EXHIBIT 99.2
| Net exposures as of Dec. 28, 2007 |
Gain/(Loss) reported in income (1) |
Unrealized Gain/(Loss) included in OCI (pre-tax)(2) |
Other net changes in net exposures(3) |
Net exposures as of Mar. 28, 2008 | ||||||||||||||
| U.S. Banks Investment Securities Portfolio |
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| Sub-prime residential mortgage-related net exposures: |
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| Sub-prime residential mortgage-backed securities |
$ | 3,910 | $ | (5 | ) | $ | (599 | ) | $ | (101 | ) | $ | 3,205 | |||||
| ABS CDOs |
251 | (121 | ) | 5 | (13 | ) | 122 | |||||||||||
| Total sub-prime residential mortgage-related securities |
4,161 | (126 | ) | (594 | ) | (114 | ) | 3,327 | ||||||||||
| Other net exposures: |
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| Alt-A residential mortgage-backed securities |
7,120 | (182 | ) | (1,436 | ) | (172 | ) | 5,330 | ||||||||||
| Commercial mortgage-backed securities |
5,791 | (37 | ) | (679 | ) | 13 | 5,088 | |||||||||||
| Prime residential mortgage-backed securities |
4,174 | (8 | ) | (303 | ) | (283 | ) | 3,580 | ||||||||||
| Non-residential asset-backed securities |
1,214 | (10 | ) | (48 | ) | (168 | ) | 988 | ||||||||||
| Non-residential CDOs |
903 | (65 | ) | (61 | ) | (7 | ) | 770 | ||||||||||
| Agency residential asset-backed securities |
— | 9 | — | 523 | 532 | |||||||||||||
| Other |
240 | (2 | ) | (17 | ) | 8 | 229 | |||||||||||
| Total |
$ | 23,603 | $ | (421 | ) | $ | (3,138 | ) | $ | (200 | ) | $ | 19,844 | |||||
| (1) | Primarily represents unrealized losses on net exposures. |
| (2) | Represents write-downs on SFAS 115 investment securities, which are reported net of taxes in other comprehensive (loss)/income (“OCI”). The cumulative, pre-tax balance in OCI related to this portfolio was approximately negative $5.4 billion as of March 28, 2008. |
| (3) | Primarily represents principal paydowns, purchases and sales. |