OCC’s Report on Bank Derivatives Activities Fourth Quarter 2006

Highlights:

"U.S. commercial banks generated record trading revenues of $18.8 billion in 2006, versus the
previous record of $14.4 billion in 2005.

U.S. commercial banks generated $3.9 billion in revenues trading cash and derivative instruments
in the fourth quarter of 2006, down from $4.5 billion in the third quarter of 2006, but up from
$3.1 billion in the fourth quarter of 2005.

Net Current Credit Exposure, the net amount owed to banks if all contracts were immediately
liquidated, increased $9 billion from the third quarter to $185 billion.

The notional amount of derivatives held by U.S. insured commercial banks increased $5.3 trillion
to $131 trillion in the fourth quarter, 4% higher than in the third quarter and 30% higher than the fourth quarter of 2005. Bank derivative contracts remain concentrated in interest rate
products, which represent 82% of total notionals.

The notional amount of credit derivatives, the fastest growing product in the fourth quarter,
increased 14% from the third quarter to $9 trillion. Credit default swaps represent 98% of the
total amount of credit derivatives.

The operational infrastructure improvement effort now focuses on equity derivatives in addition
to credit derivatives.

Five large banks represent 97% of the total notional amount, 79% of total revenues and 88% of net current credit exposure."

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