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Table 18: Derivatives Fair Value Gains (Losses), Net

2004 2003 2002

For the Year Ended December 31,

(Restated) (Restated)

(Dollars in millions)

Risk management derivatives:

Swaps:

Pay-fixed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $(10,640) $(4,269) $(24,477)

Receive-fixed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,917 1,849 4,550

Basis swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51 (1) 10

Foreign currency swaps. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 379 695 369

Swaptions:

Pay-fixed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,841) 387 (1,918)

Receive-fixed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,913) (3,047) 4,279

Interest rate caps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (140) (339) (734)

Other

(1)

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (22) (28) (197)

Risk management derivatives fair value losses, net . . . . . . . . . . . . . . . . . . (12,209) (4,753) (18,118)

Mortgage commitment derivatives fair value gains (losses), net . . . . . . . . . (47) (1,536) 5,199

Total derivatives fair value losses, net . . . . . . . . . . . . . . . . . . . . . . . . . . . $(12,256) $(6,289) $(12,919)

2004 2003 2002

As of December 31,

5-year swap rate:

Beginning rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.64% 3.20% 5.09%

Change . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.38 0.44 (1.89)

Ending rate. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.02% 3.64% 3.20%

(1)

Includes MBS options, forward starting debt, forward purchase and sale agreements, swap credit enhancements,

mortgage insurance contracts and exchange-traded futures.

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