This excerpt taken from the PNC 10-Q filed Nov 8, 2007.
We write caps and floors for customers, risk management and proprietary trading purposes. At September 30, 2007, the fair value of the written caps and floors liability on our Consolidated Balance Sheet was $52 million. Our ultimate obligation under written options is based on future market conditions and is only quantifiable at settlement. We manage our market risk exposure from customer positions through transactions with third-party dealers.
We also enter into credit default swaps under which we buy loss protection from or sell loss protection to a counterparty for the occurrence of a credit event of a reference entity. The fair value of the contracts sold on our Consolidated Balance Sheet was a net liability of $22 million at September 30, 2007. The maximum amount we would be required to pay under the credit default swaps in which we sold protection, assuming all reference obligations experience a credit event at a total loss, without recoveries, was $1.9 billion at September 30, 2007.