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69
The precision of the measures used to manage interest rate risk is limited due to the inherent uncertainty of the underlying forecast
assumptions. These measures do not consider the impact of the effects of changes in the overall level of economic activity associated
with various interest rate scenarios. In addition, the measurement of interest rate sensitivity includes assumptions on the ability of
management to take action to mitigate further exposure to changes in interest rates, including, within legal and competitive
constraints, the re-pricing of interest rates on outstanding credit card loans and deposits.
The Company manages and mitigates its interest rate sensitivity through several techniques, which include, but are not limited to,
changing the maturity and re-pricing characteristics of various balance sheet categories and by entering into interest rate derivatives.
Table 14 reflects the interest rate repricing schedule for earning assets and interest-bearing liabilities as of December 31, 2008.
Table 14: Interest Rate Sensitivity
As of December 31, 2008
Subject to Repricing
(Dollars in Millions)
Within
180 Days
>180 Days-
1 Year
>1 Year-
5 Years
Over
5 Years
Earning assets:
Federal funds sold and resale agreement...............................................
.
$ 637 $  $  $ 
Interest-bearing deposits at other banks ................................................
.
4,807
Securities available for sale...................................................................
.
10,641 3,265 16,158 939
Mortgage loans held for sale(1)...............................................................
.
15 11 54 14
Other .....................................................................................................
.
2,366
Loans held for investment.....................................................................
.
42,858 11,956 41,403 4,801
Total earning assets ........................................................................................
.
61,324 15,232 57,615 5,754
Interest-bearing liabilities:
Interest-bearing deposits .......................................................................
.
63,628 12,698 18,794 2,207
Senior and subordinated notes ..............................................................
.
1,444 2,931 3,934
Other borrowings ..................................................................................
.
9,337 626 3,239 1,668
Total interest-bearing liabilities......................................................................
.
74,409 13,324 24,964 7,809
Non-rate related net items...............................................................................
.
11,308 (103) (1,725) 3,946
Interest sensitivity gap ....................................................................................
.
(1,778) 1,805 30,927 1,891
Impact of swaps..............................................................................................
.
5,519 (2,549) (5,611) 2,641
Impact of consumer loan securitizations.........................................................
.
(6,061) (1,152) 3,702 1,207
Interest sensitivity gap adjusted for impact of securitizations and swaps.......
.
(2,320) 408 29,018 5,739
Adjusted gap as a percentage of managed assets............................................
.
(1.11)% 0.19% 13.83% 2.73 %
Adjusted cumulative gap ................................................................................
.
(165 ) 1,912 27,106 32,845
Adjusted cumulative gap as a percentage of managed assets .........................
.
(1.11)% (0.91)% 12.92% 15.65 %
(1) Mortgage loans held for sale line item excludes the related lower of cost or market adjustments.
Foreign Exchange Risk
The Company is exposed to changes in foreign exchange rates which may impact translated income and expense associated with
foreign operations. In order to limit earnings exposure to foreign exchange risk, the Companys Asset/Liability Management Policy
requires that material foreign currency denominated transactions be hedged. As of December 31, 2008, the estimated reduction in 12-
month earnings due to adverse foreign exchange rate movements corresponding to a 95% probability is less than 2%. The precision of
this estimate is also limited due to the inherent uncertainty of the underlying forecast assumptions.