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<html> <head></head> <body>   <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 0pt"> <i> </i> </div> <div align="left"> </div> <div align="center" style="font-size: 10pt; margin-top: 0pt"><b></b> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 1 — BASIS OF PRESENTATION </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase & Co. (“JPMorgan Chase” or the “Firm”), a financial holding company incorporated under Delaware law in 1968, is a leading global financial services firm and one of the largest banking institutions in the United States of America (“U.S.”), with operations worldwide. The Firm is a leader in investment banking, financial services for consumers and businesses, financial transaction processing and asset management. For a discussion of the Firm’s business segments information, see Note 25 on pages 163–166 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The accounting and financial reporting policies of JPMorgan Chase and its subsidiaries conform to accounting principles generally accepted in the United States of America (“U.S. GAAP”). Additionally, where applicable, the policies conform to the accounting and reporting guidelines prescribed by bank regulatory authorities. The unaudited consolidated financial statements prepared in conformity with U.S. GAAP require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenue and expense, and the disclosures of contingent assets and liabilities. Actual results could be different from these estimates. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited consolidated financial statements should be read in conjunction with the audited consolidated financial statements and related notes thereto included in JPMorgan Chase’s Annual Report on Form 10-K for the year ended December 31, 2008, as filed with the U.S. Securities and Exchange Commission (the “2008 Annual Report”). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Certain amounts in prior periods have been reclassified to conform to the current presentation. </div> </div> </body> </html>

<html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 2 — BUSINESS CHANGES AND DEVELOPMENTS </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Decrease in common stock dividend</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On February 23, 2009, the Board of Directors reduced the Firm’s quarterly common stock dividend from $0.38 to $0.05 per share, effective with the dividend paid on April 30, 2009, to shareholders of record on April 6, 2009. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Acquisition of the banking operations of Washington Mutual Bank</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Refer to Note 2 on pages 123–124 and 127 of JPMorgan Chase’s 2008 Annual Report for a discussion of JPMorgan Chase’s acquisition of the banking operations of Washington Mutual Bank (“Washington Mutual”) on September 25, 2008, including its purchase price and the allocation of the purchase price to net assets acquired and the resulting extraordinary gain. The acquisition is being accounted for under the purchase method of accounting in accordance with SFAS 141. The total purchase price to complete the acquisition was $1.9 billion, which was allocated to the Washington Mutual assets acquired and liabilities assumed using their fair values as of September 25, 2008. The allocation of the purchase price may be modified through September 25, 2009, as more information is obtained about the fair value of assets acquired and liabilities assumed. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Merger with The Bear Stearns Companies Inc.</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Refer to Note 2 on pages 125–127 of JPMorgan Chase’s 2008 Annual Report for a discussion of the merger on May 30, 2008, of a wholly-owned subsidiary of JPMorgan Chase with The Bear Stearns Companies Inc. (“Bear Stearns”). The merger is being accounted for under the purchase method of accounting in accordance with SFAS 141. The total purchase price to complete the merger was $1.5 billion, which was allocated to the Bear Stearns assets acquired and liabilities assumed using their fair values as of April 8, 2008, and May 30, 2008. The updated summary computation of the purchase price and the allocation of the purchase price to the net assets of Bear Stearns are presented below. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except for shares (in thousands), per share amounts</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">and where otherwise noted)</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Purchase price</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Shares exchanged in the Share Exchange transaction (April 8, 2008) </div></td> <td> </td> <td> </td> <td align="right">95,000</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other Bear Stearns shares outstanding </div></td> <td> </td> <td> </td> <td align="right">145,759</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total Bear Stearns stock outstanding </div></td> <td> </td> <td> </td> <td align="right">240,759</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Cancellation of shares issued in the Share Exchange transaction </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(95,000</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Cancellation of shares acquired by JPMorgan Chase for cash in the open market </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(24,061</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Bear Stearns common stock exchanged as of May 30, 2008 </div></td> <td> </td> <td> </td> <td align="right">121,698</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Exchange ratio </div></td> <td> </td> <td> </td> <td align="right">0.21753</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">JPMorgan Chase common stock issued </div></td> <td> </td> <td> </td> <td align="right">26,473</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average purchase price per JPMorgan Chase common share<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="left">$</td> <td align="right">45.26</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Total fair value of JPMorgan Chase common stock issued </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,198</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Bear Stearns common stock acquired for cash in the open market (24 million shares at an average share price of $12.37 per share) </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">298</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Fair value of employee stock awards (largely to be settled by shares held in the RSU Trust<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup>) </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">242</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Direct acquisition costs </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">27</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Less: Fair value of Bear Stearns common stock held in the RSU Trust and included in the exchange of common stock </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(269</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total purchase price</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">1,496</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net assets acquired</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Bear Stearns common stockholders’ equity </div></td> <td> </td> <td align="left">$</td> <td align="right">6,052</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Adjustments to reflect assets acquired at fair value:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(3,877</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Premises and equipment </div></td> <td> </td> <td> </td> <td align="right">509</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(288</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Adjustments to reflect liabilities assumed at fair value:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td> </td> <td align="right">504</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other liabilities </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,289</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Fair value of net assets acquired excluding goodwill</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">611</td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="2" align="right" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Goodwill resulting from the merger</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">885</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>The value of JPMorgan Chase common stock was determined by averaging the closing prices of JPMorgan Chase’s common stock for the four trading days during the period March 19, 2008, through March 25, 2008.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Represents shares of Bear Stearns common stock held in an irrevocable grantor trust (the “RSU Trust”), to be used to settle stock awards granted to selected employees and certain key executives under certain heritage Bear Stearns employee stock plans. Shares in the RSU Trust were exchanged for 6 million shares of JPMorgan Chase common stock at the merger exchange ratio of 0.21753. For further discussion of the RSU Trust, see Note 10 on pages 155–157 of JPMorgan Chase’s 2008 Annual Report.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>The goodwill was recorded in the Investment Bank and is not tax-deductible.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Condensed statement of net assets acquired</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following reflects the value assigned to Bear Stearns net assets as of the merger date. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="88%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">May 30, 2008</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Cash and due from banks </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>534</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds sold and securities purchased under resale agreements </div></td> <td> </td> <td> </td> <td align="right"><b>21,204</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities borrowed </div></td> <td> </td> <td> </td> <td align="right"><b>55,195</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets </div></td> <td> </td> <td> </td> <td align="right"><b>136,489</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>4,407</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Accrued interest and accounts receivable </div></td> <td> </td> <td> </td> <td align="right"><b>34,677</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Goodwill </div></td> <td> </td> <td> </td> <td align="right"><b>885</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">All other assets </div></td> <td> </td> <td> </td> <td align="right"><b>35,377</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total assets</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>288,768</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liabilities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds purchased and securities loaned or sold under repurchase agreements </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>54,643</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowings </div></td> <td> </td> <td> </td> <td align="right"><b>16,166</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>24,267</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td> </td> <td align="right"><b>47,042</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td> </td> <td align="right"><b>67,015</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>78,569</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total liabilities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>287,702</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Bear Stearns net assets</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1,066</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Reflects the fair value assigned to 49.4% of the Bear Stearns net assets acquired on April 8, 2008 (net of related amortization), and the fair value assigned to the remaining 50.6% of the Bear Stearns net assets acquired on May 30, 2008. The difference between the Bear Stearns net assets acquired, as presented above, and the fair value of the net assets acquired (including goodwill), presented in the previous table, represents JPMorgan Chase’s net losses recorded under the equity method of accounting.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Unaudited pro forma condensed combined financial information reflecting the Bear Stearns merger and Washington Mutual transaction</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following unaudited pro forma condensed combined financial information presents the results of operations of the Firm as they may have appeared for the three and six months ended June 30, 2008, if the Bear Stearns merger and the Washington Mutual transaction had been completed on January 1, 2008. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Three months ended</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Six months ended</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except per share data)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">June 30, 2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">June 30, 2008</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Total net revenue </div></td> <td> </td> <td align="left">$</td> <td align="right">14,181</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">33,961</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net loss </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(8,293</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(9,176</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net loss per common share data</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup><b>:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Basic </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(2.43</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(2.71</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Diluted<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2.43</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2.71</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Weighted-average common shares issued and outstanding</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Basic </div></td> <td> </td> <td> </td> <td align="right">3,435.1</td> <td> </td> <td> </td> <td> </td> <td align="right">3,427.0</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Diluted<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">3,435.1</td> <td> </td> <td> </td> <td> </td> <td align="right">3,427.0</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Effective January 1, 2009, the Firm implemented FSP EITF 03-6-1. Accordingly, prior period amounts have been revised. For further discussion of FSP EITF 03-6-1, see Note 21 on page 158 of this Form 10-Q.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Common equivalent shares have been excluded from the pro forma computation of diluted loss per share for the three and six months ended June 30, 2008, as the effect would be antidilutive.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The unaudited pro forma combined financial information is presented for illustrative purposes only, and it does not indicate the financial results of the combined company had the companies actually been combined as of January 1, 2008; nor is it indicative of the results of operations in future periods. Included in the unaudited pro forma combined financial information for the three and six months ended June 30, 2008, were pro forma adjustments to reflect the results of operations of Bear Stearns, and Washington Mutual’s banking operations, considering the purchase accounting, valuation and accounting conformity adjustments related to each transaction. For the Washington Mutual transaction, the amortization of purchase accounting adjustments to report interest-earnings assets acquired and interest-bearing liabilities assumed at current interest rates is reflected. Valuation adjustments and the adjustment to conform allowance methodologies in the Washington Mutual transaction, and valuation and accounting conformity adjustments related to the Bear Stearns merger, are reflected in the results for the three and six months ended June 30, 2008. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Purchase of remaining interest in Highbridge Capital Management</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On July 1, 2009, JPMorgan Chase completed its purchase of the remaining interest in Highbridge Capital Management, LLC. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Issuance of common stock</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On June 2, 2009, the Firm issued $5.8 billion, or 163 million shares, of common stock. The common stock was issued to satisfy a regulatory supervisory condition requiring the Firm to demonstrate it could access the equity capital markets in order to be eligible to redeem the Series K preferred stock held by the U.S. Treasury. The proceeds from this issuance were used for general corporate purposes. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Subsequent events</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm has performed an evaluation of events that have occurred subsequent to June 30, 2009, and through August 10, 2009 (the date of the filing of this Form 10-Q). There have been no subsequent events that occurred during such period that would require disclosure in this Form 10-Q or would be required to be recognized in the Consolidated Financial Statements as of or for the three- and six-month periods ending June 30, 2009. </div> </div> </body> </html>  <html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 3 — FAIR VALUE MEASUREMENT </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a further discussion of JPMorgan Chase’s valuation methodologies for assets, liabilities and lending-related commitments measured at fair value and the SFAS 157 valuation hierarchy, see Note 4 on pages 129–143 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">During the first half of 2009, there were no material changes made to the Firm’s valuation models. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a further discussion of the accounting for trading assets and liabilities, and private equity investments, see Note 6 on pages 146–148 of JPMorgan Chase’s 2008 Annual Report. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the financial instruments carried at fair value as of June 30, 2009, and December 31, 2008, by major product category and by the SFAS 157 valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Assets and liabilities measured at fair value on a recurring basis</b> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">FIN 39</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 1</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 2</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">netting<sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">fair value</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds sold and securities purchased under resale agreements </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>18,996</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>18,996</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities borrowed </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,360</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,360</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt instruments: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">U.S. government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>41,928</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,485</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>257</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>48,670</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:60px; text-indent:-15px">Residential–nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,027</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,832</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,859</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Commercial–nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>263</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,850</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,113</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>41,928</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,775</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,939</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>54,642</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">U.S. Treasury and government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>24,302</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>48</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>24,350</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,211</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,416</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,627</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Certificates of deposit, bankers’ acceptances and commercial paper </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,276</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,276</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>28,546</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>27,562</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>726</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>56,834</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>40,617</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,482</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>46,099</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15,949</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15,208</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>31,157</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,919</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,683</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,602</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total debt instruments</b> </div></td> <td> </td> <td> </td> <td align="right"><b>94,776</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>104,357</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>36,454</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>235,587</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Equity securities </div></td> <td> </td> <td> </td> <td align="right"><b>50,712</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,994</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,509</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>56,215</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Physical commodities<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>984</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,498</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,482</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,582</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,269</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,851</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total debt and equity instruments</b> </div></td> <td> </td> <td> </td> <td align="right"><b>146,472</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>112,431</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>39,232</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>298,135</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Derivative receivables<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>2,998</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,736,643</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>57,896</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,700,046</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>97,491</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total trading assets</b> </div></td> <td> </td> <td> </td> <td align="right"><b>149,470</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,849,074</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>97,128</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,700,046</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>395,626</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">U.S. government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>176,701</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,738</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>180,439</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:60px; text-indent:-15px">Residential–nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,273</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,090</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12,363</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Commercial–nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,235</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,235</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>176,701</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19,246</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,090</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>197,037</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">U.S. Treasury and government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>695</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>33,983</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>34,678</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,532</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>474</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,006</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Certificates of deposit </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,603</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,603</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>5,034</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,317</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16,351</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>3,714</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>44,510</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>52</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>48,276</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Asset-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Credit card receivables </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>22,243</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>22,243</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:60px; text-indent:-15px">Collateralized debt and loan obligations </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,489</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,499</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,428</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>445</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,873</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Equity securities </div></td> <td> </td> <td> </td> <td align="right"><b>1,818</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>89</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>61</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,968</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total available-for-sale securities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>187,962</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>143,961</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,611</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>345,534</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,317</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,756</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,073</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,600</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,600</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Private equity investments<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>139</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>292</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,129</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,560</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">All other </div></td> <td> </td> <td> </td> <td align="right"><b>6,655</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,521</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,489</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25,665</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total other assets</b> </div></td> <td> </td> <td> </td> <td align="right"><b>6,794</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,813</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,618</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>32,225</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total assets measured at fair value on a recurring basis</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>344,226</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,031,521</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>137,713</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,700,046</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>813,414</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Less: Level 3 assets for which the Firm does not bear economic exposure<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,526</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right" style="border-top: 1px solid #000000"> </td> <td align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total recurring level 3 assets for which the Firm bears economic exposure</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>135,187</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">FIN 39</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 1</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 2</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">netting<sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">fair value</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,160</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>627</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,787</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds purchased and securities loaned or sold under repurchase agreements </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,977</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,977</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16,130</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>134</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16,264</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td> </td> <td align="right"><b>44,044</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,924</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>53</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>56,021</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Derivative payables<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>2,882</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,706,874</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>39,548</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,682,107</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>67,197</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total trading liabilities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>46,926</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,718,798</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>39,601</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,682,107</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>123,218</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>437</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>441</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>703</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,060</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,763</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>35,969</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>17,473</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>53,442</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total liabilities measured at fair value on a recurring basis</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>46,926</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,777,741</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>59,332</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,682,107</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>201,892</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">FIN 39</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008 (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 1</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 2</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">netting<sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">fair value</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds sold and securities purchased under resale agreements </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">20,843</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">20,843</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities borrowed </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,381</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,381</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets<sup style="font-size: 85%; vertical-align: text-top"><i>(h)</i></sup>: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt instruments: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:75px; text-indent:-15px">U.S. government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">48,761</td> <td> </td> <td> </td> <td> </td> <td align="right">9,984</td> <td> </td> <td> </td> <td> </td> <td align="right">163</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">58,908</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:75px; text-indent:-15px">Residential–nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">658</td> <td> </td> <td> </td> <td> </td> <td align="right">3,339</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,997</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:75px; text-indent:-15px">Commercial–nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">329</td> <td> </td> <td> </td> <td> </td> <td align="right">2,487</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2,816</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td> </td> <td> </td> <td align="right">48,761</td> <td> </td> <td> </td> <td> </td> <td align="right">10,971</td> <td> </td> <td> </td> <td> </td> <td align="right">5,989</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">65,721</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">U.S. Treasury and government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">29,646</td> <td> </td> <td> </td> <td> </td> <td align="right">1,659</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">31,305</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">10,361</td> <td> </td> <td> </td> <td> </td> <td align="right">2,641</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">13,002</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Certificates of deposit, bankers’ acceptances and commercial paper </div></td> <td> </td> <td> </td> <td align="right">1,180</td> <td> </td> <td> </td> <td> </td> <td align="right">6,312</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">7,492</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right">19,986</td> <td> </td> <td> </td> <td> </td> <td align="right">17,954</td> <td> </td> <td> </td> <td> </td> <td align="right">707</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">38,647</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right">1</td> <td> </td> <td> </td> <td> </td> <td align="right">55,042</td> <td> </td> <td> </td> <td> </td> <td align="right">5,280</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">60,323</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">14,711</td> <td> </td> <td> </td> <td> </td> <td align="right">17,091</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">31,802</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2,414</td> <td> </td> <td> </td> <td> </td> <td align="right">7,106</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,520</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total debt instruments</b> </div></td> <td> </td> <td> </td> <td align="right">99,574</td> <td> </td> <td> </td> <td> </td> <td align="right">119,424</td> <td> </td> <td> </td> <td> </td> <td align="right">38,814</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">257,812</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Equity securities </div></td> <td> </td> <td> </td> <td align="right">73,174</td> <td> </td> <td> </td> <td> </td> <td align="right">3,992</td> <td> </td> <td> </td> <td> </td> <td align="right">1,380</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">78,546</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Physical commodities<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,581</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,581</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">4</td> <td> </td> <td> </td> <td> </td> <td align="right">6,188</td> <td> </td> <td> </td> <td> </td> <td align="right">1,226</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">7,418</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total debt and equity instruments</b> </div></td> <td> </td> <td> </td> <td align="right">172,752</td> <td> </td> <td> </td> <td> </td> <td align="right">133,185</td> <td> </td> <td> </td> <td> </td> <td align="right">41,420</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">347,357</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Derivative receivables<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">3,630</td> <td> </td> <td> </td> <td> </td> <td align="right">2,685,101</td> <td> </td> <td> </td> <td> </td> <td align="right">52,991</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,579,096</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">162,626</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total trading assets</b> </div></td> <td> </td> <td> </td> <td align="right">176,382</td> <td> </td> <td> </td> <td> </td> <td align="right">2,818,286</td> <td> </td> <td> </td> <td> </td> <td align="right">94,411</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,579,096</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">509,983</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities<sup style="font-size: 85%; vertical-align: text-top"><i>(h)</i></sup>: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">U.S. government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">109,009</td> <td> </td> <td> </td> <td> </td> <td align="right">8,376</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">117,385</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:60px; text-indent:-15px">Residential–nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,115</td> <td> </td> <td> </td> <td> </td> <td align="right">49</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,164</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Commercial–nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,939</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,939</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td> </td> <td> </td> <td align="right">109,009</td> <td> </td> <td> </td> <td> </td> <td align="right">21,430</td> <td> </td> <td> </td> <td> </td> <td align="right">49</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">130,488</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">U.S. Treasury and government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">615</td> <td> </td> <td> </td> <td> </td> <td align="right">9,742</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">10,357</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right">34</td> <td> </td> <td> </td> <td> </td> <td align="right">2,463</td> <td> </td> <td> </td> <td> </td> <td align="right">838</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,335</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Certificates of deposit </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">17,282</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">17,282</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right">6,112</td> <td> </td> <td> </td> <td> </td> <td align="right">2,232</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">8,344</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,497</td> <td> </td> <td> </td> <td> </td> <td align="right">57</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,554</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Asset-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:75px; text-indent:-15px">Credit card receivables </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11,391</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11,391</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:75px; text-indent:-15px">Collateralized debt and loan obligations </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11,195</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11,195</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:75px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">643</td> <td> </td> <td> </td> <td> </td> <td align="right">252</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">895</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Equity securities </div></td> <td> </td> <td> </td> <td align="right">3,053</td> <td> </td> <td> </td> <td> </td> <td align="right">15</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,068</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total available-for-sale securities</b> </div></td> <td> </td> <td> </td> <td align="right">118,823</td> <td> </td> <td> </td> <td> </td> <td align="right">74,695</td> <td> </td> <td> </td> <td> </td> <td align="right">12,391</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">205,909</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">5,029</td> <td> </td> <td> </td> <td> </td> <td align="right">2,667</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">7,696</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,403</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,403</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Private equity investments<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">151</td> <td> </td> <td> </td> <td> </td> <td align="right">332</td> <td> </td> <td> </td> <td> </td> <td align="right">6,369</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">6,852</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">All other </div></td> <td> </td> <td> </td> <td align="right">5,977</td> <td> </td> <td> </td> <td> </td> <td align="right">11,355</td> <td> </td> <td> </td> <td> </td> <td align="right">5,015</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">22,347</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total other assets</b> </div></td> <td> </td> <td> </td> <td align="right">6,128</td> <td> </td> <td> </td> <td> </td> <td align="right">11,687</td> <td> </td> <td> </td> <td> </td> <td align="right">11,384</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">29,199</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total assets measured at fair value on a recurring basis</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">301,333</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,933,921</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">130,256</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,579,096</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">786,414</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Less: Level 3 assets for which the Firm does not bear economic exposure<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">21,169</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right" style="border-top: 1px solid #000000"> </td> <td align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total recurring level 3 assets for which the Firm bears economic exposure</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">109,087</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">FIN 39</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008 (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 1</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 2</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">netting<sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">fair value</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,370</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,235</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,605</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds purchased and securities loaned or sold under repurchase agreements </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2,993</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2,993</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">14,612</td> <td> </td> <td> </td> <td> </td> <td align="right">101</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">14,713</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td> </td> <td align="right">34,568</td> <td> </td> <td> </td> <td> </td> <td align="right">10,418</td> <td> </td> <td> </td> <td> </td> <td align="right">288</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">45,274</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Derivative payables<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">3,630</td> <td> </td> <td> </td> <td> </td> <td align="right">2,622,371</td> <td> </td> <td> </td> <td> </td> <td align="right">43,484</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,547,881</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">121,604</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total trading liabilities</b> </div></td> <td> </td> <td> </td> <td align="right">38,198</td> <td> </td> <td> </td> <td> </td> <td align="right">2,632,789</td> <td> </td> <td> </td> <td> </td> <td align="right">43,772</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,547,881</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">166,878</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,735</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,735</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">41,666</td> <td> </td> <td> </td> <td> </td> <td align="right">16,548</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">58,214</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total liabilities measured at fair value on a recurring basis</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">38,198</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,698,165</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">61,656</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,547,881</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">250,138</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Includes total U.S. government-sponsored enterprise obligations of $222.9 billion and $182.1 billion at June 30, 2009, and December 31, 2008, respectively, which were predominantly mortgage-related.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>For further discussion of residential and commercial mortgage-backed securities, see the “Mortgage-related exposure carried at fair value” section of this Note on pages 110–111.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Physical commodities inventories are accounted for at the lower of cost or fair value.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Derivative receivables and derivative payables balances are presented net on the Consolidated Balance Sheets where there is a legally enforceable master netting agreement in place with counterparties. For purposes of the table above, the Firm does not reduce the derivative receivables and derivative payables balances for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation that is based on the transparency of inputs to the valuation of an asset or liability. Therefore, the balances reported in the fair value hierarchy table are gross of any counterparty netting adjustments. However, if the Firm were to net such balances, the reduction in the level 3 derivative receivables and derivative payables balances would be $20.2 billion at June 30, 2009.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Private equity instruments represent investments within the Corporate/Private Equity line of business. The cost of the private equity investment portfolio was $8.5 billion and $8.3 billion at June 30, 2009, and December 31, 2008, respectively.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(f)</i></td> <td> </td> <td><i>Includes assets for which the Firm serves as an intermediary between two parties and does not bear market risk. The assets are predominantly reflected within derivative receivables.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(g)</i></td> <td> </td> <td><i>As permitted under FIN 39, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists</i>.</td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(h)</i></td> <td> </td> <td><i>Prior periods have been revised to conform to the current presentation</i>.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Changes in level 3 recurring fair value measurements</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following tables include a rollforward of the balance sheet amounts for the three and six months ended June 30, 2009 and 2008 (including changes in fair value), for financial instruments classified by the Firm within level 3 of the valuation hierarchy. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable parameters to the overall fair value measurement. However, level 3 financial instruments typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the valuation hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 1px solid #000000">Fair value measurements using significant unobservable inputs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 0px solid #000000"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> Change in unrealized</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Purchases,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Transfers</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> gains/(losses) </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Three months ended</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">issuances</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">into and/or</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> Fair value,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> related to financial </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">March 31, </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">realized/ unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">settlements,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">out of</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">June 30, </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gains/(losses)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">net</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at June 30, 2009</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Debt instruments: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:60px; text-indent:-15px">U.S. government agencies </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>288</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(23</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(10</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>257</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(23</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td nowrap="nowrap"> <div style="margin-left:60px; text-indent:-15px">Residential-nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>2,469</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(183</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>563</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(17</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>2,832</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(197</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:60px; text-indent:-15px">Commercial-nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>1,890</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(11</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(29</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,850</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(48</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>4,647</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(217</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>524</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(15</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>4,939</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(268</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right"><b>2,482</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>32</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(98</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,416</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(8</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>737</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>21</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(32</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>726</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>6,144</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(21</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(752</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>111</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,482</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(44</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>16,046</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>362</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(866</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(334</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>15,208</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>351</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>6,488</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>887</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>490</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(182</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>7,683</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>828</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total debt instruments</b> </div></td> <td> </td> <td> </td> <td align="right"><b>36,544</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,064</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(734</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(420</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>36,454</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>863</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Equity securities </div></td> <td> </td> <td> </td> <td align="right"><b>963</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>29</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(98</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>615</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,509</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>17</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>1,200</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(20</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>47</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>42</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,269</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(9</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total debt and equity instruments</b> </div></td> <td> </td> <td> </td> <td align="right"><b>38,707</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1,073</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(785</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>237</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>39,232</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>871</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net derivative receivables </div></td> <td> </td> <td> </td> <td align="right"><b>19,148</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(5,707)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>759</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,148</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>18,348</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3,932)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>11,078</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>767</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>89</b></td> <td nowrap="nowrap"><b> </b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,934</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>767</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>1,385</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(60</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>346</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,677</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>50</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total available-for-sale securities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>12,463</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>707</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>435</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,611</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>817</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>2,987</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(73)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,112</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(46</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,756</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(116)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td> </td> <td> </td> <td align="right"><b>10,634</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>3,831</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>135</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,600</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>3,831</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Private equity investments<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>6,245</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(135)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>20</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>6,129</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(145)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">All other </div></td> <td> </td> <td> </td> <td align="right"><b>4,419</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(116)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>189</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>4,489</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(120)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liabilities</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup><b>:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(928</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(9)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>310</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(627</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(9)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(47</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(9)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(40</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(38</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(134</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(8)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(257</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>4</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>200</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(53</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>9</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(6</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>2</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(433</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(437</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>4</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(502</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(161)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>482</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(879</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,060</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(160)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(16,657</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(883)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>1,233</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,166</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(17,473</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,077)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 1px solid #000000">Fair value measurements using significant unobservable inputs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 0px solid #000000"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Change in unrealized</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Transfers</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> gains/(losses) </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Three months ended</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">realized/</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Purchases,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">into and/or</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> related to financial </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">June 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">issuances</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">out of</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">March 31, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gains/(losses)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">settlements, net</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">June 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at June 30, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td align="right">$</td> <td align="right">40,827</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,053</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">17,426</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,696</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">58,896</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,261</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net derivative receivables </div></td> <td> </td> <td> </td> <td align="right">3,053</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1,081</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right">1,576</td> <td> </td> <td> </td> <td> </td> <td align="right">265</td> <td> </td> <td> </td> <td> </td> <td align="right">5,975</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(33</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities </div></td> <td> </td> <td> </td> <td align="right">336</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(8</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(59</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">271</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(8</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right">8,456</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(122</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right">699</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(704</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">8,329</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(188</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td> </td> <td> </td> <td align="right">8,419</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1,516</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td> </td> <td align="right">1,682</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11,617</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1,516</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Private equity investments<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">6,002</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">453</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> <td> </td> <td> </td> <td align="right">546</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">7,001</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">71</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">All other </div></td> <td> </td> <td> </td> <td align="right">3,267</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(41</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(g) </i></sup></td> <td> </td> <td> </td> <td align="right">1,730</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(25</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">4,931</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(55</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(g) </i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liabilities</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup>: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,208</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(63</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(7</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(50</td> <td nowrap="nowrap">) </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,328</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(64</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed fund<b>s</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(139</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(97</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(63</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(300</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(727</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">21</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(164</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(870</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(162</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(51</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(7</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(7,524</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(569</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(8,151</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(7</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(21,104</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(263</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,485</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(124</td> <td nowrap="nowrap">) </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(22,976</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(409</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 1px solid #000000">Fair value measurements using significant unobservable inputs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 0px solid #000000"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> Change in unrealized</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Purchases,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Transfers</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gains/(losses) </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Six months ended</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> Fair value,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">realized/</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">issuances </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">into and/or</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> Fair value,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">related to financial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">January 1, </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">settlements, </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">out of</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">June 30, </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gains/(losses)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">net</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at June 30, 2009</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Debt instruments: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:60px; text-indent:-15px">U.S. government agencies </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>163</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(35</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>56</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>73</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>257</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(34</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Residential–nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>3,339</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(548</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>567</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(526</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>2,832</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(590</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:60px; text-indent:-15px">Commercial–nonagency<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>2,487</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(241</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(245</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(151</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,850</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(97</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>5,989</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(824</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>378</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(604</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>4,939</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(721</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right"><b>2,641</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>53</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(278</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,416</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(25</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>707</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(40</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>34</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>726</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>5,280</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(164</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3,102</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>3,468</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,482</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(88</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>17,091</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,188</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(954</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>259</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15,208</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,117</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>7,106</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>669</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>128</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(220</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>7,683</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>574</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total debt instruments</b> </div></td> <td> </td> <td> </td> <td align="right"><b>38,814</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,429</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3,868</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>2,937</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>36,454</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,375</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Equity securities </div></td> <td> </td> <td> </td> <td align="right"><b>1,380</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(247</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(359</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>735</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,509</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(171</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>1,226</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(107</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>94</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>56</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,269</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>80</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total debt and equity instruments</b> </div></td> <td> </td> <td> </td> <td align="right"><b>41,420</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,783)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4,133</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>3,728</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>39,232</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,466)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net derivative receivables </div></td> <td> </td> <td> </td> <td align="right"><b>9,507</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4,938)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2,233</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>16,012</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>18,348</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4,870</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>11,447</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(138</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>450</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>175</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,934</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(331</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>944</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(60</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>247</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>546</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,677</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>50</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total available-for-sale securities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>12,391</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(198)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>697</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>721</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,611</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(281)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>2,667</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(478)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,309</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>876</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,756</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(433)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td> </td> <td> </td> <td align="right"><b>9,403</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>5,141</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>56</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,600</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>5,141</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Private equity investments<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>6,369</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(473)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>163</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>70</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,129</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(459)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">All other </div></td> <td> </td> <td> </td> <td align="right"><b>5,015</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(534)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>66</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(58</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>4,489</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(524)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Liabilities<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup>: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,235</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(23)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>693</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(62</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(627</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(36)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(101</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>86</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(76</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(43</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(134</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(5)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(288</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(58)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>290</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(53</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>2</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>4</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(441</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(437</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>4</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(161)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(20</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(879</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,060</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(160)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(16,548</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(41)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>2,551</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3,435</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(17,473</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(464)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="6%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 1px solid #000000">Fair value measurements using significant unobservable inputs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Change in unrealized</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Transfers</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gains/(losses)</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Six months ended</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">realized/</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Purchases,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">into and/or</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">related to financial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">June 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">issuances</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">out of</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">January 1, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gains/(losses)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">settlements, net</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">June 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at June 30, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td align="right">$</td> <td align="right">24,066</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(3,212</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">21,311</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">16,731</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">58,896</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,646</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net derivative receivables </div></td> <td> </td> <td> </td> <td align="right">633</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2,793</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right">1,839</td> <td> </td> <td> </td> <td> </td> <td align="right">710</td> <td> </td> <td> </td> <td> </td> <td align="right">5,975</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1,530</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities </div></td> <td> </td> <td> </td> <td align="right">101</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(109</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td> </td> <td align="right">338</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(59</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">271</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(8</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right">8,380</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(321</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right">974</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(704</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">8,329</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(258</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td> </td> <td> </td> <td align="right">8,632</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">884</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td> </td> <td align="right">2,101</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11,617</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">884</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Private equity investments<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">6,763</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">662</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(424</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">7,001</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">5</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">All other </div></td> <td> </td> <td> </td> <td align="right">3,160</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(13</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(g) </i></sup></td> <td> </td> <td> </td> <td align="right">1,776</td> <td> </td> <td> </td> <td> </td> <td align="right">8</td> <td> </td> <td> </td> <td> </td> <td align="right">4,931</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">44</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(g) </i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liabilities</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup>: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,161</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(77</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(38</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(52</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,328</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(83</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed fund<b>s</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(105</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(61</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(201</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">67</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(300</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">22</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(480</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(72</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(175</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(143</td> <td nowrap="nowrap">) </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(870</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(251</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(25</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">25</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(82</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">24</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(7,524</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(569</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(8,151</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">24</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d) </i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(21,938</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(37</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(396</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(605</td> <td nowrap="nowrap">) </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(22,976</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(36</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>For further discussion of residential and commercial mortgage-backed securities, see the “Mortgage-related exposures carried at fair value” section of this Note on pages 110–111.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Private equity instruments represent investments within the Corporate/Private Equity line of business. The cost of the private equity investment portfolio was $8.5 billion and $8.3 billion at June 30, 2009, and December 31, 2008, respectively.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities carried at fair value on a nonrecurring basis) were 29% and 25% at June 30, 2009, and December 31, 2008, respectively.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Reported in principal transactions revenue.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Changes in fair value for Retail Financial Services mortgage loans originated with the intent to sell, and mortgage servicing rights are measured at fair value and reported in mortgage fees and related income.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(f)</i></td> <td> </td> <td><i>Realized gains (losses) and credit-related unrealized losses are reported in securities gains (losses). Unrealized gains (losses) not related to credit are reported in accumulated other comprehensive income (loss).</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(g)</i></td> <td> </td> <td><i>Reported in other income.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Assets and liabilities measured at fair value on a nonrecurring basis</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Certain assets, liabilities and unfunded lending-related commitments are measured at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances (for example, when there is evidence of impairment). The following tables present assets and liabilities carried on the Consolidated Balance Sheets as well as off balance sheet instruments by caption and level within the SFAS 157 valuation hierarchy (as described above) as of June 30, 2009, and December 31, 2008, for which a nonrecurring change in fair value has been recorded during the reporting period. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 1</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 2</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total fair value</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,399</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,537</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7,936</b></td> <td> </td> </tr> <tr style="font-size: 10pt"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other real estate owned </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>441</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>134</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>575</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>313</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>313</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total other assets </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>441</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>447</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>888</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total assets at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,840</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,984</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8,824</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>147</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>90</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>237</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total liabilities at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>147</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>90</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>237</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008 (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 1</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 2</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total fair value</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,991</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3,999</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8,990</td> <td> </td> </tr> <tr style="font-size: 10pt"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other real estate owned </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">706</td> <td> </td> <td> </td> <td> </td> <td align="right">103</td> <td> </td> <td> </td> <td> </td> <td align="right">809</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,057</td> <td> </td> <td> </td> <td> </td> <td align="right">188</td> <td> </td> <td> </td> <td> </td> <td align="right">1,245</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total other assets </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,763</td> <td> </td> <td> </td> <td> </td> <td align="right">291</td> <td> </td> <td> </td> <td> </td> <td align="right">2,054</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total assets at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6,754</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,290</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">11,044</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">212</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">98</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">310</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total liabilities at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">212</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">98</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">310</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Includes leveraged lending and other loan warehouses held-for-sale.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Represents the fair value adjustment associated with $887 million and $1.5 billion of unfunded held-for-sale lending-related commitments within the leveraged lending portfolio at June 30, 2009, and December 31, 2008, respectively.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Nonrecurring fair value changes</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the total change in value of financial instruments for which a fair value adjustment has been included in the Consolidated Statements of Income for the three and six months ended June 30, 2009 and 2008, related to financial instruments held at June 30, 2009 and 2008. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,347</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(861</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2,327</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,617</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(154</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(76</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(250</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(151</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>16</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>47</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total nonrecurring fair value gains (losses)</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,485</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(937</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2,530</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,768</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div align="left" style="font-size: 10pt; margin-top: 10pt">In the above table, loans predominantly include: (1) write-downs of delinquent Retail Financial Services (“RFS”) mortgage and home equity loans where impairment is based on the fair value of the underlying collateral and (2) the change in fair value for the Investment Bank (“IB”) leveraged lending and warehouse loans carried on the balance sheet at the lower of cost or fair value. Accounts payable and other liabilities predominantly include the change in fair value for unfunded lending-related commitments within the leveraged lending portfolio. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Level 3 analysis</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Consolidated Balance Sheets changes</i> </div> <div align="left" style="font-size: 10pt; margin-top: 10pt">Level 3 assets (including assets measured at fair value on a nonrecurring basis) were 7% of total Firm assets at June 30, 2009. The following describes significant changes to level 3 assets during the quarter. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><i>For the three months ended June 30, 2009</i></u> </div> <div align="left" style="font-size: 10pt; margin-top: 10pt">Level 3 assets decreased by $7.0 billion in the second quarter of 2009, largely due to $11.5 billion decrease in derivative receivables predominantly due to changes in credit spreads. This decrease was partially offset by a $4.0 billion increase in mortgage servicing rights (“MSRs”) primarily due to market interest rate and other changes impacting the Firm’s estimate of future prepayments, as well as sales in RFS of originated loans for which servicing rights were retained. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><i>For the six months ended June 30, 2009</i></u> </div> <div align="left" style="font-size: 10pt; margin-top: 10pt">Level 3 assets increased by $7.2 billion in the first half of 2009 due to the following: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Transfer of structured credit derivative receivables resulting from a decrease in transaction activity and the lack of observable market data. At June 30, 2009, the fair value of these receivables was approximately $32.3 billion. Offsetting these receivables were derivative payables with a fair value of $17.5 billion at June 30, 2009.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$5.2 billion increase in mortgage servicing rights (“MSRs”) primarily due to market interest rate and other changes impacting the Firm’s estimate of future prepayments, as well as sales in RFS of originated loans for which servicing rights were retained.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$3.1 billion transfer of certain structured notes reflecting lower liquidity and pricing observability in the first quarter.</td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The increase in level 3 assets described above was partially offset by: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$17.7 billion transfer of single-name CDS on ABS from level 3 to level 2, resulting from a decline in pricing uncertainty. The fair value of these assets is generally based on observable market data from third-party transactions, benchmarking to relevant indices such as the Asset-Backed Securities Index (“ABX”), and calibration to other available market information such as broker quotes.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$11.2 billion of derivative receivables principally due to changes in credit spreads.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$3.6 billion related to sales of CDS positions on CMBS and RMBS.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$3.1 billion related to sales and unwinds of structured transactions with hedge funds.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$2.8 billion decrease in trading assets debt and equity, primarily in residential and commercial mortgage-backed securities and loans, principally driven by markdowns and sales, partially offset by increases of $577 million in certain asset-backed securities.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Gains and Losses</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm risk manages level 3 financial instruments using securities and derivative positions classified within level 1 or 2 of the valuation hierarchy; the effect of these risk management activities is not reflected in the level 3 gains and losses included in the tables above. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u>Three months ended June 30, 2009</u><br /><br /> Included in the tables for the three months ended June 30, 2009, were gains and losses resulting from: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td> $3.8 billion in gains on MSRs.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$1.1 billion in gains on trading debt and equity instruments, primarily from certain asset-backed securities.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$5.7 billion of net losses on derivatives primarily related to changes in credit spreads.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$883 million of losses related to structured note liabilities, primarily due to volatility in the equity markets.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u>Three months ended June 30, 2008</u> </div> <div align="left" style="font-size: 10pt; margin-top: 10pt">Included in the tables for the three months ended June 30, 2008, were gains and losses resulting from: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$2.1 billion of losses on trading debt and equity instruments, principally from mortgage-related transactions;</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$700 million of losses on leveraged loans. Leveraged loans are typically classified as held-for-sale and measured at the lower of cost of fair value and therefore included in the nonrecurring fair value assets;</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$1.5 billion of gains on MSRs;</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Net gains of approximately $1.1 billion, principally related to equity derivatives transactions; and</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Gains on private equity instruments of approximately $450 million.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u>Six months ended June 30, 2009</u> </div> <div align="left" style="font-size: 10pt; margin-top: 10pt">Included in the tables for the first six months of 2009 were gains and losses resulting from: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$5.1 billion of gains on MSRs.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$4.9 billion of net losses on derivatives primarily related to changes in credit spreads and changes in interest rates.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$2.5 billion of losses on trading debt and equity instruments, primarily related to residential and commercial loans and mortgage-backed securities and principally driven by markdowns and sales. These losses were partially offset by $669 million in gains on certain asset-backed securities. For a further discussion of the gains and losses on mortgage-related exposures inclusive of risk management activities, see the “Mortgage-related exposures carried at fair value” discussion below.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$850 million of losses on leveraged loans. Leveraged loans are primarily classified as held-for-sale and measured at the lower of cost or fair value and therefore included in nonrecurring fair value assets.</td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u>Six months ended June 30, 2008</u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Included in the tables for the first six months of 2008 were gains and losses resulting from: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Losses on trading debt and equity instruments of approximately $3.2 billion, principally from mortgage-related transactions and auction-rate securities;</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Losses of approximately $1.6 billion on leveraged loans. Leveraged loans are typically classified as held-for-sale and measured at the lower of cost or fair value and therefore included in the nonrecurring fair value assets;</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Net gains of $2.8 billion related to fixed income and equity derivatives;</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Gains of $884 million on MSRs; and</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Private equity gains of approximately $650 million.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 10pt">For further information on changes in the fair value of the MSRs see Note 17 on pages 154—155 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Mortgage-related exposures carried at fair value</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table provides a summary of the Firm’s mortgage-related exposures, including the impact of risk management activities. These exposures include all mortgage-related securities and loans carried at fair value regardless of their classification within the fair value hierarchy. The table below summarizes the Firm’s mortgage-related exposures that are carried at fair value through earnings or at the lower of cost or fair value; the table excludes mortgage-related securities held in the available-for-sale portfolio, which are reported on page 111 of this Form 10-Q. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="18%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="5%" nowrap="nowrap">    </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%">  </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%">  </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%">  </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Exposure as of</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Exposure as of</td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 0px solid #000000">Net gains/(losses)</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">December 31, 2008<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">reported in income<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Three months</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Six months</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Net of risk</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Net of risk</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">ended</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Management</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Management</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left" style="border-bottom: 1px solid #000000">(in millions)</td> <td style="border-bottom: 1px solid #000000"> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 1px solid #000000">Gross</td> <td style="border-bottom: 1px solid #000000"> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 1px solid #000000">activities<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td style="border-bottom: 1px solid #000000"> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 1px solid #000000">Gross</td> <td style="border-bottom: 1px solid #000000"> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 1px solid #000000">activities<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td style="border-bottom: 1px solid #000000"> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 1px solid #000000"><b>2009</b></td> <td style="border-bottom: 1px solid #000000"> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 1px solid #000000">2008</td> <td style="border-bottom: 1px solid #000000"> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 1px solid #000000"><b>2009</b></td> <td style="border-bottom: 1px solid #000000"> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 1px solid #000000">2008</td> </tr>   <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px"><b>U.S. residential mortgage:</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)(b)(c)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Prime </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,304</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,304</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,612</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,612</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Alt-A </div></td> <td> </td> <td> </td> <td align="right"><b>3,377</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,210</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,934</td> <td> </td> <td> </td> <td> </td> <td align="right">3,917</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td align="right"><b>7,681</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,514</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,546</td> <td> </td> <td> </td> <td> </td> <td align="right">8,529</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>246</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(166</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(191</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,279</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right"><b>726</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>388</b></td> <td> </td> <td> </td> <td> </td> <td align="right">941</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(28</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(35</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(122</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(30</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(237</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Non-U.S. residential</b> </div></td> <td> </td> <td> </td> <td align="right"><b>1,524</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,147</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,591</td> <td> </td> <td> </td> <td> </td> <td align="right">951</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(66</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(60</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Commercial mortgage:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities </div></td> <td> </td> <td> </td> <td align="right"><b>2,179</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,570</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,836</td> <td> </td> <td> </td> <td> </td> <td align="right">1,438</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>127</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(106</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>255</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(359</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>3,505</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,399</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,338</td> <td> </td> <td> </td> <td> </td> <td align="right">2,179</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(33</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(84</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(384</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(97</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Included exposures in IB and RFS segments.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Excluded certain mortgages and mortgage-related assets that are carried at fair value and recorded in trading assets, such as: (i) U.S. government agency and U.S. government-sponsored enterprise securities that are liquid and of high credit quality of $48.7 billion and $58.9 billion at June 30, 2009, and December 31, 2008, respectively; and (ii) conforming mortgage loans recently originated with the intent to sell to U.S. government agencies and U.S. government sponsored enterprises of $10.0 billion and $6.2 billion at June 30, 2009, and December 31, 2008, respectively; and (iii) reverse mortgages of $4.7 billion and $4.3 billion at June 30, 2009, and December 31, 2008, respectively, for which the principal risk is mortality risk. Also excluded mortgage servicing rights, which are reported in Note 17 on pages 154-155 of this Form 10-Q.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Excluded certain mortgage-related financing transactions, which are collateralized by mortgage-related assets, of $4.0 billion and $5.7 billion at June 30, 2009, and December 31, 2008, respectively. These financing transactions are excluded from the table, as they are accounted for on an accrual basis of accounting. For certain financings deemed to be impaired; impairment is measured and recognized based on the fair value of the collateral. Of these financing transactions, $175 million and $1.2 billion at June 30, 2009, and December 31, 2008, respectively, were considered impaired.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Amounts reflect the effects of derivatives used to manage the credit risk of the gross exposures arising from cash-based instruments. The amounts are presented on a bond- or loan-equivalent (notional) basis. Derivatives are excluded from the gross exposure, as they are principally used for risk management purposes.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Prior periods have been revised to conform to the current presentation.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(f)</i></td> <td> </td> <td><i>Net gains and losses include all revenue related to the positions (i.e., all interest income, changes in fair value of the assets, changes in fair value of the related risk management positions, and all interest expense related to the liabilities funding those positions).</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Residential mortgages</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Prime mortgage </i>— Of the $4.3 billion of prime mortgage exposure at June 30, 2009, approximately $2.1 billion relates to first-lien mortgages predominantly classified in level 3. The remaining $2.2 billion relates to securities (including $569 million of forward purchase commitments) where $583 million was classified in level 2, and $1.1 billion was classified in level 3; and $569 million was classified in derivative receivables in level 3. Prime mortgage securities are largely rated BBB and below. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Alt-A mortgage </i>— Of the $3.4 billion of Alt-A mortgage exposure at June 30, 2009, approximately $2.5 billion relates to first-lien mortgages classified in level 3. The remaining $922 million relates to securities, which are predominantly rated BB+ and below where $110 million was classified in level 2, and $812 million was classified in level 3. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Subprime mortgage </i>— Of the $726 million of subprime mortgage exposure at June 30, 2009, $501 million relates to securities, predominantly rated BB+ and below, where $43 million was classified in level 2, and $458 million was classified in level 3. The remaining $225 million relates to first-lien mortgages classified in level 3. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Non-U.S. residential mortgage</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Of the $1.5 billion of non-U.S. residential mortgage exposure at June 30, 2009, $765 million relates to first-lien mortgages classified in level 3. The remaining $759 million relates to securities where $291 million was classified in level 2, and $468 million was classified in level 3. Securities are predominantly rated “AAA.” </div> <div align="left" style="font-size: 10pt; margin-top: 10pt"><b>Commercial mortgages</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Of the $5.7 billion of commercial mortgage exposure at June 30, 2009, $3.5 billion relates to first-lien mortgages, predominantly in the U.S., classified in level 3. The remaining $2.2 billion relates to securities, which are partially rated “AAA,” where $263 million was classified in level 2, and $1.9 billion was classified in level 3. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents mortgage-related activities within the available-for-sale securities portfolio. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="20%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15">Unrealized gains/(losses)</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15">included in</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15">Net gains/(losses)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="15">other comprehensive</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">reported in income<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">income (pretax)</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Three </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Six </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Three</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Six </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Exposures</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Exposures</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">months</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">months</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">months</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">months</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">as of</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">as of</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">ended</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 0px solid #000000"><b>June 30</b>,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 0px solid #000000">December 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="41" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Available-for-sale debt securities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">U.S. government agencies </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>180,439</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">117,385</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>137</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>439</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(3</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2,044</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,521</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(395</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,026</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Residential: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Prime and Alt-A </div></td> <td> </td> <td> </td> <td align="right"><b>5,874</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,895</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(88</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(235</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>461</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(72</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>30</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(179</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right"><b>55</b></td> <td> </td> <td> </td> <td> </td> <td align="right">194</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(19</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(9</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(35</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(29</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>21</b></td> <td> </td> <td> </td> <td> </td> <td align="right">21</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. </div></td> <td> </td> <td> </td> <td align="right"><b>6,434</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,075</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(110</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>37</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Commercial </div></td> <td> </td> <td> </td> <td align="right"><b>4,235</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,939</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(30</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(40</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>366</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>141</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="41" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>197,037</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">130,488</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(7</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>129</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(32</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,306</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,572</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(168</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,207</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">U.S. government agencies </div></td> <td> </td> <td> </td> <td align="right"><b>33,879</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,657</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(215</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(278</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="41" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Excludes related net interest income.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Exposures in the table above include $230.9 billion and $140.1 billion of mortgage-backed and mortgage-related securities classified as available-for-sale on the Firm’s Consolidated Balance Sheets at June 30, 2009, and December 31, 2008. These investments are used as part of the Firm’s centralized risk management of structural interest rate risk (i.e., the sensitivity of the Firm’s Consolidated Balance Sheets to changes in interest rates). Changes in the Firm’s structural interest rate position, as well as changes in the overall interest rate environment, are continually monitored, resulting in periodic repositioning of securities classified as available-for-sale. Given that this portfolio is primarily used to manage the Firm’s structural interest rate risk, predominantly all of these securities are either backed by U.S. government agencies, backed by U.S. government-sponsored enterprises or largely rated “AAA.” </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For additional information on investment securities in the available-for-sale portfolio, see Note 11 on pages 129-134 of this Form 10-Q. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Credit adjustments</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">When determining the fair value of an instrument, it may be necessary to record a valuation adjustment to arrive at an exit price in accordance with SFAS 157. Valuation adjustments include, but are not limited to, amounts to reflect counterparty credit quality and the Firm’s own creditworthiness. The market’s view of the Firm’s credit quality is reflected in credit spreads observed in the credit default swap market. For a detailed discussion of the valuation adjustments the Firm considers, see Note 4 on pages 129-143 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table provides the credit adjustments, excluding the effect of any hedging activity, as reflected within the Consolidated Balance Sheets of the Firm as of the dates indicated. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Derivative receivables balance </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>97,491</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">162,626</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Derivative CVAs<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(5,167</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(9,566</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Derivatives payables balance </div></td> <td> </td> <td> </td> <td align="right"><b>67,197</b></td> <td> </td> <td> </td> <td> </td> <td align="right">121,604</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Derivative DVAs </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,010</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,389</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Structured notes balance<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>59,020</b></td> <td> </td> <td> </td> <td> </td> <td align="right">67,340</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Structured note DVAs<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,952</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,413</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Derivatives credit valuation adjustments (“CVA”), gross of hedges, includes results managed by Credit Portfolio and other lines of business within IB.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Structured notes are recorded within long-term debt, other borrowed funds or deposits on the Consolidated Balance Sheets, based on the tenor and legal form of the note.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Structured notes are carried at fair value based on the Firm’s election under SFAS 159. For further information on these elections, see Note 4 on pages 114-116 of this Form 10-Q.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table provides the impact of credit adjustments, excluding the effect of any hedging activity, on earnings in the respective periods. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit adjustments: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Derivative CVAs<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,522</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">191</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,399</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,372</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Derivative DVAs </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(793</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">106</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(379</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">639</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Structured note DVAs<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,099</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">308</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(461</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">1,206</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Derivatives CVA, gross of hedges, includes results managed by Credit Portfolio and other lines of business within IB.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Structured notes are carried at fair value based on the Firm’s election under SFAS 159. For further information on these elections, see Note 4 on pages 114-116 of this Form 10-Q.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Financial disclosures required by SFAS 107</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Many, but not all, of the financial instruments held by the Firm are recorded at fair value on the Consolidated Balance Sheets. SFAS 107 requires disclosure of the estimated fair value of certain financial instruments and the methods and significant assumptions used to estimate their fair value. Financial instruments within the scope of SFAS 107 are included in the following table. Additionally, certain financial instruments and all nonfinancial instruments are excluded from the scope of SFAS 107. Accordingly, the fair value disclosures required by SFAS 107 provide only a partial estimate of the fair value of JPMorgan Chase. For example, the Firm has developed long-term relationships with its customers through its deposit base and credit card accounts, commonly referred to as core deposit intangibles and credit card relationships. In the opinion of management, these items, in the aggregate, add significant value to JPMorgan Chase, but their fair value is not disclosed in this Note. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Financial instruments for which carrying value approximates fair value</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Certain financial instruments that are not carried at fair value on the Consolidated Balance Sheets are carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. These instruments include cash and due from banks; deposits with banks, federal funds sold and securities purchased under resale agreements; and securities borrowed with short-dated maturities; short-term receivables and accrued interest receivable; commercial paper; federal funds purchased, and securities loaned or sold, under repurchase agreements with short-dated maturities; other borrowed funds (excluding advances from Federal Home Loan Banks); accounts payable; and accrued liabilities. In addition, SFAS 107 requires that the fair value for deposit liabilities with no stated maturity (i.e., demand, savings and certain money market deposits) be equal to their carrying value. SFAS 107 does not allow for the recognition of the inherent funding value of these instruments. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the carrying value and estimated fair value of financial assets and liabilities as required by SFAS 107. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="32%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">December 31, 2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Carrying</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Estimated</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Appreciation/</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Carrying</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Estimated</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Appreciation/</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">fair value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(depreciation)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">fair value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(depreciation)</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Financial assets</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Assets for which fair value approximates carrying value </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>148.3</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>148.3</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">226.0</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">226.0</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds sold and securities purchased under resale agreements (included $19.0 and $20.8 at fair value at June 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>159.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>159.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">203.1</td> <td> </td> <td> </td> <td> </td> <td align="right">203.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities borrowed (included $3.4 and $3.4 at fair value at June 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>129.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>129.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">124.0</td> <td> </td> <td> </td> <td> </td> <td align="right">124.0</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets </div></td> <td> </td> <td> </td> <td align="right"><b>395.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>395.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">510.0</td> <td> </td> <td> </td> <td> </td> <td align="right">510.0</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities </div></td> <td> </td> <td> </td> <td align="right"><b>345.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>345.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">205.9</td> <td> </td> <td> </td> <td> </td> <td align="right">205.9</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans (included $3.1 and $7.7 at fair value at June 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>651.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>635.0</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(16.5</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">721.7</td> <td> </td> <td> </td> <td> </td> <td align="right">700.0</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(21.7</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights at fair value </div></td> <td> </td> <td> </td> <td align="right"><b>14.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9.4</td> <td> </td> <td> </td> <td> </td> <td align="right">9.4</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Other (included $32.2 and $29.2 at <br /> fair value at June 30, 2009, and <br /> December 31, 2008, respectively)<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>85.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>85.6</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(0.3</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">83.0</td> <td> </td> <td> </td> <td> </td> <td align="right">83.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total financial assets</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,930.0</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,913.2</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(16.8</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right">$</td> <td align="right">2,083.1</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,061.5</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(21.6</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Financial liabilities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits (included $3.7 and $5.6 at fair value at June 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>866.5</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>867.3</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(0.8</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right">$</td> <td align="right">1,009.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,010.2</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(0.9</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds purchased and securities loaned or sold under repurchase agreements (included $3.0 and $3.0 at fair value at June 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>300.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>300.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">192.5</td> <td> </td> <td> </td> <td> </td> <td align="right">192.5</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial paper </div></td> <td> </td> <td> </td> <td align="right"><b>42.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>42.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">37.8</td> <td> </td> <td> </td> <td> </td> <td align="right">37.8</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds (included $16.3 and $14.7 at fair value at June 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>74.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>74.6</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(0.6</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">132.4</td> <td> </td> <td> </td> <td> </td> <td align="right">134.1</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1.7</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>123.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>123.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">166.9</td> <td> </td> <td> </td> <td> </td> <td align="right">166.9</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>150.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>150.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">167.2</td> <td> </td> <td> </td> <td> </td> <td align="right">167.2</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs (included $1.8 and $1.7 at fair value at June 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>20.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>20.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">10.6</td> <td> </td> <td> </td> <td> </td> <td align="right">10.5</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt and junior subordinated deferrable interest debentures (included $53.4 and $58.2 at fair value at June 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>271.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>264.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right">270.7</td> <td> </td> <td> </td> <td> </td> <td align="right">262.1</td> <td> </td> <td> </td> <td> </td> <td align="right">8.6</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total financial liabilities</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,850.2</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,843.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6.3</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,987.4</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,981.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net (depreciation) appreciation</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(10.5</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(15.5</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Prior periods have been revised to conform to the current presentation.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 10pt">The majority of the Firm’s unfunded lending-related commitments are not carried at fair value on a recurring basis on the Consolidated Balance Sheets nor are they actively traded. The estimated fair values of the Firm’s wholesale lending-related commitments at June 30, 2009, and December 31, 2008, were liabilities of $3.3 billion and $7.5 billion, respectively. The Firm does not estimate the fair value of consumer <font style="white-space: nowrap">lending-related</font> commitments. In many cases, the Firm can reduce or cancel these commitments by providing the borrower prior notice, or, in some cases, without notice as permitted by law. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Trading assets and liabilities average balances</b> </div> <div align="left" style="font-size: 10pt; margin-top: 10pt">Average trading assets and liabilities were as follows for the periods indicated. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets — debt and equity instruments </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>308,951</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">401,578</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>311,883</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">401,687</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets — derivative receivables </div></td> <td> </td> <td> </td> <td align="right"><b>114,096</b></td> <td> </td> <td> </td> <td> </td> <td align="right">105,301</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>128,092</b></td> <td> </td> <td> </td> <td> </td> <td align="right">101,582</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities — debt and equity instruments<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>54,587</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">81,724</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>54,726</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">85,712</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities — derivative payables </div></td> <td> </td> <td> </td> <td align="right"><b>78,155</b></td> <td> </td> <td> </td> <td> </td> <td align="right">79,780</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>86,503</b></td> <td> </td> <td> </td> <td> </td> <td align="right">80,437</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Primarily represent securities sold, not yet purchased.</i></td> </tr> </table> </div> </div> </body> </html>

<html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 4 — FAIR VALUE OPTION </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 10pt">For a discussion of the primary financial instruments for which fair value elections have been made, including the determination of instrument-specific credit risk for these items, and the basis for those elections, see Note 5 on pages 144—146 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 10pt"><b>Changes in fair value under the fair value option election</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the changes in fair value included in the Consolidated Statements of Income for the three and six months ended June 30, 2009 and 2008, for items for which the fair value election was made. The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measured at fair value, are not included in the table. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="23" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total changes</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total changes</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Principal</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in fair value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Principal</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in fair value</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">transactions<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">income<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">transactions<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">income<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds sold and securities purchased under resale agreements </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(269</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(269</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(398</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(398</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities borrowed </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(12</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(12</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">79</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">79</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments, excluding loans </div></td> <td> </td> <td> </td> <td align="right"><b>244</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>22</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>266</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(65</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">21</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(44</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Loans reported as trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Changes in instrument-specific credit risk </div></td> <td> </td> <td> </td> <td align="right"><b>8</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(115</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(107</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(791</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(789</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Other changes in fair value </div></td> <td> </td> <td> </td> <td align="right"><b>977</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>495</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>1,472</b></td> <td> </td> <td> </td> <td> </td> <td align="right">91</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">16</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td> </td> <td align="right">107</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Changes in instrument-specific credit risk </div></td> <td> </td> <td> </td> <td align="right"><b>124</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>124</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(239</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(239</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other changes in fair value </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(19</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(19</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(5</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(5</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(187</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(187</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(79</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(79</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(21</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(21</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">30</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">30</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds purchased and securities loaned or sold under repurchase agreements </div></td> <td> </td> <td> </td> <td align="right"><b>61</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>61</b></td> <td> </td> <td> </td> <td> </td> <td align="right">70</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">70</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(180</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(180</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(16</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(16</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(13</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(13</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">3</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(139</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(139</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">206</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">206</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Changes in instrument-specific credit risk<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,038</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,038</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">303</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">303</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other changes in fair value </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2,978</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2,978</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">408</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">408</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="23" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total changes</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total changes</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Principal</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in fair value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Principal</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in fair value</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">transactions<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">income<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">transactions<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">income<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Federal funds sold and securities <br /> purchased under resale agreements </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(495</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(495</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right">$</td> <td align="right">151</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">151</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities borrowed </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(19</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(19</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">79</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">79</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments, excluding loans </div></td> <td> </td> <td> </td> <td align="right"><b>304</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>19</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>323</b></td> <td> </td> <td> </td> <td> </td> <td align="right">124</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">15</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td> </td> <td align="right">139</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Loans reported as trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Changes in instrument-specific credit risk </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(472</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(165</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(637</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,613</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(50</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,663</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Other changes in fair value </div></td> <td> </td> <td> </td> <td align="right"><b>712</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1,432</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>2,144</b></td> <td> </td> <td> </td> <td> </td> <td align="right">5</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">409</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td> </td> <td align="right">414</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Changes in instrument-specific credit risk </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(329</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(329</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(500</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(500</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other changes in fair value </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(126</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(126</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">23</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">23</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(588</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(588</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(41</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(41</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(186</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(186</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(369</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(369</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds purchased and securities loaned or sold under repurchase agreements </div></td> <td> </td> <td> </td> <td align="right"><b>94</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>94</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">3</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(146</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(146</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(88</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(88</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(15</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(15</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(124</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(124</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">31</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">31</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Changes in instrument-specific credit risk<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(394</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(394</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">1,178</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,178</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other changes in fair value </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,771</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,771</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(440</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(440</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Total changes in instrument-specific credit risk related to structured notes were $(1.1) billion and $308 million for the three months ended June 30, 2009 and 2008, respectively, and $(461) million and $1.2 billion for the six months ended June 30, 2009 and 2008, respectively. Those totals include adjustments for structured notes classified within deposits and other borrowed funds, as well as long-term debt.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Included in the amounts are gains and losses related to certain financial instruments previously carried at fair value by the Firm, such as structured liabilities elected pursuant to SFAS 155 and loans purchased as part of the Investment Bank’s trading activities.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Reported in mortgage fees and related income.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Reported in other income.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of June 30, 2009, and December 31, 2008, for loans and long-term debt for which the SFAS 159 fair value option has been elected. The loans were classified in trading assets – debt and equity instruments or in loans. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">December 31, 2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">over (under)</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">over (under)</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Contractual</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">contractual</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Contractual</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">contractual</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">principal</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">principal</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">principal</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">principal</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">outstanding</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">outstanding</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">outstanding</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">outstanding</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Loans</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Performing loans 90 days or more past due </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Loans reported as trading assets </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Nonaccrual loans </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Loans reported as trading assets<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>6,016</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,724</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4,292</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">5,156</td> <td> </td> <td> </td> <td> </td> <td align="right">1,460</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(3,696</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>1,277</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>181</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,096</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">189</td> <td> </td> <td> </td> <td> </td> <td align="right">51</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(138</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Subtotal</b> </div></td> <td> </td> <td> </td> <td align="right"><b>7,293</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,905</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(5,388</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">5,345</td> <td> </td> <td> </td> <td> </td> <td align="right">1,511</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(3,834</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">All other performing loans </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Loans reported as trading assets<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>38,976</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>29,433</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(9,543</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">36,336</td> <td> </td> <td> </td> <td> </td> <td align="right">30,342</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(5,994</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>4,310</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,688</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,622</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">10,206</td> <td> </td> <td> </td> <td> </td> <td align="right">7,441</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,765</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total loans</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>50,579</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>34,026</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(16,553</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right">$</td> <td align="right">51,887</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">39,294</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(12,593</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Long-term debt</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Principal protected debt </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(27,355</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(26,398</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(957</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(27,043</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(26,241</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(802</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Nonprincipal protected debt<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(27,044</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right">NA </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(31,973</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right">NA </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total long-term debt</b> </div></td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(53,442</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right">NA</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(58,214</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right">NA</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>FIN 46R long-term beneficial interests</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Principal protected debt </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(108</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(108</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Nonprincipal protected debt<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,655</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right">NA</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,735</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right">NA</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total FIN 46R long-term beneficial interests</b> </div></td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,763</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right">NA</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,735</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td colspan="1" nowrap="nowrap" align="right">NA</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Loans reported as trading assets have been revised for the prior period.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Remaining contractual principal is not applicable to nonprincipal-protected notes. Unlike principal-protected notes, for which the Firm is obligated to return a stated amount of principal at the maturity of the note, nonprincipal-protected notes do not obligate the Firm to return a stated amount of principal at maturity, but to return an amount based on the performance of an underlying variable or derivative feature embedded in the note.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflected as the remaining contractual principal is the final principal payment at maturity.</i></td> </tr> </table> </div> </div> </body> </html>

<html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 9 — EMPLOYEE STOCK-BASED INCENTIVES </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a discussion of the accounting policies and other information relating to employee stock-based compensation, see Note 10 on pages 155–157 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm recognized noncash compensation expense related to its various employee stock-based incentive plans of $884 million and $728 million for the quarters ended June 30, 2009 and 2008, respectively, and $1.7 billion and $1.4 billion in the first six months of 2009 and 2008, respectively, in its Consolidated Statements of Income. These amounts included an accrual for the estimated cost of stock awards to be granted to full-career eligible employees of $192 million and $140 million for the quarters ended June 30, 2009 and 2008, respectively, and $332 million and $274 million for the first six months ended June 30, 2009 and 2008, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In the first quarter of 2009, the Firm granted 130 million restricted stock units (“RSUs”), with a grant date fair value of $19.52 per RSU, in connection with its annual incentive grant. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div> </body> </html>  <html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 10 — NONINTEREST EXPENSE </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Merger costs</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Costs associated with the Bear Stearns merger and the Washington Mutual transaction are reflected in the merger costs caption of the Consolidated Statements of Income. For a further discussion of the Bear Stearns merger and the Washington Mutual transaction, see Note 2 on pages 96–99 of this Form 10-Q. A summary of merger-related costs is shown in the following table. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Three months ended June 30, </b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-BOTTOM: 1px solid #000000"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Bear Stearns</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Washington Mutual</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Expense category</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Compensation<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(16</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>77</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>61</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">126</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Occupancy<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>18</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15</b></td> <td> </td> <td> </td> <td> </td> <td align="right"> —</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Technology and communications and other </div></td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>64</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>67</b></td> <td> </td> <td> </td> <td> </td> <td align="right">29</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b><sup style="font-size: 85%; vertical-align: text-top"><i>(b)(c)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(16</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>159</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>143</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">155</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Six months ended June 30, </b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-BOTTOM: 1px solid #000000"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Bear Stearns</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Washington Mutual</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Expense category</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Compensation<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(10</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>213</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>203</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">126</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Occupancy<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>23</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>20</b></td> <td> </td> <td> </td> <td> </td> <td align="right"> —</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Technology and communications and other </div></td> <td> </td> <td> </td> <td align="right"><b>17</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>108</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>125</b></td> <td> </td> <td> </td> <td> </td> <td align="right">29</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b><sup style="font-size: 85%; vertical-align: text-top"><i>(b)(c)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>344</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>348</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">155</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Represents partial reversals of merger costs accrued in prior periods.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>With the exception of occupancy- and technology-related write-offs, all of the costs in the table required the expenditure of cash.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>2008 Merger Activity is related to Bear Stearns only.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The table below shows changes in the merger reserve balance related to costs associated with the transactions. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Six months ended June 30, </b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-BOTTOM: 1px solid #000000"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Bear Stearns</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Washington Mutual</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Merger reserve balance, beginning of period </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>327</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>441</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>768</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Recorded as merger costs </div></td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>344</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>348</b></td> <td> </td> <td> </td> <td> </td> <td align="right">155</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Recorded as goodwill </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(5</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(5</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">1,112</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Utilization of merger reserve </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(257</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(583</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(840</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(174</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Merger reserve balance, end of period</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>69</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>202</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>271</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,093</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>2008 Merger Activity is related to Bear Stearns only.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div> </body> </html>  <html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 11 — SECURITIES </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Securities are classified as AFS, held-to-maturity (“HTM”) or trading. For additional information regarding AFS and HTM securities, see Note 12 on pages 158–162 of JPMorgan Chase’s 2008 Annual Report. Trading securities are discussed in Note 5 on pages 116–124 of this <font style="white-space: nowrap">Form 10-Q.</font> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Securities gains and losses</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents realized gains and realized and unrealized losses that were recognized in income from AFS securities. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Realized gains </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>743</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">675</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,153</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">812</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Realized losses </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(210)</b></td> <td nowrap="nowrap"> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(28</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(417)</b></td> <td nowrap="nowrap"> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(132</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Net realized gains </div></td> <td></td> <td nowrap="nowrap" align="right"></td> <td align="right"><b>533</b></td> <td nowrap="nowrap"></td> <td></td> <td nowrap="nowrap" align="right"></td> <td align="right">647</td> <td nowrap="nowrap"></td> <td></td> <td nowrap="nowrap" align="right"></td> <td align="right"><b>736</b></td> <td nowrap="nowrap"></td> <td></td> <td nowrap="nowrap" align="right"></td> <td align="right">680</td> <td nowrap="nowrap"></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Unrealized credit losses included in securities gains </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(186)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap"></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(191)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap"> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net securities gains</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>347</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">647</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>545</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">680</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Proceeds from securities sold were within approximately 2% of amortized cost.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Includes impairment losses recognized in income for the three and six months ended June 30, 2009, on certain subprime and prime mortgage-backed securities and obligations of U.S. states and municipalities.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The amortized cost and estimated fair value of AFS and HTM securities were as follows for the dates indicated. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="20%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">December 31, 2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Gross</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Gross</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Gross</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Gross</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Amortized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Amortized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">cost</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gains</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">losses</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">cost</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gains</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">losses</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</td> </tr>   <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Available-for-sale debt securities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Mortgage-backed securities<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup>: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:30px; text-indent:-15px">U.S. government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>179,086</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,219</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>866</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>180,439</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">115,198</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,414</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">227</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">117,385</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Residential: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Prime and Alt-A </div></td> <td> </td> <td> </td> <td align="right"><b>7,540</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>45</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,711</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,874</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,826</td> <td> </td> <td> </td> <td> </td> <td align="right">4</td> <td> </td> <td> </td> <td> </td> <td align="right">1,935</td> <td> </td> <td> </td> <td> </td> <td align="right">6,895</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right"><b>55</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>55</b></td> <td> </td> <td> </td> <td> </td> <td align="right">213</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">19</td> <td> </td> <td> </td> <td> </td> <td align="right">194</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. </div></td> <td> </td> <td> </td> <td align="right"><b>6,555</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>123</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>244</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,434</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,233</td> <td> </td> <td> </td> <td> </td> <td align="right">24</td> <td> </td> <td> </td> <td> </td> <td align="right">182</td> <td> </td> <td> </td> <td> </td> <td align="right">2,075</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Commercial </div></td> <td> </td> <td> </td> <td align="right"><b>4,738</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>510</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,235</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,623</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">684</td> <td> </td> <td> </td> <td> </td> <td align="right">3,939</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>197,974</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,394</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,331</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>197,037</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">131,093</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,442</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3,047</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">130,488</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">U.S. Treasury and government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>34,940</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>108</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>370</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>34,678</b></td> <td> </td> <td> </td> <td> </td> <td align="right">10,402</td> <td> </td> <td> </td> <td> </td> <td align="right">52</td> <td> </td> <td> </td> <td> </td> <td align="right">97</td> <td> </td> <td> </td> <td> </td> <td align="right">10,357</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right"><b>6,043</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>157</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>194</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,006</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,479</td> <td> </td> <td> </td> <td> </td> <td align="right">94</td> <td> </td> <td> </td> <td> </td> <td align="right">238</td> <td> </td> <td> </td> <td> </td> <td align="right">3,335</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Certificates of deposit </div></td> <td> </td> <td> </td> <td align="right"><b>5,587</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,603</b></td> <td> </td> <td> </td> <td> </td> <td align="right">17,226</td> <td> </td> <td> </td> <td> </td> <td align="right">64</td> <td> </td> <td> </td> <td> </td> <td align="right">8</td> <td> </td> <td> </td> <td> </td> <td align="right">17,282</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>16,221</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>162</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>32</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16,351</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,173</td> <td> </td> <td> </td> <td> </td> <td align="right">173</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right">8,344</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>47,826</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>520</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>70</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>48,276</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,358</td> <td> </td> <td> </td> <td> </td> <td align="right">257</td> <td> </td> <td> </td> <td> </td> <td align="right">61</td> <td> </td> <td> </td> <td> </td> <td align="right">9,554</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Asset-backed securities<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup>: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Credit card receivables </div></td> <td> </td> <td> </td> <td align="right"><b>22,354</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>297</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>408</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>22,243</b></td> <td> </td> <td> </td> <td> </td> <td align="right">13,651</td> <td> </td> <td> </td> <td> </td> <td align="right">8</td> <td> </td> <td> </td> <td> </td> <td align="right">2,268</td> <td> </td> <td> </td> <td> </td> <td align="right">11,391</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Collateralized debt and loan obligations </div></td> <td> </td> <td> </td> <td align="right"><b>11,637</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>409</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>547</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,499</b></td> <td> </td> <td> </td> <td> </td> <td align="right">11,847</td> <td> </td> <td> </td> <td> </td> <td align="right">168</td> <td> </td> <td> </td> <td> </td> <td align="right">820</td> <td> </td> <td> </td> <td> </td> <td align="right">11,195</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>1,929</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>81</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,873</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,026</td> <td> </td> <td> </td> <td> </td> <td align="right">4</td> <td> </td> <td> </td> <td> </td> <td align="right">135</td> <td> </td> <td> </td> <td> </td> <td align="right">895</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total available-for-sale debt securities</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>344,511</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,088</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,033</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>343,566</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">206,255</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3,262</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6,676</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">202,841</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale equity securities </div></td> <td> </td> <td> </td> <td align="right"><b>1,873</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>98</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,968</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,073</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right">7</td> <td> </td> <td> </td> <td> </td> <td align="right">3,068</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total available-for-sale securities</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>346,384</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,186</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,036</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>345,534</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">209,328</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3,264</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6,683</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">205,909</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total held-to-maturity securities</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>29</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>31</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">34</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">35</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Prior periods have been revised to conform to the current presentation.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Includes total U.S. government-sponsored enterprise obligations with fair values of $171.6 billion and $120.1 billion at June 30, 2009, and December 31, 2008, respectively, which were predominantly mortgage-related.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Consists primarily of mortgage-backed securities issued by U.S. government-sponsored enterprises.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Securities impairment</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following tables present the fair value and gross unrealized losses for AFS securities by aging category at June 30, 2009, and December 31, 2008. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="23" style="border-bottom: 1px solid #000000">Securities with gross unrealized losses</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Less than 12 months</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">12 months or more</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Gross</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Gross</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gross</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">fair</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">losses</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">losses</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">losses</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Available-for-sale debt securities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">U.S. government agencies </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>90,016</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>848</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,243</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>18</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>91,259</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>866</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Residential: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Prime and Alt-A </div></td> <td> </td> <td> </td> <td align="right"><b>2,626</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>375</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,757</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,336</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,383</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,711</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. </div></td> <td> </td> <td> </td> <td align="right"><b>1,964</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>244</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,964</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>244</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Commercial </div></td> <td> </td> <td> </td> <td align="right"><b>3,880</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>510</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,880</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>510</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>98,486</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,977</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,000</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,354</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>102,486</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,331</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">U.S. Treasury and government agencies </div></td> <td> </td> <td> </td> <td align="right"><b>16,359</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>370</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16,359</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>370</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right"><b>2,244</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>189</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>130</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,374</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>194</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Certificates of deposit </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>2,013</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>32</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,013</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>32</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>6,741</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>55</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,536</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,277</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>70</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Asset-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Credit card receivables </div></td> <td> </td> <td> </td> <td align="right"><b>592</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>29</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,532</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>379</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,124</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>408</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Collateralized debt and loan obligations </div></td> <td> </td> <td> </td> <td align="right"><b>6,755</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>239</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,993</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>308</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,748</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>547</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>476</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>56</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>576</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,052</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>81</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total available-for-sale debt securities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>133,666</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,947</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19,767</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,086</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>153,433</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,033</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale equity securities </div></td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total securities with gross unrealized losses</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>133,669</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,950</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>19,767</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,086</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>153,436</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,036</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="23" style="border-bottom: 1px solid #000000">Securities with gross unrealized losses</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Less than 12 months</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">12 months or more</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Gross</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Gross</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gross</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">fair</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">unrealized</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008 (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">losses</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">losses</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">losses</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Available-for-sale debt securities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage-backed securities<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup>: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">U.S. government agencies </div></td> <td> </td> <td align="right">$</td> <td align="right">6,016</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">224</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">469</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6,485</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">227</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Residential: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Prime and Alt-A </div></td> <td> </td> <td> </td> <td align="right">6,254</td> <td> </td> <td> </td> <td> </td> <td align="right">1,838</td> <td> </td> <td> </td> <td> </td> <td align="right">333</td> <td> </td> <td> </td> <td> </td> <td align="right">97</td> <td> </td> <td> </td> <td> </td> <td align="right">6,587</td> <td> </td> <td> </td> <td> </td> <td align="right">1,935</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">151</td> <td> </td> <td> </td> <td> </td> <td align="right">19</td> <td> </td> <td> </td> <td> </td> <td align="right">151</td> <td> </td> <td> </td> <td> </td> <td align="right">19</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. </div></td> <td> </td> <td> </td> <td align="right">1,908</td> <td> </td> <td> </td> <td> </td> <td align="right">182</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,908</td> <td> </td> <td> </td> <td> </td> <td align="right">182</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Commercial </div></td> <td> </td> <td> </td> <td align="right">3,939</td> <td> </td> <td> </td> <td> </td> <td align="right">684</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,939</td> <td> </td> <td> </td> <td> </td> <td align="right">684</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td> </td> <td> </td> <td align="right">18,117</td> <td> </td> <td> </td> <td> </td> <td align="right">2,928</td> <td> </td> <td> </td> <td> </td> <td align="right">953</td> <td> </td> <td> </td> <td> </td> <td align="right">119</td> <td> </td> <td> </td> <td> </td> <td align="right">19,070</td> <td> </td> <td> </td> <td> </td> <td align="right">3,047</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">U.S. Treasury and government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">7,659</td> <td> </td> <td> </td> <td> </td> <td align="right">97</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">7,659</td> <td> </td> <td> </td> <td> </td> <td align="right">97</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right">1,129</td> <td> </td> <td> </td> <td> </td> <td align="right">232</td> <td> </td> <td> </td> <td> </td> <td align="right">16</td> <td> </td> <td> </td> <td> </td> <td align="right">6</td> <td> </td> <td> </td> <td> </td> <td align="right">1,145</td> <td> </td> <td> </td> <td> </td> <td align="right">238</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Certificates of deposit </div></td> <td> </td> <td> </td> <td align="right">382</td> <td> </td> <td> </td> <td> </td> <td align="right">8</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">382</td> <td> </td> <td> </td> <td> </td> <td align="right">8</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right">308</td> <td> </td> <td> </td> <td> </td> <td align="right">1</td> <td> </td> <td> </td> <td> </td> <td align="right">74</td> <td> </td> <td> </td> <td> </td> <td align="right">1</td> <td> </td> <td> </td> <td> </td> <td align="right">382</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right">558</td> <td> </td> <td> </td> <td> </td> <td align="right">54</td> <td> </td> <td> </td> <td> </td> <td align="right">30</td> <td> </td> <td> </td> <td> </td> <td align="right">7</td> <td> </td> <td> </td> <td> </td> <td align="right">588</td> <td> </td> <td> </td> <td> </td> <td align="right">61</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Asset-backed securities<sup style="font-size: 85%; vertical-align: text-top">(a)</sup>: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Credit card receivables </div></td> <td> </td> <td> </td> <td align="right">10,267</td> <td> </td> <td> </td> <td> </td> <td align="right">1,964</td> <td> </td> <td> </td> <td> </td> <td align="right">472</td> <td> </td> <td> </td> <td> </td> <td align="right">304</td> <td> </td> <td> </td> <td> </td> <td align="right">10,739</td> <td> </td> <td> </td> <td> </td> <td align="right">2,268</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Collateralized debt and loan obligations </div></td> <td> </td> <td> </td> <td align="right">9,059</td> <td> </td> <td> </td> <td> </td> <td align="right">820</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,059</td> <td> </td> <td> </td> <td> </td> <td align="right">820</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">813</td> <td> </td> <td> </td> <td> </td> <td align="right">134</td> <td> </td> <td> </td> <td> </td> <td align="right">17</td> <td> </td> <td> </td> <td> </td> <td align="right">1</td> <td> </td> <td> </td> <td> </td> <td align="right">830</td> <td> </td> <td> </td> <td> </td> <td align="right">135</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total available-for-sale debt securities</b> </div></td> <td> </td> <td> </td> <td align="right">48,292</td> <td> </td> <td> </td> <td> </td> <td align="right">6,238</td> <td> </td> <td> </td> <td> </td> <td align="right">1,562</td> <td> </td> <td> </td> <td> </td> <td align="right">438</td> <td> </td> <td> </td> <td> </td> <td align="right">49,854</td> <td> </td> <td> </td> <td> </td> <td align="right">6,676</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale equity securities </div></td> <td> </td> <td> </td> <td align="right">19</td> <td> </td> <td> </td> <td> </td> <td align="right">7</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">19</td> <td> </td> <td> </td> <td> </td> <td align="right">7</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total securities with gross unrealized losses</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">48,311</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6,245</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,562</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">438</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">49,873</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6,683</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(a)</td> <td> </td> <td>Prior periods have been revised to conform to the current presentation.</td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Other-than-temporary impairment</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In April 2009, the FASB amended the other-than-temporary impairment (“OTTI”) model for debt securities. The impairment model for equity securities was not affected. Under the new guidance, OTTI loss must be recognized in earnings if an investor has the intent to sell the debt security, or if it is more likely than not, will be required to sell the debt security before recovery of its amortized cost basis. However, even if an investor does not expect to sell a debt security, it must evaluate expected cash flows to be received and determine if a credit loss exists. In the event of a credit loss, only the amount of impairment associated with the credit loss is recognized in income. Amounts relating to factors other than credit losses are recorded in OCI. The guidance also requires additional disclosures regarding the calculation of credit losses, as well as factors considered in reaching a conclusion that an investment is not other-than-temporarily impaired. JPMorgan Chase early adopted the new guidance effective for the period ending March 31, 2009. The Firm did not record a transition adjustment for securities held at March 31, 2009, which were previously considered other-than-temporarily impaired, as the Firm intended to sell the securities for which it had previously recognized OTTIs. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">AFS securities in unrealized loss positions are analyzed as part of the Firm’s ongoing assessment of OTTI. When the Firm intends to sell AFS securities, it recognizes an impairment loss equal to the full difference between the amortized cost basis and the fair value of those securities. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">When the Firm does not intend to sell AFS equity or debt securities in an unrealized loss position, potential OTTI is considered using a variety of factors, including the length of time and extent to which the market value has been less than cost; adverse conditions specifically related to the industry, geographic area or financial condition of the issuer or underlying collateral of a security; payment structure of the security; changes to the rating of the security by a rating agency; the volatility of the fair value changes, and changes in fair value of the security after the balance sheet date. For debt securities, the Firm estimates cash flows over the remaining lives of the underlying collateral to assess whether credit losses exist, and, where applicable under EITF Issue 99-20, to determine if any adverse changes in cash flows have occurred. The Firm’s cash flow estimates take into account expectations of relevant market and economic data as of the end of the reporting period — including, for example, for securities issued in a securitization, underlying loan-level data, and structural features of the securitization, such as subordination, excess spread, overcollateralization or other forms of credit enhancement. The Firm compares the losses projected for the underlying collateral (“pool losses”) against the level of credit enhancement in the securitization structure to determine whether these features are sufficient to absorb the pool losses, or whether a credit loss on the AFS debt security exists. The Firm also performs other analyses to support its cash flow projections, such as first-loss analyses or stress scenarios. For debt securities, the Firm considers a decline in fair value to be other-than-temporary when the Firm does not expect to recover the entire amortized cost basis of the security, including, as applicable under EITF Issue 99-20, when an adverse change in cash flows has occurred. The Firm applies EITF Issue 99-20 to beneficial interests in securitizations that are rated below “AA” at acquisition, or that can be contractually prepaid or otherwise settled in such a way that the Firm would not recover substantially all of its recorded investment. For equity securities, the Firm considers the above factors, as well as the Firm’s intent and ability to retain its investment for a period of time sufficient to allow for any anticipated recovery in market value, and whether evidence exists to support a realizable value equal to or greater than the carrying value. The Firm considers a decline in fair value of AFS equity securities to be other-than-temporary if it is probable that the Firm will not recover its amortized cost basis. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents unrealized losses that are included in securities gains and losses above. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Three months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Six months ended</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Debt securities the Firm does not intend to sell with credit losses</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total unrealized losses </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(880</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(880</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Unrealized losses not related to credit </div></td> <td> </td> <td> </td> <td align="right"><b>696</b></td> <td> </td> <td> </td> <td> </td> <td align="right">696</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Unrealized credit losses recognized in income</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(184</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(184</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Unrealized losses recognized in income on debt securities the Firm intends to sell </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(7</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total unrealized losses recognized in income</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(186</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(191</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Represents the credit loss component of certain prime mortgage-backed securities and obligations of U.S. states and municipalities that the Firm does not intend to sell. </i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">Since the first quarter of 2008, the Firm has increased its investment securities positions. Many of these securities were purchased at discounts to par, given the significant liquidity constraints in the market. The timing and prices at which the Firm acquired its investments have resulted in the majority of unrealized losses existing for less than 12 months. Based on the analyses described above, which have been applied to these securities, the Firm believes that the unrealized losses that it does not consider to be other-than-temporary result from liquidity conditions in the current market environment. As of June 30, 2009, the Firm does not intend to sell the securities with a loss position in AOCI, and it is not likely that the Firm will be required to sell these securities before recovery of their amortized cost basis. As a result, except for the securities reported in the table above for which credit losses have been recognized in income, the Firm believes that the securities with an unrealized loss in AOCI are not other-than-temporarily impaired as of June 30, 2009. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Following is a description of the Firm’s main security investments and the key assumptions used in its estimate of the present value of the cash flows most likely to be collected from those investments. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Mortgage-backed securities — U.S. government agencies</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of June 30, 2009, gross unrealized losses on mortgage-backed securities related to U.S. agencies were $866 million, of which $18 million related to securities that have been in an unrealized loss position for longer than 12 months. These mortgage-backed securities do not have any credit losses, given the explicit and implicit guarantees provided by the U.S. federal government. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Mortgage-backed securities — Prime and Alt-A non-agency</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of June 30, 2009, gross unrealized losses related to prime and Alt-A mortgage-backed securities issued by private issuers were $1.7 billion, of which $1.3 billion related to securities that have been in an unrealized loss position for longer than 12 months. Approximately one-third of these positions are currently rated “AAA.” Approximately half of the amortized cost of the investments in prime and Alt-A mortgage-backed securities have experienced downgrades and approximately one-third of the amortized cost of investments in prime and Alt-A mortgage-backed securities are currently rated below investment grade. Despite the downgrades experienced, the portfolio generally continues to possess credit enhancement levels sufficient to support the Firm’s investment. However, the Firm has recognized $66 million of OTTIs in earnings for securities that have experienced increased delinquency rates associated with specific collateral types and origination dates. In analyzing prime and Alt-A residential mortgage-backed securities for potential credit losses, the key inputs to the Firm’s cash flow projections were estimated peak-to-trough home price declines of up to 44% and an unemployment rate of 10.3%. The Firm’s cash flow projections assumed liquidation rates of 75% to 100% and loss severities of 45% to 55%, depending on the underlying collateral type and seasoning. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Mortgage-backed securities — Subprime</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of June 30, 2009, there were no gross unrealized losses related to subprime residential mortgage-backed securities (“RMBS”) in an unrealized loss position. During the three and six months ended June 30, 2009, the Firm recorded losses of $2 million and $7 million, respectively, on subprime RMBS based on the Firm’s intent to sell. In addition, the Firm realized losses of $17 million and $28 million, respectively, on sales of subprime RMBS during the three and six months ended June 30, 2009. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Mortgage-backed securities — Commercial</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of June 30, 2009, gross unrealized losses related to commercial mortgage-backed securities were $510 million; none of the losses related to securities that were in an unrealized loss position for longer than 12 months. Substantially all of the Firm’s commercial mortgage-backed securities are rated “AAA” and possess, on average, 27% subordination (a form of credit enhancement for the benefit of senior securities, expressed here as the percentage of pool losses that can occur before an asset-backed security will incur its first dollar of principal loss). In considering whether potential credit-related losses exist, the Firm conducted a scenario analysis, using high levels of delinquencies and losses over the near term, followed by lower levels over the long term. Specific assumptions included: (i) all loans more than 60 days delinquent will default; (ii) additional default rates for the remaining portfolio forecasted to be up to 8% in the near term and 2% in the long term; and (iii) loss severity assumptions ranging from 45% in the near term to 40% in later years. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Asset-backed securities — Credit card receivables</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of June 30, 2009, gross unrealized losses related to credit card receivables asset-backed securities were $408 million, of which $379 million of the losses related to securities that were in an unrealized loss position for longer than 12 months. Of the $408 million of unrealized losses related to credit card—related asset-backed securities, $375 million relates to purchased credit card—related asset-backed securities, and $33 million related to retained interests in the Firm’s own credit card receivable securitizations. The credit card—related asset-backed securities include “AAA,” “AA,” “A” and “BBB” ratings. One of the key metrics the Firm reviews for credit card-related asset-backed securities is each trust’s excess spread — which is the credit enhancement resulting from cash that remains each month after payments are made to investors for principal and interest, and to servicers for servicing fees, and after credit losses are allocated. The average excess spread for the issuing trusts in which the Firm holds interests ranges from 1% to 6%. The Firm uses internal models to project the cash flows that impact excess spread. For retained interests, the Firm uses its own underlying loan data as well as available market benchmarks. For purchased investments, the Firm uses available market benchmarks and trends to support the assumptions used in the projections. In analyzing potential credit losses, the primary assumptions are underlying charge-off rates, which range from 9% to 16% (charge-off rates consider underlying assumptions such as unemployment rates and roll rates), payment rates of 11% to 22%, and portfolio yields of 14% to 24%. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Asset-backed securities — Collateralized debt and loan obligations</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of June 30, 2009, gross unrealized losses related to collateralized debt and loan obligations were $547 million, of which $308 million related to securities that were in an unrealized loss position for longer than 12 months. Substantially all of these securities are rated “AAA” and have an average of 28% credit enhancement. Credit enhancement in collateralized loan obligations (“CLOs”) is mainly composed of overcollateralization — the excess of the par amount of collateral over the par amount of securities. The key assumptions considered in analyzing potential credit losses were underlying loan and debt security defaults and loss severity. Based on current default trends, the Firm assumed collateral default rates of 15% in 2009, 12% in 2010 and 5% thereafter. Further, loss severities were assumed to be 50% for loans and 80% for debt securities. Losses on collateral were estimated to occur approximately 18 months after default. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Contractual maturities and yields</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the amortized cost and estimated fair value at June 30, 2009, of JPMorgan Chase’s AFS and HTM securities by contractual maturity. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 1px solid #000000"><b>June 30, 2009</b></td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>Due after one</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>Due after five</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">By remaining maturity</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>Due in one</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>year through</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>years through</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>Due after</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>year or less</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>five years</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>ten years</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>ten years</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>Total</b></td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Available-for-sale debt securities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage-backed securities<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">29</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,308</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8,467</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">188,170</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">197,974</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">30</td> <td> </td> <td> </td> <td> </td> <td align="right">1,333</td> <td> </td> <td> </td> <td> </td> <td align="right">7,998</td> <td> </td> <td> </td> <td> </td> <td align="right">187,676</td> <td> </td> <td> </td> <td> </td> <td align="right">197,037</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.81</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.99</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.33</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.76</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.73</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">U.S. Treasury and government agencies<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">541</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">26,141</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8,028</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">230</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">34,940</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">541</td> <td> </td> <td> </td> <td> </td> <td align="right">26,176</td> <td> </td> <td> </td> <td> </td> <td align="right">7,734</td> <td> </td> <td> </td> <td> </td> <td align="right">227</td> <td> </td> <td> </td> <td> </td> <td align="right">34,678</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">0.18</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.42</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3.48</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">5.95</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.65</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td colspan="3" nowrap="nowrap" align="center"> </td> <td> </td> <td colspan="3" nowrap="nowrap" align="center"></td> <td> </td> <td colspan="3" nowrap="nowrap" align="center"></td> <td> </td> <td colspan="3" nowrap="nowrap" align="center"></td> <td> </td> <td colspan="3" nowrap="nowrap" align="center"></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">132</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">419</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,492</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6,043</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">137</td> <td> </td> <td> </td> <td> </td> <td align="right">422</td> <td> </td> <td> </td> <td> </td> <td align="right">5,447</td> <td> </td> <td> </td> <td> </td> <td align="right">6,006</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.23</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">5.12</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.43</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.47</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Certificates of deposit </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">5,587</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,587</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">5,603</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">5,603</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.92</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.92</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">5,015</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8,160</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">897</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,149</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">16,221</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">5,024</td> <td> </td> <td> </td> <td> </td> <td align="right">8,286</td> <td> </td> <td> </td> <td> </td> <td align="right">890</td> <td> </td> <td> </td> <td> </td> <td align="right">2,151</td> <td> </td> <td> </td> <td> </td> <td align="right">16,351</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1.53</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.57</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3.73</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.29</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.28</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">3,484</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">43,527</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">603</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">212</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">47,826</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">3,547</td> <td> </td> <td> </td> <td> </td> <td align="right">43,895</td> <td> </td> <td> </td> <td> </td> <td align="right">618</td> <td> </td> <td> </td> <td> </td> <td align="right">216</td> <td> </td> <td> </td> <td> </td> <td align="right">48,276</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.41</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.45</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">6.28</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">6.94</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.52</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">12,668</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">9,209</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8,447</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,596</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">35,920</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">12,732</td> <td> </td> <td> </td> <td> </td> <td align="right">9,044</td> <td> </td> <td> </td> <td> </td> <td align="right">8,290</td> <td> </td> <td> </td> <td> </td> <td align="right">5,549</td> <td> </td> <td> </td> <td> </td> <td align="right">35,615</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.01</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1.89</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1.87</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.23</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1.98</td> <td nowrap="nowrap">%</td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total available-for-sale debt securities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">27,324</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">88,477</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">26,861</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">201,849</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">344,511</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">27,477</td> <td> </td> <td> </td> <td> </td> <td align="right">88,871</td> <td> </td> <td> </td> <td> </td> <td align="right">25,952</td> <td> </td> <td> </td> <td> </td> <td align="right">201,266</td> <td> </td> <td> </td> <td> </td> <td align="right">343,566</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.12</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.41</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3.34</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.66</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3.78</td> <td nowrap="nowrap">%</td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Available-for-sale equity securities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,873</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,873</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,968</td> <td> </td> <td> </td> <td> </td> <td align="right">1,968</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">0.34</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">0.34</td> <td nowrap="nowrap">%</td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total available-for-sale securities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">27,324</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">88,477</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">26,861</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">203,722</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">346,384</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">27,477</td> <td> </td> <td> </td> <td> </td> <td align="right">88,871</td> <td> </td> <td> </td> <td> </td> <td align="right">25,952</td> <td> </td> <td> </td> <td> </td> <td align="right">203,234</td> <td> </td> <td> </td> <td> </td> <td align="right">345,534</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.12</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.41</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3.34</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.62</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3.76</td> <td nowrap="nowrap">%</td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr> <td style="font-size:10pt"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total held-to-maturity securities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">27</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">29</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">29</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right">31</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">6.89</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">6.46</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">6.85</td> <td nowrap="nowrap">%</td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>The average yield was based on amortized cost balances at the end of the period and does not give effect to changes in fair value that are reflected in accumulated other comprehensive income (loss). Yields are derived by dividing interest/dividend income (including the effect of related derivatives on available-for-sale securities and the amortization of premiums and accretion of discounts) by total amortized cost. Taxable-equivalent yields are used where applicable.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>U.S. government agencies and U.S. government-sponsored enterprises were the only issuers whose securities exceeded 10% of JPMorgan Chase’s total stockholders’ equity at June 30, 2009.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Includes securities with no stated maturity. Substantially all of the Firm’s mortgage-backed securities and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimated duration, which reflects anticipated future prepayments based on a consensus of dealers in the market, is approximately five years for nonagency mortgage-backed securities and three years for collateralized mortgage obligations.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div> </body> </html>

<html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 12 — SECURITIES FINANCING ACTIVITIES </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a discussion of accounting policies relating to securities financing activities, see Note 13 on pages 162-163 of JPMorgan Chase’s 2008 Annual Report. For further information regarding securities borrowed and securities lending agreements for which the SFAS 159 fair value option has been elected, see Note 4 on pages 114-116 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table details the components of collateralized financings. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Securities purchased under resale agreements<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"><b>$</b></td> <td align="right" valign="top"><b>158,861</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">200,265</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Securities borrowed<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>129,263</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">124,000</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Securities sold under repurchase agreements<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"><b>$</b></td> <td align="right" valign="top"><b>287,092</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">174,456</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Securities loaned </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>6,403</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">6,077</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Includes resale agreements of $19.0 billion and $20.8 billion accounted for at fair value at June 30, 2009, and December 31, 2008, respectively.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Includes securities borrowed of $3.4 billion accounted for at fair value at both June 30, 2009, and December 31, 2008.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Includes repurchase agreements of $3.0 billion accounted for at fair value at both June 30, 2009, and December 31, 2008.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase pledges certain financial instruments it owns to collateralize repurchase agreements and other securities financings. Pledged securities that can be sold or repledged by the secured party are identified as financial instruments owned (pledged to various parties) on the Consolidated Balance Sheets. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">At June 30, 2009, the Firm received securities as collateral that could be repledged, delivered or otherwise used with a fair value of approximately $597.5 billion. This collateral was generally obtained under resale or securities-borrowing agreements. Of these securities, approximately $435.6 billion were repledged, delivered or otherwise used, generally as collateral under repurchase agreements, securities lending agreements or to cover short sales. </div> </div> </body> </html>

<html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 13 — LOANS </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The accounting for a loan is based on whether it is originated or purchased, and whether the loan is used in an investing or trading strategy. The measurement framework for loans in the Consolidated Financial Statements is one of the following: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>At the principal amount outstanding, net of the allowance for loan losses, unearned income and any net deferred loan fees or costs, for loans held-for-investment (other than purchased credit-impaired loans);</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>At the lower of cost or fair value, with valuation changes recorded in noninterest revenue, for loans that are classified as held-for-sale;</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>At fair value, with changes in fair value recorded in noninterest revenue, for loans classified as trading assets or risk managed on a fair value basis; or</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Purchased credit-impaired loans held-for-investment are accounted for under SOP 03-3 and initially measured at fair value, which includes estimated future credit losses. Accordingly, an allowance for loan losses related to these loans is not recorded at the acquisition date.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a detailed discussion of accounting policies relating to loans, see Note 14 on pages 163-166 of JPMorgan Chase’s 2008 Annual Report. See Note 4 on pages 114-116 of this Form 10-Q for further information on the Firm’s elections of fair value accounting under SFAS 159. See Note 3 on pages 99-114 of this Form 10-Q for further information on loans carried at fair value and classified as trading assets. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The composition of the Firm’s aggregate loan portfolio at each of the dates indicated was as follows. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>U.S. wholesale loans:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial and industrial </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>59,096</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">68,709</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Real estate </div></td> <td> </td> <td> </td> <td align="right"><b>61,754</b></td> <td> </td> <td> </td> <td> </td> <td align="right">64,214</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Financial institutions </div></td> <td> </td> <td> </td> <td align="right"><b>18,083</b></td> <td> </td> <td> </td> <td> </td> <td align="right">20,615</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Government agencies </div></td> <td> </td> <td> </td> <td align="right"><b>5,826</b></td> <td> </td> <td> </td> <td> </td> <td align="right">5,918</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>24,619</b></td> <td> </td> <td> </td> <td> </td> <td align="right">22,330</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans held-for-sale and at fair value </div></td> <td> </td> <td> </td> <td align="right"><b>2,826</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,990</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total U.S. wholesale loans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>172,204</b></td> <td> </td> <td> </td> <td> </td> <td align="right">186,776</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Non-U.S. wholesale loans:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial and industrial </div></td> <td> </td> <td> </td> <td align="right"><b>24,052</b></td> <td> </td> <td> </td> <td> </td> <td align="right">27,941</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Real estate </div></td> <td> </td> <td> </td> <td align="right"><b>2,871</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,667</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Financial institutions </div></td> <td> </td> <td> </td> <td align="right"><b>10,173</b></td> <td> </td> <td> </td> <td> </td> <td align="right">16,381</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Government agencies </div></td> <td> </td> <td> </td> <td align="right"><b>688</b></td> <td> </td> <td> </td> <td> </td> <td align="right">603</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>16,918</b></td> <td> </td> <td> </td> <td> </td> <td align="right">18,711</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans held-for-sale and at fair value </div></td> <td> </td> <td> </td> <td align="right"><b>4,719</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,965</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total non-U.S. wholesale loans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>59,421</b></td> <td> </td> <td> </td> <td> </td> <td align="right">75,268</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total wholesale loans:</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial and industrial </div></td> <td> </td> <td> </td> <td align="right"><b>83,148</b></td> <td> </td> <td> </td> <td> </td> <td align="right">96,650</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Real estate<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>64,625</b></td> <td> </td> <td> </td> <td> </td> <td align="right">66,881</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Financial institutions </div></td> <td> </td> <td> </td> <td align="right"><b>28,256</b></td> <td> </td> <td> </td> <td> </td> <td align="right">36,996</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Government agencies </div></td> <td> </td> <td> </td> <td align="right"><b>6,514</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,521</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>41,537</b></td> <td> </td> <td> </td> <td> </td> <td align="right">41,041</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans held-for-sale and at fair value<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>7,545</b></td> <td> </td> <td> </td> <td> </td> <td align="right">13,955</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total wholesale loans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>231,625</b></td> <td> </td> <td> </td> <td> </td> <td align="right">262,044</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total consumer loans:</b><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Home equity </div></td> <td> </td> <td> </td> <td align="right"><b>108,229</b></td> <td> </td> <td> </td> <td> </td> <td align="right">114,335</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Prime mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>68,878</b></td> <td> </td> <td> </td> <td> </td> <td align="right">72,266</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Subprime mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>13,825</b></td> <td> </td> <td> </td> <td> </td> <td align="right">15,330</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right"><b>9,034</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,018</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Auto loans </div></td> <td> </td> <td> </td> <td align="right"><b>42,887</b></td> <td> </td> <td> </td> <td> </td> <td align="right">42,603</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card<sup style="font-size: 85%; vertical-align: text-top"><i>(e)(f)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>85,736</b></td> <td> </td> <td> </td> <td> </td> <td align="right">104,746</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>33,041</b></td> <td> </td> <td> </td> <td> </td> <td align="right">33,715</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans held-for-sale<sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>1,940</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,028</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total consumer loans — excluding purchased credit-impaired loans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>363,570</b></td> <td> </td> <td> </td> <td> </td> <td align="right">394,041</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Consumer loans — purchased credit-impaired loans </div></td> <td> </td> <td> </td> <td align="right"><b>85,406</b></td> <td> </td> <td> </td> <td> </td> <td align="right">88,813</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total consumer loans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>448,976</b></td> <td> </td> <td> </td> <td> </td> <td align="right">482,854</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total loans</b><sup style="font-size: 85%; vertical-align: text-top"><i>(h)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>680,601</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">744,898</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Includes Investment Bank, Commercial Banking, Treasury & Securities Services and Asset Management.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Represents credits extended for real estate-related purposes to borrowers who are primarily in the real estate development or investment businesses, and which the repayment is predominantly from the sale, lease, management, operations or refinancing of the property.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Includes loans for commercial & industrial, real estate, financial institutions and other of $5.5 billion, $334 million, $701 million and $1.0 billion, respectively, at June 30, 2009, and $11.0 billion, $428 million, $1.5 billion and $995 million, respectively, at December 31, 2008.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Includes Retail Financial Services, Card Services and the Corporate/Private Equity segment.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Includes billed finance charges and fees net of an allowance for uncollectible amounts.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(f)</i></td> <td> </td> <td><i>Includes $5.0 billion of loans at June 30, 2009, from the Washington Mutual Master Trust, which were consolidated onto the Firm’s balance sheet at fair value during the second quarter of 2009. See Note 15 on pages 139-147 of this Form 10-Q.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(g)</i></td> <td> </td> <td><i>Includes loans for prime mortgage and other (largely student loans) of $589 million and $1.4 billion, respectively, at June 30, 2009, and $206 million and $1.8 billion, respectively, at December 31, 2008.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(h)</i></td> <td> </td> <td><i>Loans (other than purchased loans and those for which the SFAS 159 fair value option has been elected) are presented net of $574 million and $694 million of unearned income and net deferred loan costs at June 30, 2009, and December 31, 2008, respectively.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table reflects information about the Firm’s loan sales. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net gains/(losses) on sales of loans (including lower of cost or fair value adjustments)<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>306</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(335</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>13</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(952</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Excludes sales related to loans accounted for at fair value.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Purchased credit-impaired loans</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In connection with the Washington Mutual transaction, JPMorgan Chase acquired certain loans that it deemed to be credit-impaired under SOP 03-3. For a detailed discussion of purchased credit-impaired loans, including accounting policies, see Note 14 on pages 163-166 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Purchased credit-impaired loans are reported in loans on the Firm’s Consolidated Balance Sheets. The allowance for loan losses, if required, would be reported as a reduction of the carrying amount of the loans. No allowance for loan losses has been recorded for these loans as of June 30, 2009. The outstanding balance and the carrying amount of the purchased credit-impaired consumer loans were as follows. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Outstanding balance<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"><b>$</b></td> <td align="right" valign="top"><b>110,793</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">118,180</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Carrying amount </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>85,406</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">88,813</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Represents the sum of contractual principal, interest and fees earned at the reporting date.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The accretable yield represents the excess of cash flows expected to be collected over the fair value of the purchased credit-impaired loans. This amount is not reported on the Firm’s Consolidated Balance Sheets, but is accreted into interest income at a level rate of return over the expected lives of the underlying loans. For variable rate loans, expected future cash flows were initially based on the rate in effect at acquisition; expected future cash flows are recalculated as rates change over the lives of the loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The table below sets forth the accretable yield activity for purchased credit-impaired consumer loans for the three and six months ended June 30, 2009. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Accretable yield activity</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Three months ended June 30, 2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Six months ended June 30, 2009<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Balance at the beginning of the period </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right">29,114</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right">32,619</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Accretion into interest income </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,106</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,365</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Changes in interest rates on variable-rate loans </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,045</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(3,291</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Balance, June 30, 2009</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">26,963</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">26,963</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>During the first quarter of 2009, the Firm continued to refine its model to estimate future cash flows for its purchased credit-impaired consumer loans, which resulted in an adjustment of the initial estimate of cash flows expected to be collected. These refinements, which primarily affected the amount of undiscounted-interest cash flows expected to be received over the life of the loans, resulted in a $6.1 billion increase in cash flows expected to be collected. However, on a discounted basis, these refinements did not have a material impact on the fair value of the purchased credit-impaired loans as of the September 25, 2008, acquisition date; nor did they have a material impact on the amount of interest income recognized in the Firm’s Consolidated Statements of Income since that date.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Other impaired loans</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a detailed discussion of impaired loans, including types of impaired loans, certain troubled debt restructurings and accounting policies relating to the interest income on these loans, see Note 14 on pages 163-166 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The tables below set forth information about JPMorgan Chase’s impaired loans, excluding credit card loans, which are discussed below. The Firm primarily uses the discounted cash flow method for valuing impaired loans. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Impaired loans with an allowance: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Wholesale </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,273</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,026</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Consumer<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>3,751</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,252</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total impaired loans with an allowance</b> </div></td> <td> </td> <td> </td> <td align="right"><b>9,024</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,278</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Impaired loans without an allowance:<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Wholesale </div></td> <td> </td> <td> </td> <td align="right"><b>266</b></td> <td> </td> <td> </td> <td> </td> <td align="right">62</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Consumer<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total impaired loans without an allowance</b> </div></td> <td> </td> <td> </td> <td align="right"><b>266</b></td> <td> </td> <td> </td> <td> </td> <td align="right">62</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total impaired loans</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>9,290</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,340</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Allowance for impaired loans under SFAS 114: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Wholesale </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,108</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">712</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Consumer<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>801</b></td> <td> </td> <td> </td> <td> </td> <td align="right">379</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total allowance for impaired loans under SFAS 114</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,909</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,091</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Average balance of impaired loans during the period: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Wholesale </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,375</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">747</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,639</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">683</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Consumer<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>3,479</b></td> <td> </td> <td> </td> <td> </td> <td align="right">962</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,042</b></td> <td> </td> <td> </td> <td> </td> <td align="right">837</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total impaired loans</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7,854</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,709</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6,681</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,520</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Interest income recognized on impaired loans during the period: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Wholesale </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Consumer<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>37</b></td> <td> </td> <td> </td> <td> </td> <td align="right">13</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>67</b></td> <td> </td> <td> </td> <td> </td> <td align="right">21</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total interest income recognized on impaired loans during the period </b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>37</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">13</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>67</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">21</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Excludes credit card loans.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>When the discounted cash flows, collateral value or market price equals or exceeds the carrying value of the loan, then the loan does not require an allowance under SFAS 114.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>The allowance for impaired loans under SFAS 114 is included in JPMorgan Chase’s allowance for loan losses. The allowance for certain consumer-impaired loans has been categorized in the allowance for loan losses as formula-based.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Included in the table above are consumer loans, excluding credit card loans, that have been modified in a troubled debt restructuring, with balances of approximately $3.1 billion and $1.8 billion as of June 30, 2009, and December 31, 2008, respectively. For detailed discussion of modification of the terms of credit card loan agreements, see Note 14 on pages 163-166 of JPMorgan Chase’s 2008 Annual Report. At June 30, 2009, and December 31, 2008, the Firm modified $3.7 billion and $2.4 billion, respectively, of on—balance sheet credit card loans outstanding. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">During the first quarter of 2009, the U.S. Treasury introduced the Making Home Affordable Plan (“MHA”), which includes programs designed to assist eligible homeowners by modifying the terms of their mortgages. The Firm is participating in MHA while continuing to expand its other loss-mitigation efforts for financially stressed borrowers who do not qualify for the MHA programs. MHA and the Firm’s other loss mitigation programs generally represent various forms of term extensions, rate reductions and forbearances provided to financially troubled borrowers. Under these programs, borrowers must make three payments during a 90-day trial modification period and be successfully re-underwritten with income verification, before their loan is officially deemed to be modified. Upon formal modification, the loan is generally accounted for as a troubled debt restructuring. For purchased credit-impaired loans, the impact of the modification is incorporated into the Firm’s quarterly assessment of whether a probable and/or significant change in estimated future cash flows has occurred and the loans continue to be reported as purchased credit-impaired loans. As of June 30, 2009, approximately 26,000 approved trial mortgage modifications with an unpaid principal balance of $8.3 billion were included on the Firm’s balance sheet. Approximately $4.6 billion of these loans were included in the Firm’s purchased credit impaired loan portfolio. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div> </body> </html>  <html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 14 — ALLOWANCE FOR CREDIT LOSSES </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For further discussion of the allowance for credit losses and the related accounting policies, see Note 15 on pages 166-168 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The table below summarizes the changes in the allowance for loan losses. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Allowance for loan losses at January 1 </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>23,164</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">9,234</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Gross charge-offs </div></td> <td> </td> <td> </td> <td align="right"><b>10,937</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,524</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Gross (recoveries) </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(522</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(488</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Net charge-offs</b> </div></td> <td> </td> <td> </td> <td align="right"><b>10,415</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,036</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for loan losses </div></td> <td> </td> <td> </td> <td align="right"><b>16,540</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,043</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(217</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">5</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Allowance for loan losses at June 30</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>29,072</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">13,246</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Components: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Asset-specific </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,240</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">235</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Formula-based </div></td> <td> </td> <td> </td> <td align="right"><b>26,832</b></td> <td> </td> <td> </td> <td> </td> <td align="right">13,011</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total allowance for loan losses</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>29,072</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">13,246</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Other predominantly includes a reclassification in 2009 related to the issuance and retention of securities from the Chase Issuance Trust. See Note 15 on pages 139-147 of this Form 10-Q.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The table below summarizes the changes in the allowance for lending-related commitments. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Allowance for lending-related commitments at January 1 </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>659</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">850</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for lending-related commitments </div></td> <td> </td> <td> </td> <td align="right"><b>87</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(164</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Allowance for lending-related commitments at June 30</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>746</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">686</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Components: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Asset-specific </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>111</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">16</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Formula-based </div></td> <td> </td> <td> </td> <td align="right"><b>635</b></td> <td> </td> <td> </td> <td> </td> <td align="right">670</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total allowance for lending-related commitments</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>746</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">686</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> </div> </body> </html>  <html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 15 — LOAN SECURITIZATIONS </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a discussion of the accounting policies relating to loan securitizations, see Note 16 on pages 168-176 of JPMorgan Chase’s 2008 Annual Report. JPMorgan Chase securitizes and sells a variety of loans, including residential mortgage, credit card, automobile, student, and commercial (primarily related to real estate) loans. JPMorgan Chase—sponsored securitizations use special-purpose entities (“SPEs”) as part of the securitization process. These SPEs are structured to meet the definition of a qualifying special-purpose entity (“QSPE”) (for a further discussion, see Note 1 on page 122 of JPMorgan Chase’s 2008 Annual Report); accordingly, the assets and liabilities of securitization-related QSPEs are not reflected on the Firm’s Consolidated Balance Sheets (except for retained interests, as described below). The primary purposes of these securitization vehicles are to meet investor needs and to generate liquidity for the Firm through the sale of loans to the QSPEs, which are financed through the issuance of fixed- or floating-rate asset-backed securities. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the total unpaid principal amount of assets held in JPMorgan Chase—sponsored securitization entities, for which sale accounting was achieved and to which the Firm has continuing involvement, at June 30, 2009, and December 31, 2008. Continuing involvement includes servicing the loans, holding senior or subordinated interests, recourse or guarantee arrangements and derivative transactions. In certain instances, the Firm’s only continuing involvement is servicing the loans. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="23%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Principal amount outstanding</td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 1px solid #000000">JPMorgan Chase interest in securitized assets<sup style="font-size: 85%; vertical-align: text-top"><i>(e)(f)(g)(h)</i></sup></td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Assets held</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in QSPEs</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total interests</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total assets held by</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">with continuing</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Trading</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">AFS</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">held by</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Firm-sponsored QSPEs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">involvement</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets<sup style="font-size: 85%; vertical-align: text-top"><i>(i)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">securities<sup style="font-size: 85%; vertical-align: text-top"><i>(i)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Loans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets<sup style="font-size: 85%; vertical-align: text-top"><i>(i)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">JPMorgan Chase</td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Securitization-related:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Credit card </div></td> <td> </td> <td align="right">$</td> <td align="right">101.7</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">101.7</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">0.2</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">14.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">10.5</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8.2</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">33.2</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Residential mortgage: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Prime<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">211.3</td> <td> </td> <td> </td> <td> </td> <td align="right">194.8</td> <td> </td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1.7</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right">55.1</td> <td> </td> <td> </td> <td> </td> <td align="right">48.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right">45.3</td> <td> </td> <td> </td> <td> </td> <td align="right">45.3</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Commercial and other<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">159.6</td> <td> </td> <td> </td> <td> </td> <td align="right">32.7</td> <td> </td> <td> </td> <td> </td> <td align="right">1.6</td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2.2</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right">1.0</td> <td> </td> <td> </td> <td> </td> <td align="right">1.0</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Auto </div></td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td align="right">$</td> <td align="right">574.4</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">424.0</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2.9</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">15.7</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">10.5</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">37.4</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="23%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Principal amount outstanding</td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 1px solid #000000">JPMorgan Chase interest in securitized assets<sup style="font-size: 85%; vertical-align: text-top"><i>(e)(f)(g)(h)</i></sup></td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Assets held</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in QSPEs</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total interests</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total assets held by</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">with continuing</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Trading</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">AFS</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">held by</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Firm-sponsored QSPEs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">involvement</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets<sup style="font-size: 85%; vertical-align: text-top"><i>(i)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">securities<sup style="font-size: 85%; vertical-align: text-top"><i>(i)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Loans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets<sup style="font-size: 85%; vertical-align: text-top"><i>(i)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">JPMorgan Chase</td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Securitization-related:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Credit card </div></td> <td> </td> <td align="right">$</td> <td align="right">121.6</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">121.6</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">0.5</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5.6</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">33.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5.6</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">45.0</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Residential mortgage: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Prime<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">233.9</td> <td> </td> <td> </td> <td> </td> <td align="right">212.3</td> <td> </td> <td> </td> <td> </td> <td align="right">1.7</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2.4</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right">61.0</td> <td> </td> <td> </td> <td> </td> <td align="right">58.6</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right">48.3</td> <td> </td> <td> </td> <td> </td> <td align="right">48.3</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Commercial and other<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">174.1</td> <td> </td> <td> </td> <td> </td> <td align="right">45.7</td> <td> </td> <td> </td> <td> </td> <td align="right">2.0</td> <td> </td> <td> </td> <td> </td> <td align="right">0.5</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2.5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Auto </div></td> <td> </td> <td> </td> <td align="right">0.8</td> <td> </td> <td> </td> <td> </td> <td align="right">0.8</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td align="right">$</td> <td align="right">640.8</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">488.4</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">7.2</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">33.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5.7</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">50.5</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Includes Alt-A loans.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Consists of securities backed by commercial loans (predominantly real estate) and non-mortgage-related consumer receivables purchased from third parties. The Firm generally does not retain a residual interest in its sponsored commercial mortgage securitization transactions. Includes co-sponsored commercial securitizations and, therefore, includes non—JPMorgan Chase—originated commercial mortgage loans.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Includes securitized loans where the Firm owns less than a majority of the subordinated or residual interests in the securitizations.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Includes credit card loans, accrued interest and fees, and cash amounts on deposit.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Excludes retained servicing (for a discussion of MSRs, see Note 17 on pages 154-155 of this Form 10-Q).</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(f)</i></td> <td> </td> <td><i>Excludes senior and subordinated securities of $1.2 billion and $974 million at June 30, 2009, and December 31, 2008, respectively, that the Firm purchased in connection with IB’s secondary market-making activities.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(g)</i></td> <td> </td> <td><i>Includes investments acquired in the secondary market, but predominantly held-for-investment purposes, of $1.5 billion and $1.8 billion as of June 30, 2009, and December 31, 2008, respectively. This is comprised of $1.3 billion and $1.4 billion of investments classified as available-for-sale, including $1.2 billion and $172 million in credit cards, $19 million and $693 million of residential mortgages, and zero and $495 million of commercial and other; and $241 million and $452 million of investments classified as trading, including $156 million and $112 million of credit cards, $83 million and $303 million of residential mortgages, and $2 million and $37 million of commercial and other, all respectively at June 30, 2009, and December 31, 2008.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(h)</i></td> <td> </td> <td><i>Excludes interest rate and foreign exchange derivatives primarily used to manage the interest rate and foreign exchange risks of the securitization entities. See Note 5 on pages 116-124 of this Form 10-Q for further information on derivatives.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(i)</i></td> <td> </td> <td><i>Certain of the Firm’s retained interests are reflected at their fair values.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Securitization activity by major product type</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following discussion describes the nature of the Firm’s securitization activities by major product type. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Credit card securitizations</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u>Overview</u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"> The Card Services (“CS”) business securitizes originated and purchased credit card loans, primarily through the Chase Issuance Trust (the “Trust”). The Firm’s primary continuing involvement after securitization includes servicing the receivables, retaining an undivided seller’s interest in the receivables, retaining certain senior and subordinated securities and maintaining escrow accounts. CS maintains servicing responsibilities for all credit card securitizations that it sponsors. As servicer and transferor, the Firm receives contractual servicing fees based on the securitized loan balance plus excess servicing fees, which are recorded in credit card income as discussed in Note 6 on page 125 of this Form 10-Q. The Firm acquired the seller’s interest in the Washington Mutual Master Trust (the “WMM Trust”) and became its sponsor in connection with the Washington Mutual transaction. For further discussion of credit card securitizations, see Note 16 on pages 169–170 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u>Actions taken in the second quarter of 2009</u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">During the quarter ended June 30, 2009, the overall performance of the Firm’s credit card securitization trusts declined primarily due to the increase in credit losses incurred on the underlying credit card receivables. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Trust: The Chase Issuance Trust (the Firm’s primary issuance trust), which holds prime quality credit card receivables, maintained positive excess spread, a key metric for evaluating the performance of a credit card trust, through the first six months of 2009. However, given market uncertainty concerning projected credit costs in the credit card industry, and to mitigate any further deterioration in the performance of the Trust, the Firm took certain actions, as permitted by the Trust agreements, to enhance the performance of the Trust. On May 12, 2009, the Firm increased the required credit enhancement level for each tranche of outstanding notes issued by the Trust by increasing the minimum required amount of subordinated notes and the funding requirements for the Trust’s cash escrow accounts. On June 1, 2009, the Firm began designating as “discount receivables” a percentage of new credit card receivables for inclusion in the Trust, thereby requiring collections of such discounted receivables to be applied as finance charge collections in the Trust, which is expected to increase the excess spread for the Trust. The Firm expects to discontinue designating a percentage of new receivables as discount receivables on July 1, 2010. Also, during the second quarter of 2009, the Firm exchanged $3.5 billion of its undivided seller’s interest in the Trust for $3.5 billion of zero-coupon subordinated securities issued by the Trust and retained by the Firm. The issuance of the zero-coupon securities by the Trust is also expected to increase the excess spread for the Trust. These actions resulted in the addition of approximately $40 billion of risk-weighted assets for regulatory capital purposes, which decreased the Firm’s Tier 1 capital ratio by approximately 40 basis points, but did not have a material impact on the Firm’s Consolidated Balance Sheets or results of operations. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">WMM Trust: At the time of the acquisition of the Washington Mutual banking operations, the assets of the WMM Trust were comprised of Washington Mutual subprime credit card receivables. The quality of the assets in the WMM Trust was much lower than the quality of the credit card receivables that JPMorgan Chase has historically securitized in the public markets. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In order to more closely conform the WMM Trust to the overall quality typical of a JPMorgan Chase-sponsored credit card securitization master trust, during the fourth quarter of 2008 the Firm randomly removed $6.2 billion of credit card loans from the WMM Trust and replaced them with $5.8 billion of higher-quality receivables from the Firm’s portfolio. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">However, as a result of continued deterioration during 2009 in the credit quality of the remaining Washington Mutual-originated assets in the WMM Trust, the performance of the portfolio indicated that an early amortization event was likely to occur unless additional actions were taken. On May 15, 2009, JPMorgan Chase, as seller and servicer, and the Bank of New York Mellon, as trustee, amended the pooling and servicing agreement to permit non-random removals of credit card accounts. On May 19, 2009, the Firm removed all remaining credit card receivables originated by Washington Mutual. Following this removal, the WMM Trust collateral was entirely comprised of receivables originated by JPMorgan Chase. As a result of the actions taken by the Firm, the assets and liabilities of the WMM Trust were consolidated on the balance sheet of JPMorgan Chase. As a result, the Firm has recorded during the second quarter of 2009, additional assets with an initial fair value of $6.0 billion, additional liabilities with an initial fair value of $6.1 billion, and a pre-tax loss of approximately $64 million. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u>Retained interests in nonconsolidated credit card securitizations</u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Following is a description of the Firm’s retained interests in credit card securitizations that were not consolidated at the dates presented. Accordingly, the Firms’s retained interests in the WMM Trust are included in the amounts reported at December 31, 2008, but are no longer included at June 30, 2009, due to the second quarter actions noted above. For further information regarding the WMM Trust assets and liabilities, see Note 16 on pages 148-153 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The agreements with the credit card securitization trusts require the Firm to maintain a minimum undivided interest in the trusts (which generally ranges from 4% to 12%). At June 30, 2009 and December 31, 2008, the Firm had $10.5 billion and $33.3 billion, respectively, related to its undivided interests in the trusts. The Firm maintained an average undivided interest in principal receivables in the trusts of approximately 18% for the six months ended June 30, 2009, and 22% for the year ended December 31, 2008. These undivided interests in the trusts represent the Firm’s interests in the receivables transferred to the trust that have not been securitized; these undivided interests are not represented by security certificates, are carried at historical cost and classified within loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">CS retained senior and subordinated securities in its credit card securitization trusts. The senior securities totaled $7.2 billion and $3.5 billion at June 30, 2009 and December 31, 2008, respectively, and the subordinated securities totaled $5.8 billion and $2.3 billion at June 30, 2009 and December 31, 2008, respectively. Of the securities retained, $13.0 billion and $5.4 billion were classified as AFS securities at June 30, 2009 and December 31, 2008, respectively. The senior AFS securities were used by the Firm as collateral for a secured financing transaction. The retained subordinated interests that were acquired in the Washington Mutual transaction and classified as trading assets had a carrying value of $389 million at December 31, 2008, and were subsequently repaid or valued at zero before being eliminated upon the consolidation of the WMM Trust. As discussed above, the Firm consolidated the assets and liabilities of the WMM Trust in the second quarter of 2009. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Credit card securitizations include escrow accounts up to predetermined limits to cover deficiencies in cash flows owed to investors. Amounts in such escrow accounts were $964 million and $74 million as of June 30, 2009 and December 31, 2008, respectively. The increase in the balance of these escrow accounts primarily relates to the Trust actions described above that the Firm took on May 12, 2009. Additionally, the Firm has retained subordinated interests in accrued interest and fees on the securitized receivables totaling $3.2 billion and $3.0 billion as of June 30, 2009 and December 31, 2008, respectively. JPMorgan Chase has also recorded $241 million representing receivables that have been transferred to the Trust and designated as “discount receivables.” All of these residual interests are reported in other assets. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Mortgage securitizations</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm securitizes originated and purchased residential mortgages and originated commercial mortgages. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">RFS securitizes residential mortgage loans that it originates and purchases, and it typically retains servicing for all of its originated and purchased residential mortgage loans. Additionally, RFS may retain servicing for certain mortgage loans purchased by IB. As servicer, the Firm receives servicing fees based on the securitized loan balance plus ancillary fees. The Firm also retains the right to service the residential mortgage loans it sells to Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corporation (“FHLMC”) in accordance with their servicing guidelines and standards. For a discussion of MSRs, see Note 17 on pages 154–155 of this Form 10-Q. In a limited number of securitizations, RFS may retain an interest in addition to servicing rights. The amount of interest retained related to these securitizations totaled $397 million and $939 million at June 30, 2009, and December 31, 2008, respectively. These retained interests are accounted for as trading or AFS securities; the classification depends on whether the retained interest is represented by a security certificate or has an embedded derivative, and when it was retained (i.e., prior to the adoption of SFAS 155). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">IB securitizes residential mortgage loans (including those that it purchased and certain mortgage loans originated by RFS) and commercial mortgage loans that it originated. These loans are often serviced by RFS. Upon securitization, IB may engage in underwriting and trading activities of the securities issued by the securitization trust. IB may retain unsold senior and/or subordinated interests (including residual interests) in both residential and commercial mortgage securitizations at the time of securitization. These retained interests are accounted for at fair value and classified as trading assets. The amount of residual interests retained was $46 million and $155 million at June 30, 2009, and December 31, 2008, respectively. Additionally, IB retained $2.4 billion and $2.8 billion of senior and subordinated interests as of June 30, 2009, and December 31, 2008, respectively; these securities were retained in connection with the Firm’s underwriting activities. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the amounts reported in the securitization activity tables below, the Firm sold residential mortgage loans totaling $40.2 billion and $39.4 billion during the three months ended June 30, 2009 and 2008, respectively, and $78.4 billion and $69.1 billion during the six months ended June 30, 2009 and 2008, respectively. The majority of these loan sales were for securitization by the GNMA, FNMA and FHLMC. These sales resulted in pretax gains (losses) of $34 million and $36 million during the three months ended June 30, 2009 and 2008, respectively, and $51 million and $26 million during the six months ended June 30, 2009 and 2008, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm’s mortgage loan sales are primarily nonrecourse, thereby effectively transferring the risk of future credit losses to the purchaser of the loans. However, for a limited number of loan sales, the Firm is obligated to share up to 100% of the credit risk associated with the sold loans with the purchaser. See Note 24 on pages 162–163 of this Form 10-Q for additional information on loans sold with recourse. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Other securitizations</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm also securitizes automobile and student loans originated by RFS and purchased consumer loans (including automobile and student loans). The Firm retains servicing responsibilities for all originated and certain purchased student and automobile loans. It may also hold a retained interest in these securitizations; such residual interests are classified as other assets. At June 30, 2009, and December 31, 2008, the Firm held $20 million and $37 million, respectively, of retained interests in securitized automobile loan securitizations, and $52 million and $52 million, respectively, of residual interests in securitized student loans. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Securitization activity</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following tables provide information related to the Firm’s securitization activities for the three and six months ended June 30, 2009, and 2008. For the periods presented, there were no cash flows from the Firm to the QSPEs related to recourse or guarantee arrangements. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="23%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="27" style="border-bottom: 1px solid #000000"><b>Three months ended June 30, 2009</b></td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Residential mortgage</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except for ratios and where</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Option</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Student</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">otherwise noted)</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">Credit card</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Prime<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Subprime</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">ARMs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">and other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">loans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Auto</td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Principal securitized </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>12,495</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Pretax gains </div></td> <td> </td> <td> </td> <td align="right"><b>17</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px"><b>All cash flows during the period:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Proceeds from new securitizations </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>12,495</b></td> <td nowrap="nowrap"><b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)(g)</i></sup></b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Servicing fees collected </div></td> <td> </td> <td> </td> <td align="right"><b>314</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>111</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>41</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>118</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other cash flows received<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>147</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from collections reinvested in revolving securitizations </div></td> <td> </td> <td> </td> <td align="right"><b>37,719</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Purchases of previously <br />transferred financial assets <br /> (or the underlying collateral)<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>—</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i><b>(h)</b></i></sup></td> <td> </td> <td> </td> <td align="right"><b>35</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Cash flows received on the interests that continue to be held by the Firm<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>77</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>210</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>34</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Key assumptions used to measure retained interests originated during the year (rates per annum):</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Prepayment rate<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>16.7</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td colspan="2" align="right"><b>PPR</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average life (in years) </div></td> <td> </td> <td> </td> <td align="right"><b>0.5</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Expected credit losses </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>8.7</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Discount rate </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>18.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td width="23%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="27" style="border-bottom: 1px solid #000000">Three months ended June 30, 2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Residential mortgage</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except for ratios and where</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Option</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Student</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">otherwise noted)</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">Credit card</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Prime<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Subprime</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">ARMs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">and other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">loans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Auto</td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Principal securitized </div></td> <td> </td> <td align="right">$</td> <td align="right">10,760</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">662</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Pretax gains </div></td> <td> </td> <td> </td> <td align="right">97</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>All cash flows during the period:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from new securitizations </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">10,759</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">632</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Servicing fees collected </div></td> <td> </td> <td> </td> <td align="right">281</td> <td> </td> <td> </td> <td> </td> <td align="right">37</td> <td> </td> <td> </td> <td> </td> <td align="right">30</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right">5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other cash flows received<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">1,089</td> <td> </td> <td> </td> <td> </td> <td align="right">3</td> <td> </td> <td> </td> <td> </td> <td align="right">1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from collections reinvested in revolving securitizations </div></td> <td> </td> <td> </td> <td align="right">39,455</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Purchases of previously transferred financial assets (or the underlying collateral)<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">100</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Cash flows received on the interests that continue to be held by the Firm<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">14</td> <td> </td> <td> </td> <td> </td> <td align="right">113</td> <td> </td> <td> </td> <td> </td> <td align="right">5</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">30</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Key assumptions used to measure retained interests originated during the year (rates per annum):</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Prepayment rate<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right" nowrap="nowrap">19.7</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td colspan="2" align="right">PPR</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average life (in years) </div></td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Expected credit losses </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.5</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Discount rate </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">13.0</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="23%"> </td> <td width="1%"> </td> <td width="1%"> </td> <td width="1%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="27" style="border-bottom: 1px solid #000000"><b>Six months ended June 30, 2009</b></td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Residential mortgage</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except for ratios and where</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Option</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Student</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">otherwise noted)</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">Credit card</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Prime<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Subprime</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">ARMs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">and other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">loans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Auto</td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Principal securitized </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>16,423</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Pretax gains </div></td> <td> </td> <td> </td> <td align="right"><b>16</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px"><b>All cash flows during the period:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Proceeds from new securitizations </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>16,423</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)(g)</i></sup></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Servicing fees collected </div></td> <td> </td> <td> </td> <td align="right"><b>634</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>232</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>85</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>246</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other cash flows received<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>1,109</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from collections reinvested in revolving securitizations </div></td> <td> </td> <td> </td> <td align="right"><b>77,217</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Purchases of previously transferred financial assets (or the underlying collateral)<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>—</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i><b>(h)</b></i></sup></td> <td> </td> <td> </td> <td align="right"><b>76</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>137</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Cash flows received on the interests that continue to be held by the Firm<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>145</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>364</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>64</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>158</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Key assumptions used to measure retained interests originated during the year (rates per annum):</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Prepayment rate<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>16.7</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td colspan="2" align="right"><b>PPR</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average life (in years) </div></td> <td> </td> <td> </td> <td align="right"><b>0.5</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Expected credit losses </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td nowrap="nowrap" align="right"><b>8.7</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Discount rate </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>18.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  <tr valign="bottom"> <td width="23%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="27" style="border-bottom: 1px solid #000000">Six months ended June 30, 2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Residential mortgage</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except for ratios and where</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Option</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Student</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">otherwise noted)</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">Credit card</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Prime<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Subprime</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">ARMs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">and other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">loans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Auto</td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Principal securitized </div></td> <td> </td> <td align="right">$</td> <td align="right">15,305</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">662</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Pretax gains </div></td> <td> </td> <td> </td> <td align="right">136</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px"><b>All cash flows during the period:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from new securitizations </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">15,304</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">632</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Servicing fees collected </div></td> <td> </td> <td> </td> <td align="right">551</td> <td> </td> <td> </td> <td> </td> <td align="right">60</td> <td> </td> <td> </td> <td> </td> <td align="right">56</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right">10</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other cash flows received<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">2,503</td> <td> </td> <td> </td> <td> </td> <td align="right">3</td> <td> </td> <td> </td> <td> </td> <td align="right">1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from collections reinvested in revolving securitizations </div></td> <td> </td> <td> </td> <td align="right">76,922</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Purchases of previously transferred financial assets (or the underlying collateral)<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">149</td> <td> </td> <td> </td> <td> </td> <td align="right">13</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">149</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Cash flows received on the interests that continue to be held by the Firm<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">17</td> <td> </td> <td> </td> <td> </td> <td align="right">158</td> <td> </td> <td> </td> <td> </td> <td align="right">14</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">89</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">24</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Key assumptions used to measure retained interests originated during the year (rates per annum):</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Prepayment rate<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right" nowrap="nowrap">19.4</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td colspan="2" align="right">PPR</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Weighted-average life (in years) </div></td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Expected credit losses </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.4</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Discount rate </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right" nowrap="nowrap">12.7</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Includes excess servicing fees and other ancillary fees received.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Includes cash paid by the Firm to reacquire assets from the QSPEs — for example, servicer clean-up calls.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Includes cash flows received on retained interests including, for example, principal repayments and interest payments.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>PPR: principal payment rate.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Includes $3.5 billion and $7.4 billion of securities retained by the Firm for the three and six months ended June 30, 2009, respectively. $1.2 billion of securities were retained by the Firm for both the three and six months ended June 30, 2008.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(f)</i></td> <td> </td> <td><i>Includes Alt-A loans.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(g)</i></td> <td> </td> <td><i>As required under the terms of the transaction documents, $513 million of proceeds from new securitizations were deposited to cash escrow accounts during the three and six months ended June 30, 2009.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(h)</i></td> <td> </td> <td><i>Excludes activities related to the Washington Mutual Master Trust. For a description of the activities, see page 141 of this Note.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>JPMorgan Chase’s interest in securitized assets held at fair value</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the Firm’s securitization interests, which are carried at fair value on the Firm’s Consolidated Balance Sheets at June 30, 2009, and December 31, 2008, respectively. The risk ratings are periodically reassessed as information becomes available. As of June 30, 2009, and December 31, 2008, 60% and 55%, respectively, of the Firm’s retained securitization interests, which are carried at fair value, were risk-rated “A” or better. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="23%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="23" style="border-bottom: 1px solid #000000">Ratings profile of interests held<sup style="font-size: 85%; vertical-align: text-top"><i>(c)(d)(e)</i></sup></td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">December 31, 2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Investment-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Noninvestment-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Investment-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Noninvestment-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">grade</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">grade</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">interests held</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">grade</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">grade</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">interests held</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Asset types:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>14.4</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4.6</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>19.0</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5.8</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3.8</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">9.6</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Residential mortgage: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Prime<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>1.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2.0</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">2.4</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial and other </div></td> <td> </td> <td> </td> <td align="right"><b>2.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2.2</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">2.5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Auto </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>17.5</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5.7</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>23.2</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">10.4</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4.7</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">15.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Includes retained subordinated interests carried at fair value, including CS’s accrued interests and fees, escrow accounts, and other residual interests. Excludes undivided seller interest in the trusts of $10.5 billion and $33.3 billion and unencumbered cash amounts on deposit of $3.7 billion and $2.1 billion at June 30, 2009, and December 31, 2008, respectively, which are carried at historical cost.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Includes Alt-A loans.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>The ratings scale is presented on an S&P-equivalent basis.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Includes $1.5 billion and $1.8 billion of investments acquired in the secondary market, but predominantly held for investment purposes, as of June 30, 2009, and December 31, 2008, respectively. Of these amounts, $1.4 billion and $1.7 billion are classified as investment-grade as of June 30, 2009, and December 31, 2008, respectively.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Excludes senior and subordinated securities of $1.2 billion and $974 million at June 30, 2009, and December 31, 2008, respectively, that the Firm purchased in connection with IB’s secondary market-making activities.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The table below outlines the key economic assumptions used at June 30, 2009, and December 31, 2008, to determine the fair value of certain of the Firm’s retained interests, other than MSRs, that are valued using modeling techniques. The table below also outlines the sensitivities of those fair values to immediate 10% and 20% adverse changes in assumptions used to determine fair value. For a discussion of residential MSRs, see Note 17 on pages 154–155 of this Form 10-Q. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="23%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except rates and where</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Residential mortgage</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">otherwise noted)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Credit card</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Prime<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Subprime</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Option ARMs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">and other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Student loans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Auto loans</td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">JPMorgan Chase interests in securitized assets </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>3,571</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,638</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>50</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>132</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,213</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>55</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>20</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Weighted-average life (in years) </div></td> <td> </td> <td> </td> <td align="right"><b>0.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Weighted-average prepayment rate<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>16.4</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>8.7</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>27.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>10.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>0.8</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>5.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1.4</b></td> <td nowrap="nowrap"><b>%</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>PPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>CPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>CPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>CPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>CPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>CPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>ABS</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:30px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(9</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(29</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>(1</b></td> <td>)</td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(3</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(19</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(59</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average loss assumption </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>9.3</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>2.9</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>2.3</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>3.3</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1.6</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td nowrap="nowrap" align="right"><b>—</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i><b>%(e)</b></i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1.1</b></td> <td nowrap="nowrap"><b>%</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(83</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(17</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(5</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(37</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(84</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(33</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(9</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(107</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average discount rate </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>12.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>13.2</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>23.8</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>12.9</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>10.8</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>9.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>3.4</b></td> <td nowrap="nowrap"><b>%</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(7</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(49</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(41</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(14</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(93</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(5</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(5</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(78</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div>   </div>   <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="23%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except rates and</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Residential mortgage</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">where otherwise noted</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Credit card</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Prime<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Subprime</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Option ARMs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">and other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Student loans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Auto loans</td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">JPMorgan Chase interests in securitized assets </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">3,463</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">1,420</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">68</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">436</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,966</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">55</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">40</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Weighted-average life (in years) </div></td> <td> </td> <td> </td> <td align="right">0.5</td> <td> </td> <td> </td> <td> </td> <td align="right">5.3</td> <td> </td> <td> </td> <td> </td> <td align="right">1.5</td> <td> </td> <td> </td> <td> </td> <td align="right">7.3</td> <td> </td> <td> </td> <td> </td> <td align="right">3.5</td> <td> </td> <td> </td> <td> </td> <td align="right">8.2</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Weighted-average prepayment rate<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">16.6</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">17.7</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">25.1</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">7.6</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">0.7</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">5.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1.3</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">PPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">ABS</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(42</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(31</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(5</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(4</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(85</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(57</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(6</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(11</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average loss assumption </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">7.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.4</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3.4</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">0.3</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">0.3</td> <td nowrap="nowrap">%<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">0.5</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(235</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(25</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(7</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(12</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(426</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(49</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(13</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(24</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average discount rate </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">18.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">14.5</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">21.5</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">17.3</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">12.4</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">9.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.1</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(10</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(52</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(3</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(16</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(26</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(20</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(102</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(5</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(28</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(49</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(4</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>As of June 30, 2009, certain investments acquired in the secondary market but predominantly held for investment purposes are included.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>PPR: principal payment rate; ABS: absolute prepayment speed; CPR: constant prepayment rate.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Excludes the Firm’s retained senior and subordinated AFS securities in its credit card securitization trusts which are discussed in Note 11 on pages 129–134 of this Form 10-Q.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Includes Alt-A loans.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Expected losses for student loans and certain wholesale securitizations are minimal and are incorporated into other assumptions.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The sensitivity analysis in the preceding table is hypothetical. Changes in fair value based on a 10% or 20% variation in assumptions generally cannot be extrapolated easily, because the relationship of the change in the assumptions to the change in fair value may not be linear. Also, in the table, the effect that a change in a particular assumption may have on the fair value is calculated without changing any other assumption. In reality, changes in one factor may result in changes in another, which might counteract or magnify the sensitivities. The above sensitivities also do not reflect risk management practices the Firm may undertake to mitigate such risks. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Loan delinquencies and net charge-offs</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The table below includes information about delinquencies, net charge-offs/(recoveries) and components of reported and securitized financial assets at June 30, 2009, and December 31, 2008. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="20%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">90 days past due</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15">Net loan</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Total loans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">and still accruing</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nonaccrual assets<sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">charge-offs (recoveries)</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30,</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Dec. 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30,</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Dec. 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30,</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Dec. 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 0px solid #000000">Three months ended June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 0px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="41" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Home equity </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>108,229</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">114,335</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,487</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,394</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,265</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">511</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,363</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">958</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Prime mortgage<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>68,878</b></td> <td> </td> <td> </td> <td> </td> <td align="right">72,266</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,501</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,895</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>483</b></td> <td> </td> <td> </td> <td> </td> <td align="right">104</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>795</b></td> <td> </td> <td> </td> <td> </td> <td align="right">154</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Subprime mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>13,825</b></td> <td> </td> <td> </td> <td> </td> <td align="right">15,330</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,773</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,690</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>410</b></td> <td> </td> <td> </td> <td> </td> <td align="right">192</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>774</b></td> <td> </td> <td> </td> <td> </td> <td align="right">341</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right"><b>9,034</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,018</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>182</b></td> <td> </td> <td> </td> <td> </td> <td align="right">10</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Auto </div></td> <td> </td> <td> </td> <td align="right"><b>42,887</b></td> <td> </td> <td> </td> <td> </td> <td align="right">42,603</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>154</b></td> <td> </td> <td> </td> <td> </td> <td align="right">148</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>146</b></td> <td> </td> <td> </td> <td> </td> <td align="right">119</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>320</b></td> <td> </td> <td> </td> <td> </td> <td align="right">237</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card </div></td> <td> </td> <td> </td> <td align="right"><b>85,736</b></td> <td> </td> <td> </td> <td> </td> <td align="right">104,746</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,503</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,649</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,689</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,064</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,718</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,053</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">All other </div></td> <td> </td> <td> </td> <td align="right"><b>33,041</b></td> <td> </td> <td> </td> <td> </td> <td align="right">33,715</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>473</b></td> <td> </td> <td> </td> <td> </td> <td align="right">463</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>722</b></td> <td> </td> <td> </td> <td> </td> <td align="right">430</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>332</b></td> <td> </td> <td> </td> <td> </td> <td align="right">99</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>556</b></td> <td> </td> <td> </td> <td> </td> <td align="right">160</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans held-for-sale<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>1,940</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,028</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="41" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total consumer loans — excluding purchased credit-impaired loans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>363,570</b></td> <td> </td> <td> </td> <td> </td> <td align="right">394,041</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,976</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,112</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,823</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,571</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,340</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,089</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,545</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,903</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Consumer loans — purchased credit-impaired loans<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>85,406</b></td> <td> </td> <td> </td> <td> </td> <td align="right">88,813</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="41" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total consumer loans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>448,976</b></td> <td> </td> <td> </td> <td> </td> <td align="right">482,854</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,976</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,112</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,823</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,571</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,340</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,089</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,545</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,903</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total wholesale loans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>231,625</b></td> <td> </td> <td> </td> <td> </td> <td align="right">262,044</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>234</b></td> <td> </td> <td> </td> <td> </td> <td align="right">163</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>5,962</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(h)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2,382</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(h)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>679</b></td> <td> </td> <td> </td> <td> </td> <td align="right">41</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>870</b></td> <td> </td> <td> </td> <td> </td> <td align="right">133</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="41" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total loans reported</b> </div></td> <td> </td> <td> </td> <td align="right"><b>680,601</b></td> <td> </td> <td> </td> <td> </td> <td align="right">744,898</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,210</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,275</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,785</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,953</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,019</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,130</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,415</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,036</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="41" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Securitized loans:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Residential mortgage: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Prime mortgage<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>194,792</b></td> <td> </td> <td> </td> <td> </td> <td align="right">212,274</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>30,899</b></td> <td> </td> <td> </td> <td> </td> <td align="right">21,130</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,395</b></td> <td> </td> <td> </td> <td> </td> <td align="right">674</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,591</b></td> <td> </td> <td> </td> <td> </td> <td align="right">683</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Subprime mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>48,111</b></td> <td> </td> <td> </td> <td> </td> <td align="right">58,607</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15,171</b></td> <td> </td> <td> </td> <td> </td> <td align="right">13,301</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,044</b></td> <td> </td> <td> </td> <td> </td> <td align="right">637</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,278</b></td> <td> </td> <td> </td> <td> </td> <td align="right">892</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right"><b>45,341</b></td> <td> </td> <td> </td> <td> </td> <td align="right">48,328</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,692</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,440</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>474</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>854</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Auto </div></td> <td> </td> <td> </td> <td align="right"><b>434</b></td> <td> </td> <td> </td> <td> </td> <td align="right">791</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right">5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card </div></td> <td> </td> <td> </td> <td align="right"><b>85,790</b></td> <td> </td> <td> </td> <td> </td> <td align="right">85,571</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,066</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,802</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,664</b></td> <td> </td> <td> </td> <td> </td> <td align="right">830</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,128</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,511</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Student </div></td> <td> </td> <td> </td> <td align="right"><b>1,042</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,074</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>61</b></td> <td> </td> <td> </td> <td> </td> <td align="right">66</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial and other </div></td> <td> </td> <td> </td> <td align="right"><b>32,712</b></td> <td> </td> <td> </td> <td> </td> <td align="right">45,677</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">28</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>912</b></td> <td> </td> <td> </td> <td> </td> <td align="right">166</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10</b></td> <td> </td> <td> </td> <td> </td> <td align="right">5</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="41" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total loans securitized</b><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>408,222</b></td> <td> </td> <td> </td> <td> </td> <td align="right">452,322</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,127</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,896</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>56,675</b></td> <td> </td> <td> </td> <td> </td> <td align="right">41,039</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,583</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,147</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12,864</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,097</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="41" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total loans reported and securitized</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right"><b>1,088,823</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">1,197,220</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6,337</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,171</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>71,460</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">49,992</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>12,602</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,277</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>23,279</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">7,133</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="41" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Includes Alt-A loans.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Includes loans for prime mortgage and other (largely student loans) of $589 million and $1.4 billion at June 30, 2009, respectively, and $206 million and $1.8 billion at December 31, 2008, respectively.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Purchased credit-impaired loans represent loans acquired in the Washington Mutual transaction for which a deterioration in credit quality occurred between the origination date and JPMorgan Chase’s acquisition date. Under SOP 03-3, these loans were initially recorded at fair value and accrete interest income over the estimated life of the loan when cash flows are reasonably estimable, even if the underlying loans are contractually past due. For additional information, see Note 13 on pages 135–138 of this Form 10-Q.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Total assets held in securitization-related SPEs were $574.4 billion and $640.8 billion at June 30, 2009, and December 31, 2008, respectively. The $408.2 billion and $452.3 billion of loans securitized at June 30, 2009, and December 31, 2008, respectively, excludes: $150.4 billion and $152.4 billion of securitized loans, in which the Firm has no continuing involvement; $10.5 billion and $33.3 billion of seller’s interests in credit card master trusts; and $5.3 billion and $2.8 billion, of cash amounts on deposit and escrow accounts, all respectively.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Represents both loans on the Consolidated Balance Sheets and loans that have been securitized.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(f)</i></td> <td> </td> <td><i>Includes securitized loans that were previously recorded at fair value and classified as trading assets.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(g)</i></td> <td> </td> <td><i>Excludes nonperforming loans and assets related to: (i) loans eligible for repurchase, as well as loans repurchased from GNMA pools that are insured by U.S. government agencies, of $4.7 billion and $3.3 billion at June 30, 2009, and December 31, 2008, respectively; and (ii) student loans that are 90 days past due and still accruing, which are insured by U.S. government agencies under the Federal Family Education Loan Program, of $473 million and $437 million at June 30, 2009, and December 31, 2008, respectively. These amounts for GNMA and student loans are excluded, as reimbursement is proceeding normally.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(h)</i></td> <td> </td> <td><i>Includes nonperforming loans held-for-sale and loans at fair value of $133 million and $32 million at June 30, 2009, and December 31, 2008, respectively</i>.</td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div> </body> </html>

<html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 16 — VARIABLE INTEREST ENTITIES </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Refer to Note 1 on page 122 and Note 17 on pages 177–186 of JPMorgan Chase’s 2008 Annual Report for a further description of JPMorgan Chase’s policies regarding consolidation of variable interest entities (“VIEs”) and the Firm’s principal involvement with VIEs. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Multi-seller conduits</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the Firm’s involvement with Firm-administered multi-seller conduits. On May 31, 2009, the Firm consolidated one of the Firm-administered multi-seller conduits due to the redemption of the expected loss note (“ELN”). There were no consolidated Firm-administered multi-seller conduits as of December 31, 2008. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="64%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000"><b>June 30, 2009</b></td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Consolidated</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Nonconsolidated</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total assets held by conduits</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>23.0</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">42.9</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total commercial paper issued by conduits</b> </div></td> <td> </td> <td> </td> <td align="right"><b>6.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>23.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right">43.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liquidity and credit enhancements</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Deal-specific liquidity facilities (primarily asset purchase agreements) </div></td> <td> </td> <td> </td> <td align="right"><b>9.8</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>31.6</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">55.4</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Program-wide liquidity facilities </div></td> <td> </td> <td> </td> <td align="right"><b>4.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right">17.0</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Program-wide credit enhancements </div></td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3.0</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Maximum exposure to loss</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>9.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>32.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right">56.9</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>The Firm’s maximum exposure to loss, calculated separately for each multi-seller conduit, includes the Firm’s exposure to both deal-specific liquidity facilities and program-wide credit enhancements. For purposes of calculating the Firm’s maximum exposure to loss, the Firm-provided, program-wide credit enhancement is limited to deal-specific liquidity facilities provided by third parties.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>The accounting for these agreements is further discussed in Note 33 on pages 206–210 of JPMorgan Chase’s 2008 Annual Report. The carrying value related to asset purchase agreements was $112 million and $147 million at June 30, 2009, and December 31, 2008, respectively, of which $110 million and $138 million, respectively, represented the remaining fair value of the guarantee under FIN 45. The Firm has recorded this guarantee in other liabilities, with an offsetting entry recognized in other assets for the net present value of the future premium receivable under the contracts.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Assets funded by nonconsolidated multi-seller conduits</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents information on the commitments and assets held by JPMorgan Chase’s nonconsolidated Firm-administered multi-seller conduits as of June 30, 2009, and December 31, 2008. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="19%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td nowrap="nowrap" width="3%">    </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">December 31, 2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Unfunded</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Liquidity</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Liquidity</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Unfunded</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Liquidity</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Liquidity</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">commitments to</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">paper–funded</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">provided by</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">provided</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">commitments to</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">paper–funded</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">provided by</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">provided</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Firm’s clients</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">third parties</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">by Firm</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Firm’s clients</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">third parties</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">by Firm</td> </tr>   <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Asset types:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1.8</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4.5</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6.3</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3.0</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8.9</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">0.1</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">11.8</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Vehicle loans and leases </div></td> <td> </td> <td> </td> <td align="right"><b>1.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1.4</td> <td> </td> <td> </td> <td> </td> <td align="right">10.0</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11.4</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trade receivables </div></td> <td> </td> <td> </td> <td align="right"><b>3.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3.8</td> <td> </td> <td> </td> <td> </td> <td align="right">5.5</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9.3</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">4.6</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">5.3</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial </div></td> <td> </td> <td> </td> <td align="right"><b>0.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1.5</td> <td> </td> <td> </td> <td> </td> <td align="right">4.0</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">5.1</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Residential mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Capital commitments </div></td> <td> </td> <td> </td> <td align="right"><b>0.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1.3</td> <td> </td> <td> </td> <td> </td> <td align="right">3.9</td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">4.6</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Rental car finance </div></td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.2</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Equipment loans and leases </div></td> <td> </td> <td> </td> <td align="right"><b>0.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">1.6</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2.3</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Floorplan — vehicle </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">1.8</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2.5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Floorplan — other </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Consumer </div></td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">0.8</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>9.5</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>23.0</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>31.6</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">14.0</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">42.9</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1.5</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">55.4</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="23%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 1px solid #000000">Ratings profile of VIE assets of the nonconsolidated multi-seller conduits<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Noninvestment-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Wt. avg.</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">Investment-grade</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 0px solid #000000">grade</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">paper funded</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">expected</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">AAA to AAA-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">AA+ to AA-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">A+ to A-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">BBB to BBB-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">BB+ and below</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">life (years)<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Asset types:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1.5</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.6</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Vehicle loans and leases </div></td> <td> </td> <td> </td> <td align="right"><b>2.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.3</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trade receivables </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.7</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right"><b>2.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.3</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial </div></td> <td> </td> <td> </td> <td align="right"><b>0.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.5</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Residential mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.5</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Capital commitments </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.3</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Rental car finance </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.0</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Equipment loans and leases </div></td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.5</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Floorplan — vehicle </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Floorplan — other </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Consumer </div></td> <td> </td> <td> </td> <td align="right"><b>0.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.0</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.9</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>9.1</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>9.6</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3.4</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.5</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>23.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.0</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr> <td style="font-size:10pt"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 1px solid #000000">Ratings profile of VIE assets of the nonconsolidated multi-seller conduits<sup style="font-size: 85%; vertical-align: text-top"> <i>(a)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Noninvestment-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Wt. avg.</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">Investment-grade</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 1px solid #000000">grade</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">paper funded</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Expected</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">AAA to AAA-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">AA+ to AA-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">A+ to A-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">BBB to BBB-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">BB+ and below</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">life (years)<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Asset types:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card </div></td> <td> </td> <td align="right">$</td> <td align="right">4.8</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3.9</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">0.1</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">0.1</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8.9</td> <td> </td> <td> </td> <td> </td> <td align="right">1.5</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Vehicle loans and leases </div></td> <td> </td> <td> </td> <td align="right">4.1</td> <td> </td> <td> </td> <td> </td> <td align="right">4.1</td> <td> </td> <td> </td> <td> </td> <td align="right">1.8</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">10.0</td> <td> </td> <td> </td> <td> </td> <td align="right">2.5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trade receivables </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">4.0</td> <td> </td> <td> </td> <td> </td> <td align="right">1.5</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">5.5</td> <td> </td> <td> </td> <td> </td> <td align="right">1.0</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right">3.6</td> <td> </td> <td> </td> <td> </td> <td align="right">0.9</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">4.6</td> <td> </td> <td> </td> <td> </td> <td align="right">1.8</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial </div></td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> <td> </td> <td> </td> <td align="right">2.0</td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">4.0</td> <td> </td> <td> </td> <td> </td> <td align="right">2.7</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Residential mortgage </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">4.0</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Capital commitments </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3.6</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3.9</td> <td> </td> <td> </td> <td> </td> <td align="right">2.4</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Rental car finance </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">1.5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Equipment loans and leases </div></td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">1.2</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1.6</td> <td> </td> <td> </td> <td> </td> <td align="right">2.2</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Floorplan — vehicle </div></td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">1.0</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1.8</td> <td> </td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Floorplan — other </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Consumer </div></td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">0.2</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">1.6</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">0.5</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.8</td> <td> </td> <td> </td> <td> </td> <td align="right">3.7</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">14.7</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">22.0</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5.6</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">0.6</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">42.9</td> <td> </td> <td> </td> <td> </td> <td align="right">2.0</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>The ratings scale is presented on an S&P-equivalent basis.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Weighted-average expected life for each asset type is based on the remaining term of each conduit transaction’s committed liquidity, plus either the expected weighted-average life of the assets should the committed liquidity expire without renewal, or the expected time to sell the underlying assets in the securitization market.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The assets held by the multi-seller conduits are structured so that if they were rated, the Firm believes the majority of them would receive an “A” rating or better by external rating agencies. However, it is unusual for the assets held by the conduits to be explicitly rated by an external rating agency. Instead, the Firm’s Credit Risk group assigns each asset purchase liquidity facility an internal risk rating based on its assessment of the probability of default for the transaction. The ratings provided in the above table reflect the S&P-equivalent ratings of the internal rating grades assigned by the Firm. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The risk ratings are periodically reassessed as information becomes available. As of June 30, 2009, and December 31, 2008, 93% and 90%, respectively, of the assets in the nonconsolidated conduits were risk-rated “A” or better. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Commercial paper issued by nonconsolidated multi-seller conduits</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The weighted-average life of commercial paper issued by nonconsolidated multi-seller conduits at June 30, 2009, and December 31, 2008, was 20 days and 27 days, respectively, and the average yield on the commercial paper at June 30, 2009, and December 31, 2008, was 0.3% and 0.6%, respectively. In the normal course of business, JPMorgan Chase trades and invests in commercial paper, including paper issued by the Firm-administered conduits. The percentage of commercial paper purchased by the Firm from all Firm-administered conduits during the six months ended June 30, 2009, ranged from less than 1% to approximately 4.7% on any given day. The largest daily amount of commercial paper outstanding held by the Firm in any one multi-seller conduit during the quarter ended June 30, 2009, was approximately $852 million, or 12%, of the conduit’s commercial paper outstanding. The Firm is not obligated under any agreement (contractual or noncontractual) to purchase the commercial paper issued by nonconsolidated JPMorgan Chase–administered conduits. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Consolidation analysis</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Each nonconsolidated multi-seller conduit administered by the Firm at June 30, 2009, and December 31, 2008, had issued ELNs, the holders of which are committed to absorbing the majority of the expected loss of each respective conduit. The total amounts of ELNs outstanding for nonconsolidated conduits at June 30, 2009, and December 31, 2008, were $96 million and $136 million, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm could fund purchases of assets from nonconsolidated, Firm-administered multi-seller conduits should it become necessary. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Investor intermediation</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Municipal bond vehicles</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Exposure to nonconsolidated municipal bond VIEs at June 30, 2009, and December 31, 2008, including the ratings profile of the VIEs’ assets, were as follows. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="19%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">December 31, 2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value of</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value of</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets held</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Liquidity</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Excess/</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Maximum</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets held</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Liquidity</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Excess/</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Maximum</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">by VIEs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">facilities<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(deficit)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">exposure</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">by VIEs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">facilities<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(deficit)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">exposure</td> </tr>   <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="top"> <td> <div style="margin-left:0px; text-indent:-0px">Nonconsolidated municipal bond vehicles<sup style="font-size: 85%; vertical-align: text-top"><i>(a)(b)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>12.0</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4.1</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7.9</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">10.0</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6.9</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3.1</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6.9</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="20%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 1px solid #000000">Ratings profile of VIE assets<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Wt. avg.</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Noninvestment-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value of</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">expected</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">Investment-grade</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 1px solid #000000">grade</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets held</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">life of assets</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">AAA to AAA-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">AA+ to AA-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">A+ to A-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">BBB to BBB-</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">BB+ and below</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">by VIEs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(years)</td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Nonconsolidated municipal bond vehicles<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>June 30, 2009</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1.4</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>10.5</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>12.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16.6</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">December 31, 2008 </div></td> <td> </td> <td> </td> <td align="right">3.8</td> <td> </td> <td> </td> <td> </td> <td align="right">5.9</td> <td> </td> <td> </td> <td> </td> <td align="right">0.2</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">10.0</td> <td> </td> <td> </td> <td> </td> <td align="right">22.3</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Excluded $3.7 billion and $6.0 billion at June 30, 2009, and December 31, 2008, respectively, which were consolidated due to the Firm owning the residual interests.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Certain of the municipal bond vehicles are structured to meet the definition of a QSPE (as discussed in Note 1 on page 122 of JPMorgan Chase’s 2008 Annual Report); accordingly, the assets and liabilities of QSPEs are not reflected in the Firm’s Consolidated Balance Sheets (except for retained interests that are reported at fair value). Excluded nonconsolidated amount of $603 million at December 31, 2008, related to QSPE municipal bond vehicles in which the Firm owned the residual interests. The Firm did not own residual interests in QSPE municipal bond vehicles at June 30, 2009.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>The Firm may serve as credit enhancement provider in municipal bond vehicles in which it serves as liquidity provider. The Firm provided insurance on underlying municipal bonds, in the form of letters of credit, of $10 million at both June 30, 2009, and December 31, 2008.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Represents the excess/(deficit) of municipal bond asset fair value available to repay the liquidity facilities, if drawn.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>The ratings scale is based on the Firm’s internal risk ratings and presented on an S&P-equivalent basis.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In the first half of 2009, the Firm did not experience a drawdown on its liquidity facilities. In addition, the municipal bond vehicles did not experience any bankruptcy or downgrade termination events during the first half of 2009. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As remarketing agent, the Firm may hold putable floating-rate certificates of the municipal bond vehicles. At both June 30, 2009, and December 31, 2008, respectively, the Firm held $293 million of these certificates on its Consolidated Balance Sheets. The largest amount held by the Firm at any time during the first half of 2009 was $438 million, or 1.3%, of the municipal bond vehicles’ outstanding putable floating-rate certificates. The Firm did not have and continues not to have any intent to protect any residual interest holder from potential losses on any of the municipal bond holdings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">At June 30, 2009, and December 31, 2008, 99% and 97%, respectively, of the municipal bonds held by vehicles to which the Firm served as liquidity provider were rated “AA-” or better, based upon either the rating of the underlying municipal bond itself, or the rating including any credit enhancement. At June 30, 2009, and December 31, 2008, $2.4 billion and $2.6 billion, respectively, of the bonds were insured by monoline bond insurers. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Credit-linked note vehicles</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Exposure to nonconsolidated credit-linked note VIEs at June 30, 2009, and December 31, 2008, was as follows. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="20%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">December 31, 2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Par value of</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Par value of</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivative</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Trading</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">collateral held</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivative</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Trading</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">collateral held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">receivables</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">exposure<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">by VIEs<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">receivables</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">exposure<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">by VIEs<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> </tr>   <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-linked notes<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"> Static structure </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2.8</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.8</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3.6</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>12.1</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3.6</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">0.7</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">14.5</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Managed structure<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>6.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">7.7</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">8.0</td> <td> </td> <td> </td> <td> </td> <td align="right">16.6</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1.4</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>10.3</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>27.2</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">11.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1.0</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">12.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">31.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Excluded collateral with a fair value of $2.2 billion and $2.1 billion at June 30, 2009, and December 31, 2008, respectively, which was consolidated as the Firm, in its role as secondary market maker, held a majority of the issued credit-linked notes of certain vehicles.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Included synthetic collateralized debt obligation vehicles, which have similar risk characteristics to managed credit-linked note vehicles. At December 31, 2008, trading assets included $7 million of transactions with subprime collateral; there were no such transactions in trading assets at June 30, 2009.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Trading assets principally comprise notes issued by VIEs, which from time to time are held as part of the termination of a deal or to support limited market-making.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>On–balance sheet exposure that includes derivative receivables and trading assets.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>The Firm’s maximum exposure arises through the derivatives executed with the VIEs; the exposure varies over time with changes in the fair value of the derivatives. The Firm relies upon the collateral held by the VIEs to pay any amounts due under the derivatives; the vehicles are structured at inception so that the par value of the collateral is expected to be sufficient to pay amounts due under the derivative contracts.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Asset swap vehicles</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Exposure to nonconsolidated asset swap VIEs at June 30, 2009, and December 31, 2008, was as follows. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="20%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">December 31, 2008</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivative</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Par value of</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivative</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Par value of</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">receivables</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Trading</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">collateral held</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">receivables</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Trading</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">collateral held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(payables)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">exposure<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">by VIEs<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(payables)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">exposure<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">by VIEs<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> </tr>   <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Nonconsolidated asset swap vehicles<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right">—</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6.0</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(0.2</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(0.2</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">7.3</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Trading assets principally comprise notes issued by VIEs, which from time to time are held as part of the termination of a deal or to support limited market-making.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>On—balance sheet exposure that includes derivative receivables and trading assets.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>The Firm’s maximum exposure arises through the derivatives executed with the VIEs; the exposure varies over time with changes in the fair value of the derivatives. The Firm relies upon the collateral held by the VIEs to pay any amounts due under the derivatives; the vehicles are structured at inception so that the par value of the collateral is expected to be sufficient to pay amounts due under the derivative contracts.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Excluded collateral with a fair value of $1.1 billion and $1.0 billion at June 30, 2009, and December 31, 2008, respectively, which was consolidated as the Firm, in its role as secondary market maker, held a majority of the issued notes of certain vehicles.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Collateralized debt obligation vehicles</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For further information on the Firm’s involvement with collateralized debt obligations (“CDOs”), see Note 17 on pages 184–185 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of June 30, 2009, and December 31, 2008, the Firm had noninvestment-grade funded loans of $320 million and $405 million, respectively, to nonconsolidated CDO warehouse VIEs. Additionally, the Firm had unfunded commitments of $75 million and $746 million as of June 30, 2009, and December 31, 2008, respectively to these nonconsolidated CDO warehouse VIEs. These unfunded commitments are typically contingent on certain asset-quality conditions being met. The Firm’s maximum exposure to loss related to the nonconsolidated CDO warehouse VIEs was $395 million and $1.1 billion as of June 30, 2009, and December 31, 2008, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Once the CDO vehicle closes and issues securities, the Firm has no obligation to provide further support to the vehicle. At the time of closing, the Firm may hold unsold securities that the Firm was not able to place with third-party investors. In addition, the Firm may on occasion hold some of the CDO vehicles’ securities as a secondary market-maker or as a principal investor, or it may be a derivative counterparty to the vehicles. At June 30, 2009, and December 31, 2008, these amounts were not significant. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>VIEs sponsored by third parties</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Investment in a third-party credit card securitization trust</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm holds a note in a third-party-sponsored VIE, which is a credit card securitization trust that owns credit card receivables issued by a national retailer. The note is structured so that the principal amount can float up to 47% of the principal amount of the receivables held by the trust, not to exceed $4.2 billion. The Firm is not the primary beneficiary of the trust and accounts for its investment at fair value within AFS investment securities. At June 30, 2009, and December 31, 2008, the amortized cost of the note was $3.6 billion and $3.6 billion, respectively, and the fair value was $3.4 billion and $2.6 billion, respectively. For more information on AFS securities, see Note 11 on pages 129–134 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>VIE used in FRBNY transaction</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In conjunction with the Bear Stearns merger, in June 2008, the Federal Reserve Bank of New York (“FRBNY”) took control, through an LLC formed for this purpose, of a portfolio of $30.0 billion in assets, based on the value of the portfolio as of March 14, 2008. The assets of the LLC were funded by a $28.85 billion term loan from the FRBNY and a $1.15 billion subordinated loan from JPMorgan Chase. The JPMorgan Chase loan is subordinated to the FRBNY loan and will bear the first $1.15 billion of any losses of the portfolio. Any remaining assets in the portfolio after repayment of the FRBNY loan, repayment of the JPMorgan Chase loan and the expense of the LLC will be for the account of the FRBNY. The extent to which FRBNY and JPMorgan Chase loans will be repaid will depend upon the value of the asset portfolio and the liquidation strategy directed by the FRBNY. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Other VIEs sponsored by third parties</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm enters into transactions with VIEs structured by other parties. These include, for example, acting as a derivative counterparty, liquidity provider, investor, underwriter, placement agent, trustee or custodian. These transactions are conducted at arm’s length, and individual credit decisions are based on the analysis of the specific VIE, taking into consideration the quality of the underlying assets. Where these activities do not cause JPMorgan Chase to absorb a majority of the expected losses, or to receive a majority of the residual returns, the Firm records and reports these positions on its Consolidated Balance Sheets similarly to the way it would record and report positions from any other third-party transaction. These transactions are not considered significant for disclosure purposes under FIN 46. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Consolidated VIE assets and liabilities</b> </div> <div align="left" style="font-size: 10pt; margin-top: 10pt">The following table presents information on assets, liabilities and commitments related to VIEs that are consolidated by the Firm. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">Consolidated VIEs</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">Assets</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Trading assets — debt</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">and equity instruments</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Loans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total assets<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>VIE program type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Multi-seller conduits </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3.0</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6.9</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card loans<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8.3</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Municipal bond vehicles </div></td> <td> </td> <td> </td> <td align="right"><b>3.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.7</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-linked notes </div></td> <td> </td> <td> </td> <td align="right"><b>1.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.2</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">CDO warehouses </div></td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.9</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Employee funds </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Energy investments </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>1.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.7</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7.0</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>17.1</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5.1</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>29.2</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="64%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Liabilities</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Beneficial interests</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in VIE assets<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total liabilities</td> </tr>   <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>VIE program type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Multi-seller conduits </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6.9</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card loans<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>6.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6.1</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Municipal bond vehicles </div></td> <td> </td> <td> </td> <td align="right"><b>3.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.5</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-linked notes </div></td> <td> </td> <td> </td> <td align="right"><b>0.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.8</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">CDO warehouses </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right"><b>2.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.8</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Employee funds </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Energy investments </div></td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>1.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.3</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>20.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1.6</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>22.5</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">Consolidated VIEs</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="15" style="border-bottom: 1px solid #000000">Assets</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Trading assets — debt</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">and equity instruments</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Loans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total assets<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>VIE program type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Multi-seller conduits </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card loans<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Municipal bond vehicles </div></td> <td> </td> <td> </td> <td align="right">5.9</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">6.0</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-linked notes </div></td> <td> </td> <td> </td> <td align="right">1.9</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.2</td> <td> </td> <td> </td> <td> </td> <td align="right">2.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">CDO warehouses </div></td> <td> </td> <td> </td> <td align="right">0.2</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">4.0</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">4.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Employee funds </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.5</td> <td> </td> <td> </td> <td> </td> <td align="right">0.5</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Energy investments </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">2.8</td> <td> </td> <td> </td> <td> </td> <td align="right">1.3</td> <td> </td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> <td> </td> <td> </td> <td align="right">5.2</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">10.8</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2.5</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">18.6</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="64%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Liabilities</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Beneficial interests</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in VIE assets<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total liabilities</td> </tr>   <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>VIE program type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Multi-seller conduits </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card loans<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Municipal bond vehicles </div></td> <td> </td> <td> </td> <td align="right">5.5</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">5.9</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-linked notes </div></td> <td> </td> <td> </td> <td align="right">1.3</td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">1.9</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">CDO warehouses </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right">2.8</td> <td> </td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> <td> </td> <td> </td> <td align="right">3.9</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Employee funds </div></td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Energy investments </div></td> <td> </td> <td> </td> <td align="right">0.2</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.2</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">1.8</td> <td> </td> <td> </td> <td> </td> <td align="right">2.5</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">10.6</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3.9</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">14.5</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Represents consolidated securitized credit card loans related to the WMM Trust, as well as loans that were represented by the Firm’s undivided interest and subordinated interest and fees, which were previously recorded on the Firm’s balance sheet prior to consolidation. For further discussion, see Off-Balance Sheet Arrangements and Contractual Cash Obligations on pages 51-53 and Note 15 on pages 139-147 respectively, of this Form 10-Q.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Included assets classified as resale agreements and other assets within the Consolidated Balance Sheets.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Assets of each consolidated VIE included in the program types above are generally used to satisfy the liabilities to third parties. The difference between total assets and total liabilities recognized for consolidated VIEs represents the Firm’s interest in the consolidated VIEs for each program type.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated Balance Sheets titled, “Beneficial interests issued by consolidated variable interest entities.” The holders of these beneficial interests do not have recourse to the general credit of JPMorgan Chase. Included in beneficial interests in VIE assets are long-term beneficial interests of $9.6 billion and $10.6 billion at June 30, 2009, and December 31, 2008, respectively.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Included liabilities classified as other borrowed funds, long-term debt, and accounts payable and other liabilities in the Consolidated Balance Sheets.</i></td> </tr> </table> </div> </div> </body> </html>

<html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 19 — OTHER BORROWED FUNDS </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table details the components of other borrowed funds. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Advances from Federal Home Loan Banks<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>48,838</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">70,187</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Nonrecourse advances — FRBB<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>14,473</b></td> <td> </td> <td> </td> <td> </td> <td align="right">11,192</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>10,657</b></td> <td> </td> <td> </td> <td> </td> <td align="right">51,021</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total other borrowed funds</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>73,968</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">132,400</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Maturities of advances from the FHLBs were $39.6 billion, $7.6 billion, and $719 million in each of the 12-month periods ending June 30, 2010, 2011, and 2013, respectively, and $940 million maturing after June 30, 2014. Maturities for the 12 month period ending June 30, 2012 and 2014 were not material.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>On September 19, 2008, the Federal Reserve Board established a special lending facility, the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF), to provide liquidity to eligible U.S. money market mutual funds (“MMMFs”). Under the AMLF, banking organizations must use the loan proceeds to finance their purchases of eligible high-quality asset-backed commercial paper (“ABCP”) investments from MMMFs, which are pledged to secure nonrecourse advances from the Federal Reserve Bank of Boston (“FRBB”). Participating banking organizations do not bear any credit or market risk related to the ABCP investments they hold under this facility; therefore, the ABCP investments held are not assessed any regulatory capital. The AMLF will be in effect until October 30, 2009. The nonrecourse advances from the FRBB were elected under the fair value option and recorded in other borrowed funds; the corresponding ABCP investments were also elected under the fair value option and recorded in other assets.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Includes zero and $30 billion of advances from the Federal Reserve under the Federal Reserve’s Term Auction Facility (“TAF”) at June 30, 2009, and December 31, 2008, respectively, pursuant to which the Federal Reserve auctions term funds to depository institutions that are eligible to borrow under the primary credit program. The TAF allows all eligible depository institutions to place a bid for an advance from its local Federal Reserve Bank at an interest rate set by an auction. All advances are required to be fully collateralized. The TAF is designed to improve liquidity by making it easier for sound institutions to borrow when the markets are not operating efficiently.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div> </body> </html>  <html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 20 — PREFERRED STOCK </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase is authorized to issue 200 million shares of preferred stock, in one or more series, with a par value of $1 per share. For a further discussion of preferred stock, see Note 24 on pages 193-194 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following is a summary of preferred stock outstanding as of June 30, 2009, and December 31, 2008. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="30%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="7%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Shares at</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Outstanding at</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Share value and</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>Contractual</b></td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">redemption</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30,</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30,</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Earliest</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>rate in effect at</b></td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">price per share<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">redemption date</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>June 30, 2009</b></td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Cumulative Preferred<br /> Stock, Series E<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right">$</td> <td align="right">200</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>818,113</b></td> <td> </td> <td> </td> <td> </td> <td align="right">818,113</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>164</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">164</td> <td> </td> <td> </td> <td colspan="3" align="center">Any time</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>6.15</b></td> <td nowrap="nowrap"><b>%</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Cumulative Preferred<br /> Stock, Series F<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">200</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>428,825</b></td> <td> </td> <td> </td> <td> </td> <td align="right">428,825</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>86</b></td> <td> </td> <td> </td> <td> </td> <td align="right">86</td> <td> </td> <td> </td> <td colspan="3" align="center">Any time</td> <td> </td> <td> </td> <td align="right"><b>5.72</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Cumulative Preferred<br /> Stock, Series G<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">200</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>511,169</b></td> <td> </td> <td> </td> <td> </td> <td align="right">511,169</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>102</b></td> <td> </td> <td> </td> <td> </td> <td align="right">102</td> <td> </td> <td> </td> <td colspan="3" align="center">Any time</td> <td> </td> <td> </td> <td align="right"><b>5.49</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Fixed to Floating<br /> Rate Noncumulative<br /> Perpetual Preferred<br /> Stock, Series I<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">10,000</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>600,000</b></td> <td> </td> <td> </td> <td> </td> <td align="right">600,000</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,000</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,000</td> <td> </td> <td> </td> <td> </td> <td align="right">4/30/2018</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7.90</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Noncumulative <br /> Perpetual Preferred<br /> Stock, Series J<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">10,000</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>180,000</b></td> <td> </td> <td> </td> <td> </td> <td align="right">180,000</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,800</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,800</td> <td> </td> <td> </td> <td> </td> <td align="right">9/1/2013</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8.63</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Fixed Rate Cumulative<br /> Perpetual Preferred<br /> Stock, Series K </div></td> <td> </td> <td> </td> <td align="right">10,000</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,500,000</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">23,787</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>—</b></td> <td nowrap="nowrap"> </td> <td> </td> <td colspan="3" nowrap="nowrap" align="center"><b>NA</b></td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td width="23%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Total preferred stock </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,538,107</b></td> <td> </td> <td> </td> <td> </td> <td align="right">5,038,107</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8,152</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">31,939</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Represented by depositary shares.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Redemption price includes amount shown in the table plus any accrued but unpaid dividends.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Represents the carrying value as of December 31, 2008. The redemption value was $25.0 billion.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Redemption of Series K preferred stock</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On June 17, 2009, the Firm redeemed all of the outstanding shares of Series K preferred stock issued to the U.S. Treasury, and repaid the full $25.0 billion principal amount. Following discussions with the U.S. Treasury regarding the warrant that was issued to the U.S. Treasury in connection with the U.S. Treasury’s purchase of the Series K preferred stock, on July 7, 2009, JPMorgan Chase notified the U.S. Treasury that it had revoked its warrant repurchase notice. JPMorgan Chase understands, based on the U.S. Treasury’s public statements, that the U.S. Treasury intends to pursue a public auction of the warrant. The U.S. Treasury has advised JPMorgan Chase that the Firm will be permitted to participate in any such auction. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">During the period that shares of the Series K preferred stock were outstanding, no dividends could be declared or paid on stock ranking junior or equally with the Series K preferred stock, unless all accrued and unpaid dividends for all past dividend periods on the Series K preferred stock were fully paid. Also, the U.S. Treasury’s consent was required until October 28, 2011, for any increase in dividends on the Firm’s common stock above $0.38 per share. In addition, the Firm could not repurchase or redeem any common stock or other equity securities of the Firm, or any trust preferred capital debt securities issued by the Firm or any of its affiliates, without the prior consent of the U.S. Treasury (other than (i) repurchases of the Series K preferred stock and (ii) repurchases of junior preferred shares or common stock in connection with any employee benefit plan in the ordinary course of business consistent with past practice) until October 28, 2011. As a result of the redemption of the Series K preferred stock, JPMorgan Chase is no longer subject to any of these restrictions. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div> </body> </html>  <html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 21 — EARNINGS PER SHARE</b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a discussion of the computation of basic and diluted earnings per share (“EPS”), see Note 26 on page 195 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Effective January 1, 2009, the Firm implemented FSP EITF 03-6-1, which clarifies that unvested stock-based compensation awards containing nonforfeitable rights to dividends or dividend equivalents (collectively, “dividends”) are participating securities and should be included in the EPS calculation using the two-class method. JPMorgan Chase grants restricted stock and RSUs to certain employees under its stock-based compensation programs, which entitle the recipients to receive nonforfeitable dividends during the vesting period on a basis equivalent to the dividends paid to holders of common stock. These unvested awards meet the FSP’s definition of participating securities. Under the two class method, all earnings (distributed and undistributed) are allocated to each class of common stock and participating securities, based on their respective rights to receive dividends. EPS data for the prior periods were revised as required by the FSP. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the calculation of basic and diluted EPS for the three and six months ended June 30, 2009 and 2008. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="6" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="6" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except per share amounts)</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">2008</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Basic earnings per share</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2,721</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">2,003</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>4,862</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">4,376</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Less: Preferred stock dividends </div></td> <td> </td> <td> </td> <td align="right"><b>473</b></td> <td> </td> <td> </td> <td> </td> <td align="right">90</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,002</b></td> <td> </td> <td> </td> <td> </td> <td align="right">90</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Less: Accelerated amortization from redemption of preferred stock issued to the U.S. Treasury<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>1,112</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,112</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income applicable to common equity</b> </div></td> <td> </td> <td> </td> <td align="right"><b>1,136</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,913</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,748</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,286</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Less: Dividends and undistributed earnings allocated to participating securities </div></td> <td> </td> <td> </td> <td align="right"><b>64</b></td> <td> </td> <td> </td> <td> </td> <td align="right">70</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>157</b></td> <td> </td> <td> </td> <td> </td> <td align="right">153</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income applicable to common stockholders</b><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1,072</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,843</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2,591</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">4,133</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total weighted-average basic shares outstanding</b> </div></td> <td> </td> <td> </td> <td align="right"><b>3,811.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,426.2</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,783.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,411.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income per share</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)(c)</i></sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>0.28</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">0.54</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>0.68</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1.21</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="6" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="6" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except per share amounts)</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">2008</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Diluted earnings per share</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income applicable to common stockholders</b><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1,072</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,843</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2,591</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">4,133</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Total weighted-average basic shares outstanding </div></td> <td> </td> <td> </td> <td align="right"><b>3,811.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,426.2</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,783.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,411.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Add: Employee stock options and SARs<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>12.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right">26.9</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right">27.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total weighted-average diluted shares outstanding</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>3,824.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,453.1</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,791.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,438.2</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income per share</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)(c)</i></sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>0.28</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">0.53</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>0.68</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1.20</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>The calculation of basic and diluted EPS for the three and six months ended June 30, 2009 includes a one-time noncash reduction of $1.1 billion, or $0.27 and $0.28 per share, respectively, resulting from the redemption of Series K preferred stock issued to the U.S. Treasury.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>Net income applicable to common stockholders for diluted and basic EPS may differ under the two-class method as a result of adding common stock equivalents for options, SARs and warrants to dilutive shares outstanding, which alters the ratio used to allocate earnings to common stockholders and participating securities for purposes of calculating diluted EPS.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>EPS data has been revised to reflect the retrospective application of FSP EITF 03-6-1, which resulted in a reduction of basic and diluted EPS for the three months ended June 30, 2009, of $0.02 and $0.01, respectively; for the six months ended June 30, 2009, of $0.05 and $0.02, respectively; for the three months ended June 30, 2008, of $0.02 and $0.01, respectively; and for the six months ended June 30, 2008, of $0.05 and $0.02, respectively.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Options issued under employee benefit plans and, subsequent to October 28, 2008, the warrant issued under the U.S. Treasury’s Capital Purchase Program, to purchase an aggregate 315 million and 169 million shares of common stock were outstanding for the three months ended June 30, 2009 and 2008, respectively, and an aggregate 339 million and 171 million for the six months ended June 30, 2009 and 2008, respectively, but were not included in the computation of diluted EPS because the options were antidilutive.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Participating securities were included in the calculation of diluted EPS using the two-class method, as this computation was more dilutive than the calculation using the treasury-stock method.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div> </body> </html>  <html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 22 — ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Accumulated other comprehensive income (loss) includes the after-tax change in unrealized gains and losses on AFS securities, SFAS 52 foreign currency translation adjustments (including the impact of related derivatives), SFAS 133 cash flow hedging activities and SFAS 158 net loss and prior service cost (credit) related to the Firm’s defined benefit pension and OPEB plans. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="30%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="7%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Net loss and</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">prior service costs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Accumulated</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Six months ended</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Unrealized gains</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Translation</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(credit) of defined</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">other</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(losses) on AFS</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">adjustments,</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">benefit pension</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">comprehensive</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">securities<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">net of hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Cash flow hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">and OPEB plans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">income (loss)</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Balance at January 1, 2009 </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2,101</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(598</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(202</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2,786</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(5,687</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net change </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1,576</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i><b>(b)</b></i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>491</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i><b>(d)</b></i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>95</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i><b>(e)</b></i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>87</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i><b>(f)</b></i></sup></td> <td> </td> <td> </td> <td align="right"><b>2,249</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Balance at June 30, 2009</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(525)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i><b>(c)</b></i></sup></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(107</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(107</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2,699</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(3,438</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr style="font-size: 10pt"> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Net loss and</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">prior service costs</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Accumulated</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Six months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Unrealized gains</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Translation</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(credit) of defined</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">other</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">June 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(losses) on AFS</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">adjustments,</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">benefit pension</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">comprehensive</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">securities<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">net of hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Cash flow hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">and OPEB plans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">income (loss)</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Balance at January 1, 2008 </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">380</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">8</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">(802</td> <td nowrap="nowrap" valign="top">)</td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">(503</td> <td nowrap="nowrap" valign="top">)</td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">(917</td> <td nowrap="nowrap" valign="top">)</td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:30px; text-indent:-15px">Net change </div></td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="1" align="right" valign="top">(851</td> <td>)<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="1" align="right" valign="top">109</td> <td><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="1" align="right" valign="top">35</td> <td><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td> </td> <td nowrap="nowrap" colspan="1" align="right" valign="top">58</td> <td><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td nowrap="nowrap" align="right" valign="top"> </td> <td> </td> <td align="right" valign="top">(649</td> <td nowrap="nowrap" valign="top">)</td> </tr> <tr style="font-size: 1px"> <td colspan="21" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px"><b>Balance at June 30, 2008</b> </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">(471</td> <td nowrap="nowrap" valign="top">)</td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">117</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">(767</td> <td nowrap="nowrap" valign="top">)</td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">(445</td> <td nowrap="nowrap" valign="top">)</td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">(1,566</td> <td nowrap="nowrap" valign="top">)</td> </tr> <tr style="font-size: 1px"> <td colspan="21" valign="top" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>Represents the after-tax difference between the fair value and amortized cost of the AFS securities portfolio and retained interests in securitizations recorded in other assets.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>The net change for the six months ended June 30, 2009, was due primarily to the narrowing of spreads on U.S. government agency mortgage-backed securities and credit card ABS positions as a result of improvement in the credit environment. The net change for the six months ended June 30, 2008, was due primarily to the net increase in interest rates on agency mortgage-backed pass-through securities and market spreads.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Includes after-tax unrealized losses of $(426) million not related to credit on debt securities for which credit losses have been recognized in income.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Includes $509 million and $215 million at June 30, 2009 and 2008, respectively, of after-tax gains/(losses) on foreign currency translation from operations for which the functional currency is other than the U.S. dollar, partially offset by $(18) million and $(106) million, respectively, of after-tax gains/(losses) on hedges. The Firm may not hedge its entire exposure to foreign currency translation on net investments in foreign operations.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>The net change for the six months ended June 30, 2009, included $86 million of after-tax gains recognized in income, and $181 million of after-tax gains, representing the net change in derivative fair value that was reported in comprehensive income. The net change for the six months ended June 30, 2008, included $134 million of after-tax losses recognized in income, and $99 million of after-tax losses representing the net change in derivative fair value that was reported in comprehensive income.</i></td> </tr> <tr style="font-size: 6pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(f)</i></td> <td> </td> <td><i>The net change for the six months ended June 30, 2009, was primarily due to after-tax adjustments based on the final 2008 year-end actuarial valuations for the U.S. and non-U.S. defined benefit pension plans and the U.S. OPEB plan, as well as the amortization of net loss and prior service credit into net periodic benefit cost, offset by a change in the 2009 tax rates. The net change for the six months ended June 30, 2008, was primarily due to after-tax adjustments based on the 2007 final year-end actuarial valuations for the U.S. and non-U.S. defined benefit pension plans and U.S. OPEB plan, as well as the amortization of net loss and prior service credit into net periodic benefit cost.</i></td> </tr> </table> </div> </div> </body> </html>

<html> <head></head> <body>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 25 — BUSINESS SEGMENTS</b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase is organized into six major reportable business segments — the Investment Bank, Retail Financial Services, Card Services, Commercial Banking, Treasury & Securities Services (“TSS”) and Asset Management (“AM”), as well as a Corporate/Private Equity segment. The segments are based on the products and services provided or the type of customer served, and they reflect the manner in which financial information is currently evaluated by management. Results of these lines of business are presented on a managed basis. For a definition of managed basis, see the footnotes to the table below. For a further discussion concerning JPMorgan Chase’s business segments, see Business Segment Results on pages 18-19 of this Form 10-Q, and pages 40-41 and Note 37 on pages 214-215 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Segment results</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following tables provide a summary of the Firm’s segment results for the three and six months ended June 30, 2009 and 2008, on a managed basis. The impact of credit card securitization adjustments has been included in reconciling items so that the total Firm results are on a reported basis. Finally, total net revenue (noninterest revenue and net interest income) for each of the segments is presented on a tax-equivalent basis. Accordingly, revenue from tax-exempt securities and investments that receive tax credits are presented in the managed results on a basis comparable to taxable securities and investments. This approach allows management to assess the comparability of revenue arising from both taxable and tax-exempt sources. The corresponding income tax impact related to these items is recorded within income tax expense (benefit). The following tables summarize the business segment results and reconciliation to reported U.S. GAAP results. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">  </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr style="font-size: 8pt" valign="bottom"> <td width="52%"><b>Segment results and reconciliation</b><b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></b></td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Three months ended June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Investment</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Retail Financial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Card</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except ratios)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Bank</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Services</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Services<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Banking</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest revenue </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,856</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,940</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>557</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>458</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net interest income </div></td> <td> </td> <td> </td> <td align="right"><b>2,445</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,030</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,311</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>995</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total net revenue</b> </div></td> <td> </td> <td> </td> <td align="right"><b>7,301</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,970</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,868</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,453</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for credit losses </div></td> <td> </td> <td> </td> <td align="right"><b>871</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,846</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,603</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>312</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit reimbursement (to)/from TSS<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest expense<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>4,067</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,079</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,333</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>535</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Income (loss) before income tax expense</b> </div></td> <td> </td> <td> </td> <td align="right"><b>2,363</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>45</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,068</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>606</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Income tax expense (benefit) </div></td> <td> </td> <td> </td> <td align="right"><b>892</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>30</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(396</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>238</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income (loss)</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,471</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>15</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(672</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>368</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>33,000</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>25,000</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>15,000</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8,000</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Average assets </div></td> <td> </td> <td> </td> <td align="right"><b>710,825</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>410,228</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>193,310</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>137,283</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Return on average common equity </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>18</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>—</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(18</b></td> <td nowrap="nowrap"><b>)%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>18</b></td> <td nowrap="nowrap"><b>%</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Overhead ratio </div></td> <td> </td> <td> </td> <td align="right"><b>56</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>51</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>27</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>37</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr style="font-size: 10pt"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Three months ended June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Treasury &</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Asset</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Corporate/</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Reconciling</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except ratios)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Securities Services</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Management</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Private Equity </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Items<sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest revenue </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,245</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,568</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,400</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(71</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>12,953</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net interest income </div></td> <td> </td> <td> </td> <td align="right"><b>655</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>414</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>865</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2,045</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>12,670</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total net revenue</b> </div></td> <td> </td> <td> </td> <td align="right"><b>1,900</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,982</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,265</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2,116</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>25,623</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for credit losses </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(5</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>59</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,664</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>8,031</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit reimbursement (to)/from TSS<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(30</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>30</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest expense<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>1,288</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,354</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>864</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,520</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Income (loss) before income tax expense</b> </div></td> <td> </td> <td> </td> <td align="right"><b>587</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>569</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,392</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(422</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>4,072</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Income tax expense (benefit) </div></td> <td> </td> <td> </td> <td align="right"><b>208</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>217</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>584</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(422</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,351</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income (loss)</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>379</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>352</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>808</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,721</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,000</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7,000</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>47,865</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>140,865</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Average assets </div></td> <td> </td> <td> </td> <td align="right"><b>35,520</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>59,334</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>573,460</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(81,588</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>2,038,372</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Return on average common equity </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>30</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>20</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NM</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NM</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>3</b></td> <td nowrap="nowrap"><b>%</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Overhead ratio </div></td> <td> </td> <td> </td> <td align="right"><b>68</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>68</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NM</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NM</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>53</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt">  </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr style="font-size: 8pt" valign="bottom"> <td width="52%"><b>Segment results and reconciliation</b><sup style="font-size: 85%; vertical-align: text-top"><b><i>(a)</i></b></sup></td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Three months ended June 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Investment</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Retail Financial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Card</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except ratios)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Bank</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Services</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Services<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Banking</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest revenue </div></td> <td> </td> <td align="right">$</td> <td align="right">3,191</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,960</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">764</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">383</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net interest income </div></td> <td> </td> <td> </td> <td align="right">2,309</td> <td> </td> <td> </td> <td> </td> <td align="right">3,150</td> <td> </td> <td> </td> <td> </td> <td align="right">3,011</td> <td> </td> <td> </td> <td> </td> <td align="right">723</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total net revenue</b> </div></td> <td> </td> <td> </td> <td align="right">5,500</td> <td> </td> <td> </td> <td> </td> <td align="right">5,110</td> <td> </td> <td> </td> <td> </td> <td align="right">3,775</td> <td> </td> <td> </td> <td> </td> <td align="right">1,106</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for credit losses </div></td> <td> </td> <td> </td> <td align="right">398</td> <td> </td> <td> </td> <td> </td> <td align="right">1,585</td> <td> </td> <td> </td> <td> </td> <td align="right">2,194</td> <td> </td> <td> </td> <td> </td> <td align="right">47</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit reimbursement (to)/from TSS<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest expense<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">4,734</td> <td> </td> <td> </td> <td> </td> <td align="right">2,680</td> <td> </td> <td> </td> <td> </td> <td align="right">1,185</td> <td> </td> <td> </td> <td> </td> <td align="right">476</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Income before income tax expense</b> </div></td> <td> </td> <td> </td> <td align="right">368</td> <td> </td> <td> </td> <td> </td> <td align="right">845</td> <td> </td> <td> </td> <td> </td> <td align="right">396</td> <td> </td> <td> </td> <td> </td> <td align="right">583</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Income tax expense (benefit) </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(26</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">342</td> <td> </td> <td> </td> <td> </td> <td align="right">146</td> <td> </td> <td> </td> <td> </td> <td align="right">228</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income (loss)</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">394</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">503</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">250</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">355</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right">$</td> <td align="right">23,319</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">17,000</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">14,100</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">7,000</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Average assets </div></td> <td> </td> <td> </td> <td align="right">814,860</td> <td> </td> <td> </td> <td> </td> <td align="right">267,808</td> <td> </td> <td> </td> <td> </td> <td align="right">161,601</td> <td> </td> <td> </td> <td> </td> <td align="right">103,469</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Return on average common equity </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">7</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">12</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">7</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">20</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Overhead ratio </div></td> <td> </td> <td> </td> <td align="right">86</td> <td> </td> <td> </td> <td> </td> <td align="right">52</td> <td> </td> <td> </td> <td> </td> <td align="right">31</td> <td> </td> <td> </td> <td> </td> <td align="right">43</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Three months ended June 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Treasury &</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Asset</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Corporate/<br /> Private</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Reconciling</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except ratios)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Securities Services</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Management</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Equity </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Items<sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest revenue </div></td> <td> </td> <td align="right">$</td> <td align="right">1,357</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,703</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">181</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">566</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">10,105</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net interest income (loss) </div></td> <td> </td> <td> </td> <td align="right">662</td> <td> </td> <td> </td> <td> </td> <td align="right">361</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(47</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,875</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">8,294</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total net revenue</b> </div></td> <td> </td> <td> </td> <td align="right">2,019</td> <td> </td> <td> </td> <td> </td> <td align="right">2,064</td> <td> </td> <td> </td> <td> </td> <td align="right">134</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,309</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">18,399</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for credit losses </div></td> <td> </td> <td> </td> <td align="right">7</td> <td> </td> <td> </td> <td> </td> <td align="right">17</td> <td> </td> <td> </td> <td> </td> <td align="right">37</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(830</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">3,455</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit reimbursement (to)/from TSS<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(30</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">30</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest expense<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">1,317</td> <td> </td> <td> </td> <td> </td> <td align="right">1,400</td> <td> </td> <td> </td> <td> </td> <td align="right">385</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">12,177</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Income (loss) before income tax expense</b> </div></td> <td> </td> <td> </td> <td align="right">665</td> <td> </td> <td> </td> <td> </td> <td align="right">647</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(288</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(449</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">2,767</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Income tax expense (benefit) </div></td> <td> </td> <td> </td> <td align="right">240</td> <td> </td> <td> </td> <td> </td> <td align="right">252</td> <td> </td> <td> </td> <td> </td> <td align="right">31</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(449</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">764</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income (loss)</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">425</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">395</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(319</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,003</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right">$</td> <td align="right">3,500</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,066</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">56,421</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">126,406</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Average assets </div></td> <td> </td> <td> </td> <td align="right">56,192</td> <td> </td> <td> </td> <td> </td> <td align="right">65,015</td> <td> </td> <td> </td> <td> </td> <td align="right">274,334</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(74,580</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">1,668,699</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Return on average common equity </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">49</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">31</td> <td nowrap="nowrap">%</td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NM</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NM</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">6</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Overhead ratio </div></td> <td> </td> <td> </td> <td align="right">65</td> <td> </td> <td> </td> <td> </td> <td align="right">68</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NM</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NM</td> <td> </td> <td> </td> <td> </td> <td align="right">66</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">  </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr style="font-size: 8pt" valign="bottom"> <td width="52%"><b>Segment results and reconciliation</b><sup style="font-size: 85%; vertical-align: text-top"><b><i>(a)</i></b></sup></td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Six months ended June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Investment</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Retail Financial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Card</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except ratios)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Bank</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Services</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Services<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Banking</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest revenue </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>10,525</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6,537</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,204</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>880</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net interest income </div></td> <td> </td> <td> </td> <td align="right"><b>5,147</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,268</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,793</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,975</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total net revenue</b> </div></td> <td> </td> <td> </td> <td align="right"><b>15,672</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16,805</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,997</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,855</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for credit losses </div></td> <td> </td> <td> </td> <td align="right"><b>2,081</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,723</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,256</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>605</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit reimbursement (to)/from TSS<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest expense<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>8,841</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,250</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,679</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,088</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Income (loss) before income tax expense</b> </div></td> <td> </td> <td> </td> <td align="right"><b>4,750</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>832</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,938</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,162</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Income tax expense (benefit) </div></td> <td> </td> <td> </td> <td align="right"><b>1,673</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>343</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(719</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>456</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income (loss)</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,077</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>489</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,219</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>706</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>33,000</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>25,000</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>15,000</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8,000</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Average assets </div></td> <td> </td> <td> </td> <td align="right"><b>721,934</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>416,813</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>197,234</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>140,771</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Return on average common equity </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>19</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>4</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(16</b></td> <td nowrap="nowrap"><b>)%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>18</b></td> <td nowrap="nowrap"><b>%</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Overhead ratio </div></td> <td> </td> <td> </td> <td align="right"><b>56</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>49</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>27</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>38</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Six months ended June 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Treasury &</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Asset</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Corporate/<br /> Private</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Reconciling</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except ratios)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Securities Services</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Management</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Equity </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Items<sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest revenue </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,393</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,868</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>102</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>102</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>24,611</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net interest income </div></td> <td> </td> <td> </td> <td align="right"><b>1,328</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>817</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,854</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4,145</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>26,037</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total net revenue</b> </div></td> <td> </td> <td> </td> <td align="right"><b>3,721</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,685</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,956</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4,043</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>50,648</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for credit losses </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(11</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>92</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3,128</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>16,627</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit reimbursement (to)/from TSS<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(60</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>60</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest expense<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>2,607</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,652</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>776</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>26,893</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Income (loss) before income tax expense</b> </div></td> <td> </td> <td> </td> <td align="right"><b>1,065</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>941</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,171</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(855</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>7,128</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Income tax expense (benefit) </div></td> <td> </td> <td> </td> <td align="right"><b>378</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>365</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>625</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(855</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>2,266</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income (loss)</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>687</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>576</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>546</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,862</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,000</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7,000</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>45,691</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>138,691</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Average assets </div></td> <td> </td> <td> </td> <td align="right"><b>37,092</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>58,783</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>562,221</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(82,182</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>2,052,666</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Return on average common equity </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>28</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>17</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NM</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NM</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>4</b></td> <td nowrap="nowrap"><b>%</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Overhead ratio </div></td> <td> </td> <td> </td> <td align="right"><b>70</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>72</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NM</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NM</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>53</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">  </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr style="font-size: 8pt" valign="bottom"> <td width="52%"><b>Segment results and reconciliation</b><sup style="font-size: 85%; vertical-align: text-top"><b><i>(a)</i></b></sup></td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Six months ended June 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Investment</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Retail Financial</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Card</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Commercial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except ratios)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Bank</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Services</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Services<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Banking</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest revenue </div></td> <td> </td> <td align="right">$</td> <td align="right">4,409</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3,649</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,483</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">717</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net interest income </div></td> <td> </td> <td> </td> <td align="right">4,132</td> <td> </td> <td> </td> <td> </td> <td align="right">6,224</td> <td> </td> <td> </td> <td> </td> <td align="right">6,196</td> <td> </td> <td> </td> <td> </td> <td align="right">1,456</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total net revenue</b> </div></td> <td> </td> <td> </td> <td align="right">8,541</td> <td> </td> <td> </td> <td> </td> <td align="right">9,873</td> <td> </td> <td> </td> <td> </td> <td align="right">7,679</td> <td> </td> <td> </td> <td> </td> <td align="right">2,173</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for credit losses </div></td> <td> </td> <td> </td> <td align="right">1,016</td> <td> </td> <td> </td> <td> </td> <td align="right">4,273</td> <td> </td> <td> </td> <td> </td> <td align="right">3,864</td> <td> </td> <td> </td> <td> </td> <td align="right">148</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit reimbursement (to)/from TSS<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest expense<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">7,287</td> <td> </td> <td> </td> <td> </td> <td align="right">5,252</td> <td> </td> <td> </td> <td> </td> <td align="right">2,457</td> <td> </td> <td> </td> <td> </td> <td align="right">961</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Income (loss) before income tax expense</b> </div></td> <td> </td> <td> </td> <td align="right">238</td> <td> </td> <td> </td> <td> </td> <td align="right">348</td> <td> </td> <td> </td> <td> </td> <td align="right">1,358</td> <td> </td> <td> </td> <td> </td> <td align="right">1,064</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Income tax expense (benefit) </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(69</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">156</td> <td> </td> <td> </td> <td> </td> <td align="right">499</td> <td> </td> <td> </td> <td> </td> <td align="right">417</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income (loss)</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">307</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">192</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">859</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">647</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right">$</td> <td align="right">22,659</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">17,000</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">14,100</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">7,000</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Average assets </div></td> <td> </td> <td> </td> <td align="right">785,344</td> <td> </td> <td> </td> <td> </td> <td align="right">263,911</td> <td> </td> <td> </td> <td> </td> <td align="right">160,601</td> <td> </td> <td> </td> <td> </td> <td align="right">102,724</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Return on average common equity </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">12</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">19</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Overhead ratio </div></td> <td> </td> <td> </td> <td align="right">85</td> <td> </td> <td> </td> <td> </td> <td align="right">53</td> <td> </td> <td> </td> <td> </td> <td align="right">32</td> <td> </td> <td> </td> <td> </td> <td align="right">44</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Six months ended June 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Treasury &</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Asset</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Corporate/<br />Private</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Reconciling</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except ratios)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Securities Services</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Management</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> Equity </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Items<sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest revenue </div></td> <td> </td> <td align="right">$</td> <td align="right">2,646</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3,293</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,869</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,270</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">19,336</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net interest income </div></td> <td> </td> <td> </td> <td align="right">1,286</td> <td> </td> <td> </td> <td> </td> <td align="right">672</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(396</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(3,617</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">15,953</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total net revenue</b> </div></td> <td> </td> <td> </td> <td align="right">3,932</td> <td> </td> <td> </td> <td> </td> <td align="right">3,965</td> <td> </td> <td> </td> <td> </td> <td align="right">1,473</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,347</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">35,289</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for credit losses </div></td> <td> </td> <td> </td> <td align="right">19</td> <td> </td> <td> </td> <td> </td> <td align="right">33</td> <td> </td> <td> </td> <td> </td> <td align="right">37</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,511</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">7,879</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit reimbursement (to)/from TSS<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(60</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">60</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest expense<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">2,545</td> <td> </td> <td> </td> <td> </td> <td align="right">2,723</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(117</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">21,108</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Income (loss) before income tax expense</b> </div></td> <td> </td> <td> </td> <td align="right">1,308</td> <td> </td> <td> </td> <td> </td> <td align="right">1,209</td> <td> </td> <td> </td> <td> </td> <td align="right">1,553</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(776</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">6,302</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Income tax expense (benefit) </div></td> <td> </td> <td> </td> <td align="right">480</td> <td> </td> <td> </td> <td> </td> <td align="right">458</td> <td> </td> <td> </td> <td> </td> <td align="right">761</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(776</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">1,926</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net income</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">828</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">751</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">792</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,376</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right">$</td> <td align="right">3,500</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,033</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">56,201</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">125,493</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Average assets </div></td> <td> </td> <td> </td> <td align="right">56,698</td> <td> </td> <td> </td> <td> </td> <td align="right">62,651</td> <td> </td> <td> </td> <td> </td> <td align="right">260,403</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(73,084</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">1,619,248</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Return on average common equity </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">48</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">30</td> <td nowrap="nowrap">%</td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NM</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NM</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">7</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Overhead ratio </div></td> <td> </td> <td> </td> <td align="right">65</td> <td> </td> <td> </td> <td> </td> <td align="right">69</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NM</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NM</td> <td> </td> <td> </td> <td> </td> <td align="right">60</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(a)</i></td> <td> </td> <td><i>In addition to analyzing the Firm’s results on a reported basis, management reviews the Firm’s results and the results of the lines of business on a “managed basis,” which is a non-GAAP financial measure. The Firm’s definition of managed basis starts with the reported U.S. GAAP results and includes certain reclassifications that do not have any impact on net income as reported by the lines of business or by the Firm as a whole.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>In the second quarter of 2009, IB began reporting credit reimbursement from TSS as a component of total net revenue, whereas TSS continues to report its credit reimbursement to IB as a separate line item on its income statement (not part of net revenue). Reconciling items include an adjustment to offset IB’s inclusion of the credit reimbursement in total net revenue. Prior periods have been revised for IB and Reconciling items to reflect this presentation.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(c)</i></td> <td> </td> <td><i>Includes merger costs, which are reported in the Corporate/Private Equity segment. Merger costs attributed to the business segments for the three and six months ended June 30, 2009 and 2008, were as follows.</i></td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Investment Bank </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"><b>$</b></td> <td align="right" valign="top"><b>1</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">132</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"><b>$</b></td> <td align="right" valign="top"><b>16</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">132</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Retail Financial Services </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>91</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">—</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>184</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">—</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Card Services </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>8</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">—</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>36</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">—</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Commercial Banking </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>2</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">—</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>5</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">—</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Treasury & Securities Services </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>4</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">—</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>7</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">—</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Asset Management </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>2</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">1</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>3</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">1</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Corporate/Private Equity </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>35</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">22</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>97</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">22</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Managed results for credit card exclude the impact of credit card securitizations on total net revenue, provision for credit losses and average assets, as JPMorgan Chase treats the sold receivables as if they were still on the balance sheet in evaluating the credit performance of the entire managed credit card portfolio as operations are funded, and decisions are made about allocating resources, such as employees and capital, based on managed information. These adjustments are eliminated in reconciling items to arrive at the Firm’s reported U.S. GAAP results. The related securitization adjustments were as follows.</i></td> </tr> </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Noninterest revenue </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"><b>$</b></td> <td align="right" valign="top"><b>(294</b></td> <td nowrap="nowrap" valign="top"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">(843</td> <td nowrap="nowrap" valign="top">)</td> <td> </td> <td nowrap="nowrap" align="right" valign="top"><b>$</b></td> <td align="right" valign="top"><b>(834</b></td> <td nowrap="nowrap" valign="top"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">(1,780</td> <td nowrap="nowrap" valign="top">)</td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Net interest income </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>1,958</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">1,673</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>3,962</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">3,291</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Provision for credit losses </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>1,664</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">830</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>3,128</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">1,511</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Average assets </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>81,588</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">74,580</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>82,182</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">73,084</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td colspan="17"> <div align="left" style="font-size: 10pt; margin-top: 6pt"> <div style="margin-left:35px; text-indent:-35px"><i>(e)       Segment managed results reflect revenue on a tax-equivalent basis, with the corresponding income tax impact recorded within income tax expense. These adjustments are eliminated in reconciling items to arrive at the Firm’s reported U.S. GAAP results. Tax-equivalent adjustments for the three and six months ended June 30, 2009 and 2008, were as follows.</i> </div> </div> </td> </tr> <tr style="font-size: 10pt"> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Three months ended June 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Six months ended June 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Noninterest revenue </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"><b></b></td> <td align="right" valign="top"><b>$ 335</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">$ 247</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"><b></b></td> <td align="right" valign="top"><b>$ 672</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"></td> <td align="right" valign="top">$ 450</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Net interest income </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>87</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">202</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>183</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">326</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Income tax expense </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>422</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">449</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>855</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">776</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> </div> </body> </html>

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Securities gains for the three and six months ended June 30, 2009, respectively, included credit losses of $186 million and $191 million, consisting of $882 million and $887 million of gross unrealized losses, net of $696 million and $696 million recognized in other comprehensive income.