow hedges represent hedge ineffectiveness and amounts related to net investment hedges represent amounts excluded from effectiveness testing. </font></td> </tr> </table> <!-- XBRL Pagebreak Begin --> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-size: 8pt"> </font> </b> <font style="font-size: 7pt"> </font> </div> </div> <!-- END PAGE WIDTH --> <!-- PAGEBREAK --> <div style="margin-left: 0%"> <!-- BEGIN PAGE WIDTH --> <!-- XBRL Pagebreak End --> <div style="margin-top: 0pt; font-size: 1pt">  </div> <div align="left" style="margin-top: 6pt; text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation entered into equity total return swaps to hedge a portion of cash-settled restricted stock units (RSUs) granted to certain employees in February 2010 as part of their 2009 compensation. These cash-settled RSUs are accrued as liabilities over the vesting period and adjusted to fair value based on changes in the share price of the Corporation’s common stock. From time to time, the Corporation may enter into equity derivatives to minimize the change in the expense to the Corporation driven by fluctuations in the share price of the Corporation’s common stock during the vesting period of any RSUs that may be granted from time to time, if any, subject to similar or other terms and conditions. Certain of these derivatives are designated as cash flow hedges of unrecognized non-vested awards with the changes in fair value of the hedge recorded in accumulated OCI and reclassified into earnings in the same period as the RSUs affect earnings. The remaining derivatives are accounted for as economic hedges and changes in fair value are recorded in personnel expense. For more information on restricted stock units and related hedges, see <i>Note 20 – Stock-Based Compensation Plans.</i> </div> <div style="margin-top: 12pt; font-size: 1pt">  </div> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Economic Hedges</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Derivatives designated as economic hedges, because either they did not qualify for or were not designated as accounting hedges, are used by the Corporation to reduce certain risk exposures. The table below presents gains (losses) on these derivatives for 2010, 2009 and 2008. These gains (losses) are largely offset by the income or expense that is recorded on the economically hedged item. </div> <div style="margin-top: 12pt; font-size: 1pt">  </div> <div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #ce1126"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <!-- Table Width Row BEGIN --> <tr style="font-size: 1pt" valign="bottom"> <td width="85%"> </td><!-- colindex=01 type=maindata --> <td width="1%"> </td><!-- colindex=02 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=02 type=lead --> <td width="2%" align="right"> </td><!-- colindex=02 type=body --> <td width="1%" align="left"> </td><!-- colindex=02 type=hang1 --> <td width="1%"> </td><!-- colindex=03 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=03 type=lead --> <td width="2%" align="right"> </td><!-- colindex=03 type=body --> <td width="1%" align="left"> </td><!-- colindex=03 type=hang1 --> <td width="1%"> </td><!-- colindex=04 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=04 type=lead --> <td width="2%" align="right"> </td><!-- colindex=04 type=body --> <td width="1%" align="left"> </td><!-- colindex=04 type=hang1 --> </tr> <!-- Table Width Row END --> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <font style="font-size: 7pt">(Dollars in millions) </font> </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>2010</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> 2009 </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> 2008 </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Price risk on mortgage banking production income <sup style="font-size: 85%; vertical-align: top">(1, 2)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>9,109</b> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> $ </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 8,898 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> $ </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 892 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk on mortgage banking servicing income <sup style="font-size: 85%; vertical-align: top">(1)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>3,878</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (4,264 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 8,052 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Credit risk on loans <sup style="font-size: 85%; vertical-align: top">(3)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(119</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (698 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 309 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate and foreign currency risk on long-term debt and other foreign exchange transactions <sup style="font-size: 85%; vertical-align: top">(4)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(2,080</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,572 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,316 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Other <sup style="font-size: 85%; vertical-align: top">(5)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(109</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 16 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 34 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> <b><font style="font-size: 6pt">Total</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>10,679</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 5,524 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 7,971 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <tr> <td width="1%"></td> <td width="1%"></td> <td width="98%"></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(1)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Gains (losses) on these derivatives are recorded in mortgage banking income. </font></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(2)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Includes gains on interest rate lock commitments related to the origination of mortgage loans that are <font style="white-space: nowrap">held-for-sale,</font> which are considered derivative instruments, of $8.7 billion, $8.4 billion and $1.6 billion for 2010, 2009 and 2008, respectively. </font></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(3)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Gains (losses) on these derivatives are recorded in other income (loss). </font></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(4)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">The majority of the balance is related to the revaluation of economic hedges on foreign currency-denominated debt which is recorded in other income (loss). </font></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(5)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Gains (losses) on these derivatives are recorded in other income (loss), and for 2010, also in personnel expense for hedges of certain RSUs. </font></td> </tr> </table> <!-- XBRL Pagebreak Begin --> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="right" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <font style="font-size: 7pt"> </font> <b> <font style="font-size: 8pt"> </font> </b> </div> </div> <!-- END PAGE WIDTH --> <!-- PAGEBREAK --> <div style="margin-left: 0%"> <!-- BEGIN PAGE WIDTH --> <!-- XBRL Pagebreak End --> <div style="margin-top: 0pt; font-size: 1pt">  </div> <div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Sales and Trading Revenue</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation enters into trading derivatives to facilitate client transactions, for principal trading purposes, and to manage risk exposures arising from trading account assets and liabilities. It is the Corporation’s policy to include these derivative instruments in its trading activities which include derivatives and non-derivative cash instruments. The resulting risk from these derivatives is managed on a portfolio basis as part of the Corporation’s <i>GBAM </i>business segment. The related sales and trading revenue generated within <i>GBAM </i>is recorded on various income statement line items including trading account profits (losses) and net interest income as well as other revenue categories. However, the vast majority of income related to derivative instruments is recorded in trading account profits (losses). The table below identifies the amounts in the respective income statement line items attributable to the Corporation’s sales and trading revenue categorized by primary risk for 2010, 2009 and 2008. </div> <div style="margin-top: 12pt; font-size: 1pt">  </div> <div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #ce1126"> </div> <div style="margin-top: 6pt; font-size: 1pt">  </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <!-- Table Width Row BEGIN --> <tr style="font-size: 1pt" valign="bottom"> <td width="74%"> </td><!-- colindex=01 type=maindata --> <td width="1%"> </td><!-- colindex=02 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=02 type=lead --> <td width="3%" align="right"> </td><!-- colindex=02 type=body --> <td width="1%" align="left"> </td><!-- colindex=02 type=hang1 --> <td width="1%"> </td><!-- colindex=03 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=03 type=lead --> <td width="4%" align="right"> </td><!-- colindex=03 type=body --> <td width="1%" align="left"> </td><!-- colindex=03 type=hang1 --> <td width="1%"> </td><!-- colindex=04 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=04 type=lead --> <td width="4%" align="right"> </td><!-- colindex=04 type=body --> <td width="1%" align="left"> </td><!-- colindex=04 type=hang1 --> <td width="1%"> </td><!-- colindex=05 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=05 type=lead --> <td width="3%" align="right"> </td><!-- colindex=05 type=body --> <td width="1%" align="left"> </td><!-- colindex=05 type=hang1 --> </tr> <!-- Table Width Row END --> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td colspan="14" align="center" valign="bottom"> <b>2010</b> </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Trading<br /> </b> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Account<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Profits<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Other<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net Interest<br /> </b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <font style="font-size: 7pt">(Dollars in millions) </font> </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>(Losses)</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Revenues <sup style="font-size: 85%; vertical-align: top">(1)</sup></b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Income</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Total</b> </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b><font style="font-size: 6pt">2,004</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b><font style="font-size: 6pt">113</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b><font style="font-size: 6pt">624</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b><font style="font-size: 6pt">2,741</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Foreign exchange risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">903</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">3</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt"></font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">906</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Equity risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">1,670</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">2,506</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">21</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">4,197</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Credit risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">4,791</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">617</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">3,652</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">9,060</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Other risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">228</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">39</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">(142</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">)</font></b> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">125</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> <b><font style="font-size: 6pt">Total sales and trading revenue</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">9,596</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">3,278</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">4,155</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">17,029</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom" style="line-height: 6pt"> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="center" valign="bottom">   </td> <td>   </td> <td colspan="14" align="center" valign="bottom"> 2009 </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> $ </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 3,145 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> $ </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 33 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> $ </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 1,068 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> $ </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 4,246 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Foreign exchange risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 972 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 26 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,004 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Equity risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,041 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,613 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 246 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 4,900 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Credit risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 4,433 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (2,576 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 4,637 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 6,494 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Other risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,084 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 13 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (469 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 628 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> <b><font style="font-size: 6pt">Total sales and trading revenue</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 11,675 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 89 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 5,508 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 17,272 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom" style="line-height: 6pt"> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="center" valign="bottom">   </td> <td>   </td> <td colspan="14" align="center" valign="bottom"> 2008 </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Interest rate risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> $ </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 1,083 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> $ </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 47 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> $ </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 276 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> $ </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 1,406 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Foreign exchange risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,320 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 6 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 13 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,339 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Equity risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (66 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 686 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 99 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 719 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Credit risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (8,276 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (6,881 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 4,380 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (10,777 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Other risk </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 130 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 58 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> (14 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 174 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> <b><font style="font-size: 6pt">Total sales and trading revenue</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (5,809 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (6,084 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 4,754 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (7,139 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <tr> <td width="1%"></td> <td width="1%"></td> <td width="98%"></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(1)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Represents investment and brokerage services and other income recorded in <i>GBAM</i> that the Corporation includes in its definition of sales and trading revenue. </font></td> </tr> </table> <div style="margin-top: 12pt; font-size: 1pt">  </div> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Credit Derivatives</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation enters into credit derivatives primarily to facilitate client transactions and to manage credit risk exposures. Credit derivatives derive value based on an underlying third party-referenced obligation or a portfolio of referenced obligations and generally require the Corporation as the seller of credit protection to make payments to a buyer upon the occurrence of a predefined credit event. Such credit events generally include bankruptcy of the referenced credit entity and failure to pay under the obligation, as well as acceleration of indebtedness and payment repudiation or moratorium. For credit derivatives based on a portfolio of referenced credits or credit indices, the Corporation may not be required to make payment until a specified amount of loss has occurred <font style="white-space: nowrap">and/or</font> may only be required to make payment up to a specified amount. </div> <!-- XBRL Pagebreak Begin --> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-size: 8pt"> </font> </b> <font style="font-size: 7pt"> </font> </div> </div> <!-- END PAGE WIDTH --> <!-- PAGEBREAK --> <div style="margin-left: 0%"> <!-- BEGIN PAGE WIDTH --> <!-- XBRL Pagebreak End --> <div style="margin-top: 0pt; font-size: 1pt">  </div> <div align="left" style="margin-top: 6pt; text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Credit derivative instruments in which the Corporation is the seller of credit protection and their expiration at December 31, 2010 and 2009 are summarized below. These instruments are classified as investment and non-investment grade based on the credit quality of the underlying reference obligation. The Corporation considers ratings of BBB-or higher as investment-grade. Non-investment grade includes non-rated credit derivative instruments. </div> <div style="margin-top: 12pt; font-size: 1pt">  </div> <div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #ce1126"> </div> <div style="margin-top: 6pt; font-size: 1pt">  </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <!-- Table Width Row BEGIN --> <tr style="font-size: 1pt" valign="bottom"> <td width="68%"> </td><!-- colindex=01 type=maindata --> <td width="1%"> </td><!-- colindex=02 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=02 type=lead --> <td width="3%" align="right"> </td><!-- colindex=02 type=body --> <td width="1%" align="left"> </td><!-- colindex=02 type=hang1 --> <td width="1%"> </td><!-- colindex=03 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=03 type=lead --> <td width="4%" align="right"> </td><!-- colindex=03 type=body --> <td width="1%" align="left"> </td><!-- colindex=03 type=hang1 --> <td width="1%"> </td><!-- colindex=04 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=04 type=lead --> <td width="3%" align="right"> </td><!-- colindex=04 type=body --> <td width="1%" align="left"> </td><!-- colindex=04 type=hang1 --> <td width="1%"> </td><!-- colindex=05 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=05 type=lead --> <td width="3%" align="right"> </td><!-- colindex=05 type=body --> <td width="1%" align="left"> </td><!-- colindex=05 type=hang1 --> <td width="1%"> </td><!-- colindex=06 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=06 type=lead --> <td width="4%" align="right"> </td><!-- colindex=06 type=body --> <td width="1%" align="left"> </td><!-- colindex=06 type=hang1 --> </tr> <!-- Table Width Row END --> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td colspan="18" align="center" valign="bottom"> <b>December 31, 2010</b> </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td colspan="18" align="center" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Carrying Value</b> </td> <td style="border-top: 1px solid #ce1126">   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Less than<br /> </b> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>One to<br /> </b> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Three to<br /> </b> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Over Five<br /> </b> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <font style="font-size: 7pt">(Dollars in millions) </font> </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>One Year</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Three Years</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Five Years</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Years</b> </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Total</b> </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -7pt; margin-left: 7pt"> Credit default swaps: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">158</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">2,607</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">7,331</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">14,880</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">24,976</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Non-investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">598</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">6,630</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">7,854</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">23,106</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">38,188</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> Total </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">756</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">9,237</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">15,185</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">37,986</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">63,164</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Total return swaps/other: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt"></font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt"></font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">38</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">60</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">98</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Non-investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">1</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">2</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">2</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">415</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">420</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> Total </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">1</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">2</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">40</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">475</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">518</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> <b><font style="font-size: 6pt">Total credit derivatives</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">757</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">9,239</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">15,225</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">38,461</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">63,682</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Credit-related notes: <sup style="font-size: 85%; vertical-align: top">(1)</sup> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt"></font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">136</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt"></font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">949</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">1,085</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Non-investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">9</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">33</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">174</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">2,315</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">2,531</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> <b><font style="font-size: 6pt">Total credit-related notes</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">9</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">169</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">174</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">3,264</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><font style="font-size: 6pt">$</font></b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b><font style="font-size: 6pt">3,616</font></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom" style="line-height: 6pt"> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="center" valign="bottom">   </td> <td>   </td> <td colspan="18" align="center" valign="bottom"> <b>Maximum Payout/Notional</b> </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Credit default swaps: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>133,691</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>466,565</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>475,715</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>275,434</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,351,405</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Non-investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>84,851</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>314,422</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>178,880</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>203,930</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>782,083</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> Total </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>218,542</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>780,987</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>654,595</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>479,364</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,133,488</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Total return swaps/other: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b></b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>10</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>15,413</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>4,012</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>19,435</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Non-investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>113</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>78</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>951</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,897</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>3,039</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> Total </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>113</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>88</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>16,364</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>5,909</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>22,474</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> <b><font style="font-size: 6pt">Total credit derivatives</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>218,655</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>781,075</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>670,959</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>485,273</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,155,962</b> </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <div style="margin-top: 6pt; font-size: 1pt">  </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <!-- Table Width Row BEGIN --> <tr style="font-size: 1pt" valign="bottom"> <td width="69%"> </td><!-- colindex=01 type=maindata --> <td width="1%"> </td><!-- colindex=02 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=02 type=lead --> <td width="3%" align="right"> </td><!-- colindex=02 type=body --> <td width="1%" align="left"> </td><!-- colindex=02 type=hang1 --> <td width="1%"> </td><!-- colindex=03 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=03 type=lead --> <td width="3%" align="right"> </td><!-- colindex=03 type=body --> <td width="1%" align="left"> </td><!-- colindex=03 type=hang1 --> <td width="1%"> </td><!-- colindex=04 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=04 type=lead --> <td width="3%" align="right"> </td><!-- colindex=04 type=body --> <td width="1%" align="left"> </td><!-- colindex=04 type=hang1 --> <td width="1%"> </td><!-- colindex=05 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=05 type=lead --> <td width="3%" align="right"> </td><!-- colindex=05 type=body --> <td width="1%" align="left"> </td><!-- colindex=05 type=hang1 --> <td width="1%"> </td><!-- colindex=06 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=06 type=lead --> <td width="4%" align="right"> </td><!-- colindex=06 type=body --> <td width="1%" align="left"> </td><!-- colindex=06 type=hang1 --> </tr> <!-- Table Width Row END --> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td colspan="18" align="center" valign="bottom"> December 31, 2009 </td> <td>   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td>   </td> <td colspan="18" align="center" valign="bottom" style="border-top: 1px solid #ce1126"> Carrying Value </td> <td style="border-top: 1px solid #ce1126">   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> Less than<br /> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> One to<br /> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> Three to<br /> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> Over Five<br /> </td> <td style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <font style="font-size: 7pt">(Dollars in millions) </font> </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> One Year </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Three Years </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Five Years </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Years </td> <td>   </td> <td>   </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> Total </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Credit default swaps: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 454 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 5,795 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 5,831 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 24,586 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 36,666 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Non-investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,342 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 14,012 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 16,081 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 30,274 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 61,709 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> Total </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,796 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 19,807 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 21,912 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 54,860 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 98,375 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Total return swaps/other: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 20 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 5 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 540 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 566 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Non-investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 194 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 3 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 291 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 488 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> Total </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 214 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 8 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 831 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,054 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> <b><font style="font-size: 6pt">Total credit derivatives</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,797 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 20,021 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 21,920 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 55,691 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 99,429 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom" style="line-height: 6pt"> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> <td>   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="center" valign="bottom">   </td> <td>   </td> <td colspan="18" align="center" valign="bottom"> Maximum Payout/Notional </td> <td>   </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Credit default swaps: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 147,501 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 411,258 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 596,103 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 335,526 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,490,388 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Non-investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 123,907 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 417,834 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 399,896 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 356,735 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,298,372 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> Total </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 271,408 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 829,092 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 995,999 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 692,261 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,788,760 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Total return swaps/other: </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom">   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 31 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 60 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,081 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 8,087 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 9,259 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Non-investment grade </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,035 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,280 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,183 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 18,352 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 23,850 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> Total </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,066 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,340 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 3,264 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 26,439 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td nowrap="nowrap" align="right" valign="bottom"> 33,109 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> <b><font style="font-size: 6pt">Total credit derivatives</font></b> </div> </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 273,474 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 830,432 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 999,263 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 718,700 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> <td>   </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,821,869 </td> <td nowrap="nowrap" align="left" valign="bottom">   </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126">   </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126">   </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <tr> <td width="1%"></td> <td width="1%"></td> <td width="98%"></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(1)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">Maximum payout/notional for credit-related notes is the same as these amounts. </font></td> </tr> </table> <!-- XBRL Pagebreak Begin --> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="right" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <font style="font-size: 7pt"> </font> <b> <font style="font-size: 8pt"> </font> </b> </div> </div> <!-- END PAGE WIDTH --> <!-- PAGEBREAK --> <div style="margin-left: 0%"> <!-- BEGIN PAGE WIDTH --> <!-- XBRL Pagebreak End --> <div style="margin-top: 0pt; font-size: 1pt">  </div> <div align="left" style="margin-top: 6pt; text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The notional amount represents the maximum amount payable by the Corporation for most credit derivatives. However, the Corporation does not solely monitor its exposure to credit derivatives based on notional amount because this measure does not take into consideration the probability of occurrence. As such, the notional amount is not a reliable indicator of the Corporation’s exposure to these contracts. Instead, a risk framework is used to define risk tolerances and establish limits to help ensure that certain credit risk-related losses occur within acceptable, predefined limits. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation economically hedges its market risk exposure to credit derivatives by entering into a variety of offsetting derivative contracts and security positions. For example, in certain instances, the Corporation may purchase credit protection with identical underlying referenced names to offset its exposure. The carrying amount and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names and terms at December 31, 2010 was $43.7 billion and $1.4 trillion compared to $79.4 billion and $2.3 trillion at December 31, 2009. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Credit-related notes in the table on page 159 include investments in securities issued by CDOs, CLOs and credit-linked note vehicles. These instruments are classified as trading securities. The carrying value of these instruments equals the Corporation’s maximum exposure to loss. The Corporation is not obligated to make any payments to the entities under the terms of the securities owned. The Corporation discloses internal categorizations (i.e., investment-grade, non-investment grade) consistent with how risk is managed for these instruments. </div> <div style="margin-top: 12pt; font-size: 1pt">  </div> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Credit Risk Management of Derivatives and <font style="white-space: nowrap">Credit-related</font> Contingent Features</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation executes the majority of its derivative contracts in the <font style="white-space: nowrap">over-the-counter</font> market with large, international financial institutions, including broker/dealers and, to a lesser degree, with a variety of non-financial companies. Substantially all of the derivative transactions are executed on a daily margin basis. Therefore, events such as a credit ratings downgrade (depending on the ultimate rating level) or a breach of credit covenants would typically require an increase in the amount of collateral required of the counterparty, where applicable, <font style="white-space: nowrap">and/or</font> allow the Corporation to take additional protective measures such as early termination of all trades. Further, as previously described on page 153, the Corporation enters into legally enforceable master netting agreements which reduce risk by permitting the closeout and netting of transactions with the same counterparty upon the occurrence of certain events. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Substantially all of the Corporation’s derivative contracts contain credit risk-related contingent features, primarily in the form of International Swaps and Derivatives Association, Inc. (ISDA) master agreements that enhance the creditworthiness of these instruments compared to other obligations of the respective counterparty with whom the Corporation has transacted (e.g., other debt or equity). These contingent features may be for the benefit of the Corporation as well as its counterparties with respect to changes in the Corporation’s creditworthiness. At December 31, 2010 and 2009, the Corporation held cash and securities collateral of $76.0 billion and $67.7 billion, and posted cash and securities collateral of $61.2 billion and $62.2 billion in the normal course of business under derivative agreements. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> In connection with certain <font style="white-space: nowrap">over-the-counter</font> derivative contracts and other trading agreements, the Corporation could be required to provide additional collateral or to terminate transactions with certain counterparties in the event of a downgrade of the senior debt ratings of Bank of America Corporation and its subsidiaries. The amount of additional collateral required depends on the contract and is usually a fixed incremental amount <font style="white-space: nowrap">and/or</font> the market value of the exposure. At December 31, 2010 and 2009, the amount of additional collateral and termination payments that would have been required for such derivatives and trading agreements was approximately $1.2 billion and $2.1 billion if the long-term credit rating of the Corporation was incrementally downgraded by one level by all ratings agencies. At December 31, 2010 and 2009, a second incremental one level downgrade by the ratings agencies would have required approximately $1.1 billion and $1.2 billion in additional collateral and termination payments. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation records counterparty credit risk valuation adjustments on derivative assets in order to properly reflect the credit quality of the counterparty. These adjustments are necessary as the market quotes on derivatives do not fully reflect the credit risk of the counterparties to the derivative assets. The Corporation considers collateral and legally enforceable master netting agreements that mitigate its credit exposure to each counterparty in determining the counterparty credit risk valuation adjustment. All or a portion of these counterparty credit risk valuation adjustments can be reversed or otherwise adjusted in future periods due to changes in the value of the derivative contract, collateral and creditworthiness of the counterparty. During 2010 and 2009, credit valuation gains (losses) of $731 million and $3.1 billion ($(8) million and $1.7 billion, net of hedges) for counterparty credit risk related to derivative assets were recognized in trading account profits (losses). At December 31, 2010 and 2009, the cumulative counterparty credit risk valuation adjustment reduced the derivative assets balance by $6.8 billion and $7.9 billion. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> In addition, the fair value of the Corporation’s or its subsidiaries’ derivative liabilities is adjusted to reflect the impact of the Corporation’s credit quality. During 2010 and 2009, credit valuation gains (losses) of $331 million and $(662) million ($262 million and $(662) million, net of hedges) were recognized in trading account profits (losses) for changes in the Corporation’s or its subsidiaries’ credit risk. At December 31, 2010 and 2009, the Corporation’s cumulative credit risk valuation adjustment reduced the derivative liabilities balance by $1.1 billion and $732 million. </div> <!-- XBRL Pagebreak Begin --> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-size: 8pt"> </font> </b> <font style="font-size: 7pt"> </font> </div> </div> <!-- END PAGE WIDTH --> <!-- PAGEBREAK --> <div style="margin-left: 0%"> <!-- BEGIN PAGE WIDTH --> <div style="margin-top: 0pt; font-size: 1pt"> </div> <!-- XBRL Pagebreak End --> </div>
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<SimpleDataType> string </SimpleDataType>
<ElementDefenition> This element can be used to disclose the entity's entire derivative instruments and hedging activities disclosure as a single block of text. Describes an entity's risk management strategies, derivatives in hedging activities and non-hedging derivative instruments, the assets, obligations, liabilities, revenues and expenses arising there from, and the amounts of and methodologies and assumptions used in determining the amounts of such items. </ElementDefenition>
<ElementReferences> Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 45 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44 </ElementReferences>
<IsTotalLabel> false </IsTotalLabel>
<IsEPS> false </IsEPS>
<Label> Derivatives </Label>
</Row>
</Rows>
<Footnotes/>
<NumberOfCols> 1 </NumberOfCols>
<NumberOfRows> 2 </NumberOfRows>
<ReportName> Derivatives </ReportName>
<MonetaryRoundingLevel> UnKnown </MonetaryRoundingLevel>
<SharesRoundingLevel> UnKnown </SharesRoundingLevel>
<PerShareRoundingLevel> UnKnown </PerShareRoundingLevel>
<ExchangeRateRoundingLevel> UnKnown </ExchangeRateRoundingLevel>
<HasCustomUnits> false </HasCustomUnits>
<SharesShouldBeRounded> true </SharesShouldBeRounded>
</InstanceReport>


11 Subsequent Filings that Reference this Filing

  As Of               Filer                 Filing    For·On·As Docs:Size             Issuer                      Filing Agent

 2/20/24  Bank of America Corp./DE          10-K       12/31/23  200:61M
 2/22/23  Bank of America Corp./DE          10-K       12/31/22  200:66M
11/10/22  Bank of America Corp./DE          SC TO-I                7:1.3M Bank of America Corp./DE          Donnelley … Solutions/FA
 2/22/22  Bank of America Corp./DE          10-K       12/31/21  201:72M
 8/02/21  Bank of America Corp./DE          S-3/A                 12:4.2M                                   Donnelley … Solutions/FA
 6/25/21  Bank of America Corp./DE          S-3                   10:2.9M                                   Donnelley … Solutions/FA
 2/24/21  Bank of America Corp./DE          10-K       12/31/20  199:66M
 1/30/12  SEC                               UPLOAD10/03/17    1:45K  Bank of America Corp./DE
12/02/11  SEC                               UPLOAD10/03/17    1:52K  Bank of America Corp./DE
 8/03/11  SEC                               UPLOAD10/03/17    1:69K  Bank of America Corp./DE
 6/06/11  SEC                               UPLOAD10/03/17    1:189K Bank of America Corp./DE
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Filing Submission 0000950123-11-018743   –   Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

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