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<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 segment information, see Note 25 on pages 172-175 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>

<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. </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 was accounted for under the purchase method of accounting in accordance with U.S. GAAP for business combinations. The final 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. As the result of the final refinement of the purchase price allocation during the third quarter of 2009, the Firm recognized a $76 million increase in the extraordinary gain. The final summary computation of the purchase price and the allocation of the purchase price to the net assets of Washington Mutual are presented below. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td align="left">(in millions)</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Purchase price</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Purchase price </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,938</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <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">3</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"> <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">1,941</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:30px; text-indent:-15px">Washington Mutual’s net assets before fair value adjustments </div></td> <td> </td> <td align="left">$</td> <td align="right">39,186</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">Washington Mutual’s goodwill and other intangible assets </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(7,566</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:30px; text-indent:-15px">Subtotal </div></td> <td> </td> <td> </td> <td align="right">31,620</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"><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">Securities </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(16</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">Trading assets </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(591</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">Loans </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(30,998</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">Allowance for loan losses </div></td> <td> </td> <td> </td> <td align="right">8,216</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Premises and equipment </div></td> <td> </td> <td> </td> <td align="right">680</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">Accrued interest and accounts receivable </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(243</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">Other assets </div></td> <td> </td> <td> </td> <td align="right">4,010</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"><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">Deposits </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(686</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">Other borrowed funds </div></td> <td> </td> <td> </td> <td align="right">68</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable, accrued expense and other liabilities </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,124</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">Long-term debt </div></td> <td> </td> <td> </td> <td align="right">1,063</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"><b>Fair value of net assets acquired</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">11,999</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">Negative goodwill before allocation to nonfinancial assets </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(10,058</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Negative goodwill allocated to nonfinancial assets<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 align="right">8,076</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>Negative goodwill resulting from the acquisition</b><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 nowrap="nowrap" align="left">$</td> <td align="right">(1,982</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: 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 acquisition was accounted for as a purchase business combination in accordance with U.S. GAAP for business combinations. This guidance requires the assets (including identifiable intangible assets) and liabilities (including executory contracts and other commitments) of an acquired business as of the effective date of the acquisition to be recorded at their respective fair values and consolidated with those of JPMorgan Chase. The fair value of the net assets of Washington Mutual’s banking operations exceeded the $1.9 billion purchase price, resulting in negative goodwill. In accordance with U.S. GAAP for business combinations, noncurrent, nonfinancial assets not held-for-sale, such as premises and equipment and other intangibles, were written down against the negative goodwill. The negative goodwill that remained after writing down transaction-related core deposit intangibles of approximately $4.9 billion and premises and equipment of approximately $3.2 billion was recognized as an extraordinary gain of $2.0 billion.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>The extraordinary gain was recorded net of tax expense in Corporate/Private Equity.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following condensed statement of net assets acquired reflects the final value assigned to the Washington Mutual net assets as of September 25, 2008. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="88%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">September 25, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Cash and due from banks </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,680</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits with banks </div></td> <td> </td> <td> </td> <td align="right"><b>3,517</b></td> <td> </td> </tr> <tr valign="bottom"> <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>1,700</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>5,691</b></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>17,224</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans (net of allowance for loan losses) </div></td> <td> </td> <td> </td> <td align="right"><b>206,456</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accrued interest and accounts receivable </div></td> <td> </td> <td> </td> <td align="right"><b>3,253</b></td> <td> </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"><b>5,874</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">All other assets </div></td> <td> </td> <td> </td> <td align="right"><b>16,596</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">  </div></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"><b>Total assets</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>263,991</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liabilities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>159,872</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>4,549</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>81,636</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>585</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable, accrued expense and other liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>6,708</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>6,718</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:30px; text-indent:-15px"><b>Total liabilities</b> </div></td> <td> </td> <td> </td> <td align="right"><b>260,068</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">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Washington Mutual net assets acquired</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,923</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>  <div style="font-family: 'Times New Roman',Times,serif"> <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 was accounted for under the purchase method of accounting in accordance with U.S. GAAP for business combinations. The final 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 final 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 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 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 style="font-size: 10pt"> <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 style="font-size: 10pt"> <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"><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 through 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 Investment Bank (“IB”) 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 final value assigned to the Bear Stearns net assets as of May 30, 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="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">  </div></td> <td> </td> <td> </td> <td> </td> <td> </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">  </div></td> <td> </td> <td> </td> <td> </td> <td> </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 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 nine months ended September 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="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="3">Three months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Nine months ended</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="3">September 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">September 30, 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">Total net revenue </div></td> <td> </td> <td align="right">$</td> <td align="right">16,962</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">50,923</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net loss </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(3,710</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(12,886</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net loss per common share data</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup><b>:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Basic </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1.14</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(3.87</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="right"> </td> <td align="right">(1.14</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(3.87</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">3,444.6</td> <td> </td> <td> </td> <td> </td> <td align="right">3,432.9</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">3,444.6</td> <td> </td> <td> </td> <td> </td> <td align="right">3,432.9</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 new FASB guidance for participating securities. Accordingly, prior-period amounts have been revised. For further discussion of the guidance, see Note 21 on pages 166-167 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 nine months ended September 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 nine months ended September 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 nine months ended September 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, which resulted in a $220 million adjustment to capital surplus. </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 5, 2009, the Firm issued $5.8 billion, or 163 million shares, of common stock. The common stock was issued to satisfy a regulatory 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 September 30, 2009, and through November 9, 2009 (the date of the filing of this Form 10-Q). There have been no material 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 nine-month periods ending September 30, 2009. </div> </div>   <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><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 fair value 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 nine months 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 September 30, 2009, and December 31, 2008, by major product category and by the fair value 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: 0px solid #000000"> </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="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Netting</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>September 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">adjustments<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>$</b></td> <td align="right"><b>18,931</b></td> <td> </td> <td> </td> <td align="right"><b>$</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>18,931</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>5,458</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>5,458</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">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>37,560</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,544</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>319</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>43,423</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>1,117</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,791</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,908</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>526</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,853</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,379</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>37,560</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,187</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,963</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>49,710</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>25,570</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>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>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25,839</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>8,110</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,189</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,299</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>6,001</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>6,001</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>32,798</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>30,797</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>766</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>64,361</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>48,209</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,310</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>53,519</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>19,183</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,626</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>33,809</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>1,434</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,824</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,258</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>95,928</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>121,190</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>36,678</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>253,796</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>60,888</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,318</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,905</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>66,111</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>7,348</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>574</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>7,922</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>1,360</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,181</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,541</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>164,164</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>126,442</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>39,764</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>330,370</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>3,074</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,763,397</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>48,670</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,721,076</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>94,065</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>167,238</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,889,839</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>88,434</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,721,076</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>424,435</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>181,561</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,347</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>184,908</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>11,721</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>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,763</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>4,528</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>4,528</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>181,561</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19,596</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>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>201,199</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>644</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>39,400</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>40,044</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>5,722</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>6,196</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>6,235</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>6,235</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>6,183</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>17,239</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>23,422</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>1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>49,481</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>49,501</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>25,523</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>25,523</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>12,143</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12,153</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>5,175</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>613</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,788</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>2,591</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>113</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>75</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,779</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>190,980</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>168,494</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,366</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>372,840</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">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>519</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,412</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,931</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>13,663</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,663</b></td> <td> </td> </tr> <tr style="font-size: 10pt"> <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>171</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>503</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,162</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,836</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>7,311</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>96</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,502</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,909</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>7,482</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>599</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,664</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>18,745</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>$</b></td> <td align="right"><b>365,700</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,083,840</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>127,539</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,721,076</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>856,003</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Less: Level 3 assets for which the Firm does not bear economic exposure<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,240</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total recurring level 3 assets for which the Firm bears economic exposure</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>125,299</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: 0px solid #000000"> </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="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Netting</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>September 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">adjustments<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>3,383</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>533</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,916</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>2,693</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>2,693</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>4,948</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>95</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,043</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>53,483</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,738</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>65,233</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>2,178</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,730,562</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>36,398</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,699,924</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>69,214</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>55,661</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,742,300</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>36,410</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,699,924</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>134,447</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>2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>382</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>384</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>741</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,254</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,995</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>33,120</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19,059</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>52,179</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>55,661</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,787,187</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>57,733</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,699,924</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>200,657</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">Netting</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">adjustments<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" 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:30px; 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:15px; 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">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: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">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:45px; 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> </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">Netting</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">adjustments<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 $218.9 billion and $182.1 billion at September 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 117–118.</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 receivable and derivative payable 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 receivable and derivative payable 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 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 receivable and derivative payable balances would be $17.8 billion at September 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 costs of the private equity investment portfolio were $8.6 billion and $8.3 billion at September 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 U.S. GAAP, 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 nine months ended September 30, 2009 and 2008 (including changes in fair value), for financial instruments classified by the Firm within level 3 of the fair value 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 fair value 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="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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </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 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">gains/(losses)</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">related to financial</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">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">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">June 30,</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">September</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at September 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">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">30, 2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">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>257</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>63</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(4</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>319</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3</b></td> <td> </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>2,832</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(140</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(69</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>168</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,791</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(153</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>1,850</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>81</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(81</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,853</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>72</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:45px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></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>(56</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(87</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>167</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,963</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(78</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>2,416</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>18</b></td> <td> </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> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,189</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </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>726</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>27</b></td> <td> </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> </td> <td align="right"><b>31</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>766</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>31</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>5,482</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>200</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(301</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(71</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>5,310</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>132</b></td> <td> </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>15,208</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>299</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>(898</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>17</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,626</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>194</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">Asset-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>7,683</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>609</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>509</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>23</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,824</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>620</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>36,454</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,097</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,040</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>167</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>36,678</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>903</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>1,509</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>47</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(143</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>492</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,905</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>80</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>1,269</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>26</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(90</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(24</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,181</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>22</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 debt and equity instruments</b> </div></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>1,170</b></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"><b>(1,273</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>635</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>39,764</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1,005</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(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>18,348</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(5,777</b></td> <td nowrap="nowrap"><b>)</b><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"><b>(688</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>389</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12,272</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(6,298</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; 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>11,934</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>168</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>654</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12,756</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>165</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>1,677</b></td> <td> </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>(5</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,044</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>610</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(18</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:15px; text-indent:-15px"><b>Total available-for-sale securities</b> </div></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>150</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>649</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,044</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>13,366</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>147</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>1,756</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>7</b></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"><b>(198</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(153</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,412</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(44</b></td> <td nowrap="nowrap"><b>)</b><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">Mortgage servicing rights </div></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>(1,096</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>159</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,663</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><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">  </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>6,129</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(103</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>136</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,162</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(98</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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>4,489</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(63</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(g)</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>4,502</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(56</b></td> <td nowrap="nowrap"><b>)</b><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>  </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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </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 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">(gains)/losses</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">related to financial</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">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">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">June 30,</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">September</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at September 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">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">30, 2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">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>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"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>627</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>28</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(117</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>533</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>22</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></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>134</b></td> <td> </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>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(41</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>95</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1</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">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> </td> <td align="right"><b>53</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>6</b></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"><b>(47</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>12</b></td> <td> </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>(e)</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"><b>437</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(56</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></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>382</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(57</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></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>1,060</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>246</b></td> <td><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"><b>(52</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>1,254</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>241</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">Long-term debt </div></td> <td> </td> <td> </td> <td align="right"><b>17,473</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1,274</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>616</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(304</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>19,059</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1,352</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </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 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">gains/(losses)</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">related to financial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Three months ended</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">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">September 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">June 30,</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">September</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at September 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">2008</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">30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">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">58,896</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(4,288</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(12,884</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">4,658</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">46,382</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(3,515</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">5,975</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2,535</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">(1,399</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">780</td> <td> </td> <td> </td> <td> </td> <td align="right">7,891</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3,248</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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">271</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(741</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">1,644</td> <td> </td> <td> </td> <td> </td> <td align="right">9,479</td> <td> </td> <td> </td> <td> </td> <td align="right">10,653</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(740</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">8,329</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(317</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">(651</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">104</td> <td> </td> <td> </td> <td> </td> <td align="right">7,465</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(295</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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">11,617</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(797</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">6,228</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">17,048</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(797</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 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">7,001</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(214</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">140</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">6,927</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(195</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:30px; text-indent:-15px">All other </div></td> <td> </td> <td> </td> <td align="right">4,931</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(155</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">883</td> <td> </td> <td> </td> <td> </td> <td align="right">13</td> <td> </td> <td> </td> <td> </td> <td align="right">5,672</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(120</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>  </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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </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 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">(gains)/losses</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">related to financial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Three months ended</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">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">September 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">June 30,</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">September</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at September 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">2008</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">30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">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>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 align="right">$</td> <td align="right">1,328</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(89</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">78</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,317</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(90</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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> </td> <td align="right">300</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(28</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">(168</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">9</td> <td> </td> <td> </td> <td> </td> <td align="right">113</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(31</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">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> </td> <td align="right">870</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(93</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">(177</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(211</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">389</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(112</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">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> </td> <td align="right">8,151</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(7,532</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">595</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 align="right">22,976</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,883</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">(630</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">16</td> <td> </td> <td> </td> <td> </td> <td align="right">19,479</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,209</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </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 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">gains/(losses)</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">related to financial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Nine 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">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 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">September</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at September 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">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">30, 2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">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>$</b></td> <td align="right"><b>(32</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>119</b></td> <td> </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>319</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(31</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>(688</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>498</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(358</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>2,791</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(743</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>2,487</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(160</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(326</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(148</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,853</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(206</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>(880</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>291</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> </td> <td align="right"><b>4,963</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(980</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>71</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(523</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>2,189</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(7</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>52</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>65</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>766</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>22</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> </td> <td align="right"><b>36</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3,403</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>3,397</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,310</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 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>(889</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>(1,852</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>276</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,626</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(989</b></td> <td nowrap="nowrap"><b>)</b><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: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>1,278</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>637</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> <td> </td> <td> </td> <td align="right"><b>8,824</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>903</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>(332</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4,908</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>3,104</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>36,678</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,060</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>(200</b></td> <td nowrap="nowrap"><b>)</b></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> </td> <td align="right"><b>1,227</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>(107</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>(81</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>4</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>1,181</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>96</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 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>(613</b></td> <td nowrap="nowrap"><b>)</b><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"><b>(5,406</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>4,363</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>39,764</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,071</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(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>(10,715</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2,921</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>16,401</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12,272</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(10,127</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; 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> </td> <td align="right"><b>30</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,104</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>12,756</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>168</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>944</b></td> <td> </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> </td> <td align="right"><b>242</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(498</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>610</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(82</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: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>(48</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>1,346</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(323</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>13,366</b></td> <td> </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>(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" style="background: #cceeff"> <td> <div style="margin-left:30px; 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>(471</b></td> <td nowrap="nowrap"><b>)</b><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"><b>(1,507</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>723</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,412</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(469</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; 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>4,045</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>215</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,663</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>4,045</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">  </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">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>6,369</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(576</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>299</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>6,162</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(557</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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>5,015</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(597</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>142</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>4,502</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(525</b></td> <td nowrap="nowrap"><b>)</b><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>  </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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </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 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">(gains)/losses</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">related to financial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Nine 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">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 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">September</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at September 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">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">30, 2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">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>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 align="right"><b>$</b></td> <td align="right"><b>1,235</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>51</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(810</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>57</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>533</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>25</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></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>101</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(84</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>35</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>43</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>95</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b><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">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:15px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td> </td> <td align="right"><b>288</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>64</b></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"><b>(337</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> </td> <td align="right"><b>12</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1</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">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>(60</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>442</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>382</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(61</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></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 nowrap="nowrap" align="right"> </td> <td align="right"><b>407</b></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"><b>(32</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>879</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,254</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>390</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">Long-term debt </div></td> <td> </td> <td> </td> <td align="right"><b>16,548</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1,315</b></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"><b>(1,935</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>3,131</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19,059</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1,015</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </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 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">gains/(losses)</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">related to financial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Nine months ended</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">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">September 30, 2008</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">September</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at September 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">2008</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">30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">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">$</td> <td align="right">(7,500</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(d)(e)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">8,427</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">21,389</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">46,382</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(6,628</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">5,328</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">440</td> <td> </td> <td> </td> <td> </td> <td align="right">1,490</td> <td> </td> <td> </td> <td> </td> <td align="right">7,891</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">6,146</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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">(850</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">1,982</td> <td> </td> <td> </td> <td> </td> <td align="right">9,420</td> <td> </td> <td> </td> <td> </td> <td align="right">10,653</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(748</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">(638</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">323</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(600</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">7,465</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(845</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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">87</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">8,329</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">17,048</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">87</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 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">448</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">(284</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">6,927</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(195</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: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">(168</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">2,659</td> <td> </td> <td> </td> <td> </td> <td align="right">21</td> <td> </td> <td> </td> <td> </td> <td align="right">5,672</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(114</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>  </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="19" style="border-bottom: 0px solid #000000"> </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 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">(gains)/losses</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">related to financial</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Nine months ended</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">instruments held</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">September 30, 2008</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">September</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">at September 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">2008</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">30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">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>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 align="right">$</td> <td align="right">1,161</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(12</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">116</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">52</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,317</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(10</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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> </td> <td align="right">105</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>(e)</i></sup></td> <td> </td> <td> </td> <td align="right">33</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(58</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">113</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(38</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">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> </td> <td align="right">480</td> <td> </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>(e)</i></sup></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">(68</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">389</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(271</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">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right">25</td> <td> </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>(e)</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> </td> <td align="right">82</td> <td> </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>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(8</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">545</td> <td> </td> <td> </td> <td> </td> <td align="right">595</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 align="right">21,938</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,846</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">(234</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">621</td> <td> </td> <td> </td> <td> </td> <td align="right">19,479</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,496</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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 117-118.</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 costs of the private equity investment portfolio were $8.6 billion and $8.3 billion at September 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 September 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>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>(e)</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>(f)</i></td> <td> </td> <td><i>Realized gains and losses on available-for-sale securities, as well as other-than-temporary impairment losses that are recorded in earnings, are reported in securities gains. Unrealized gains and losses are reported in accumulated other comprehensive income.</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>  <div style="font-family: 'Times New Roman',Times,serif"> <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 fair value hierarchy (as described above) as of September 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>September 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Level 1</td> <td> </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="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6,249</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,869</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8,118</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other real estate owned </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>173</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>403</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>576</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>215</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>215</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total other assets </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>173</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>618</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>791</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total assets at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6,422</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,487</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8,909</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>87</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>31</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>118</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total liabilities at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>87</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>31</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>118</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008 (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Level 1</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 2</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total fair value</td> </tr>   <tr style="font-size: 1px"> <td colspan="17" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Loans<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">4,991</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">3,999</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">8,990</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">  </div></td> <td> </td> <td align="left" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"> </td> <td valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"> </td> <td valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"> </td> <td valign="top"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Other real estate owned </div></td> <td> </td> <td align="left"> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">706</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">103</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">809</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">Other assets </div></td> <td> </td> <td align="left"> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">1,057</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">188</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">1,245</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 valign="top"> <div style="margin-left:0px; text-indent:-0px">Total other assets </div></td> <td> </td> <td align="left"> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">1,763</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">291</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">2,054</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" valign="top" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px"><b>Total assets at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">6,754</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">4,290</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">11,044</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" valign="top" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Accounts payable and other liabilities<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">212</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">98</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">310</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" valign="top" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px"><b>Total liabilities at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">212</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">98</td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">310</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" valign="top" 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, at September 30, 2009, and December 31, 2008, the fair value adjustment associated with $654 million and $1.5 billion, respectively, of unfunded held-for-sale lending-related commitments within the leveraged lending portfolio.</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 nine months ended September 30, 2009 and 2008, related to financial instruments held at those dates. </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">Three months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Nine months ended</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">September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">September 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>(1,030</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,071</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(3,094</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,524</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(53</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(134</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(94</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(225</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>29</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(34</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>12</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(84</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total nonrecurring fair value gains/(losses)</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,054</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,239</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(3,176</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,833</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: 6pt">In the above table, loans predominantly include: (1) write-downs of delinquent 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 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>  <div style="font-family: 'Times New Roman',Times,serif"> <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: 6pt">Level 3 assets (including assets measured at fair value on a nonrecurring basis) were 6% of total Firm assets at September 30, 2009. The following describes significant changes to level 3 assets during the quarter. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><i>For the three months ended September 30, 2009</i></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Level 3 assets were $130.0 billion at September 30, 2009, reflecting a decrease of $11.7 billion in the third quarter of 2009. The decline was largely due to a $9.2 billion decrease in derivative receivables, predominantly due to the tightening of credit spreads. In addition, mortgage servicing rights (“MSRs”) decreased by $937 million due to market, interest rates and other changes affecting the Firm’s estimate of future prepayments, partially offset by sales in Retail Financial Services (“RFS”) of originated loans for which servicing rights were retained. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><i>For the nine months ended September 30, 2009</i></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Level 3 assets decreased by $4.6 billion in the first nine months 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>A net decrease of $4.3 billion in derivative receivables, which was mainly driven by: a $20.4 billion decline due to tightening credit spreads; a $17.7 billion transfer of single-name CDS on ABS from level 3 to level 2; and $3.6 billion related to sales of CDS positions on commercial- and residential mortgage-backed securities. The decrease was predominantly offset by the transfer of structured credit derivative receivables from level 2 to level 3, resulting from a decrease in transaction activity and the lack of observable market data. At September 30, 2009, the fair value of these receivables was approximately $24.3 billion. Offsetting these receivables were derivative payables with a fair value of $14.1 billion at September 30, 2009.</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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>A net increase of $4.3 billion in MSRs, primarily due to market interest rates and other changes affecting the Firm’s estimate of future prepayments, partially offset by sales in RFS of originated loans for which servicing rights were retained.</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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>A net decrease of $2.4 billion, driven by sales of leveraged loans and transfers of similar loans to level 2 due to the increased price transparency for such 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>A net decrease of $1.7 billion in trading assets—debt and equity instruments, primarily in loans and residential- and commercial mortgage-backed securities, principally driven by sales and markdowns, and by sales and unwinds of structured transactions with hedge funds. The declines were partially offset by a transfer of certain structured notes reflecting lower liquidity and less pricing observability, and increases in other 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"><u><i>Included in the tables for the three months ended September 30, 2009</i></u> </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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$5.8 billion of net losses on derivatives primarily related to credit spread tightening.</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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$1.2 billion in gains on trading—debt and equity assets, predominantly from other asset-backed securities and 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$1.1 billion of losses 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$1.3 billion of losses related to structured note liabilities, predominantly due to volatility in equity markets.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><i>Included in the tables for the three months ended September 30, 2008</i></u> </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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$4.3 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$860 million of losses 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$797 million of losses 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Net gains of approximately $2.5 billion, principally related to equity derivatives 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Losses on private equity instruments of approximately $214 million.</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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$2.9 billion of gains related to structured notes, principally due to significant volatility in the fixed income, commodities and equity markets.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><i>Included in the tables for the nine months ended September 30, 2009</i></u> </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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$10.7 billion of net losses on derivatives primarily related to credit spread tightening.</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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$1.9 billion of losses on trading—debt and equity assets primarily related to residential and commercial loans and mortgage-backed securities, principally driven by markdowns and sales. These losses were partially offset by gains of $1.3 billion on other 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$4.0 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$1.3 billion of losses related to structured note liabilities, predominantly due to volatility in the equity markets.</td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><i>Included in the tables for the nine months ended September 30, 2008</i></u> </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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Losses on trading—debt and equity instruments of approximately $7.5 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Losses of approximately $2.5 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Net gains of $5.3 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Gains of $2.8 billion related to structured notes, principally due to significant volatility in the fixed income, commodities and equity markets.</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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Private equity gains of approximately $448 million.</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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Gains of $87 million on MSRs.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><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, and 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 118 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="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="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"> </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>September 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">Net gains/(losses) reported in income<sup style="font-size: 85%; vertical-align: text-top"><i>(e)(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">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">Three months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Nine months 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">September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">September 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">Gross</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">activities<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Gross</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">activities<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</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> </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>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>3,970</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,970</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,612</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,612</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Alt-A </div></td> <td> </td> <td> </td> <td align="right"><b>3,353</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,353</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,934</td> <td> </td> <td> </td> <td> </td> <td align="right">3,917</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td align="right"><b>7,323</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,323</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,546</td> <td> </td> <td> </td> <td> </td> <td align="right">8,529</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>388</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,097</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>226</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(3,376</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>646</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>191</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>(27</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(133</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(57</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(370</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>1,763</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,499</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>48</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(192</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>44</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(252</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>2,435</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,779</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>38</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(149</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>293</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(508</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>2,952</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,935</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>(18</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(216</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(402</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(313</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: 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>Included exposures in IB, CIO and RFS.</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>Excluded, at September 30, 2009, and December 31, 2008, 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 $43.4 billion and $58.9 billion, respectively; (ii) conforming mortgage loans originated with the intent to sell to U.S. government agencies and U.S. government sponsored enterprises of $11.3 billion and $6.2 billion, respectively; and (iii) reverse mortgages of $4.6 billion and $4.3 billion, respectively, for which the principal risk is mortality risk. Also excluded mortgage servicing rights, which are reported in Note 17 on pages 162—163 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>(c)</i></td> <td> </td> <td><i>Excluded certain mortgage-related financing transactions, which are collateralized by mortgage-related assets, of $4.1 billion and $5.7 billion at September 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, $152 million and $1.2 billion were considered impaired at September 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>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: 3pt"> <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: 3pt"> <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 $4.0 billion of prime mortgage exposure at September 30, 2009, approximately $1.8 billion relates to first-lien mortgages predominantly classified in level 3. The remaining $2.2 billion relates to securities of $1.5 billion where $160 million was classified in level 2 and $1.4 billion was classified in level 3; and $686 million of forward purchase commitments, reported in derivative receivables, which were classified 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 September 30, 2009, approximately $2.5 billion relates to first-lien mortgages classified in level 3. The remaining $894 million relates to securities, which are largely rated BB+ and below, where $337 million was classified in level 2, and $557 million was classified in level 3. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Subprime mortgage </i>— Of the $646 million of subprime mortgage exposure at September 30, 2009, $445 million relates to securities, predominantly rated BB+ and below, where $17 million was classified in level 2, and $428 million was classified in level 3. The remaining $201 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 mortgages</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Of the $1.8 billion of non-U.S. residential mortgage exposure at September 30, 2009, $1.0 billion relates to securities, largely rated “AAA,” where $603 million was classified in level 2, and $443 million was classified in level 3. The remaining $717 million relates to first-lien mortgages classified in level 3. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Commercial mortgages</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Of the $5.4 billion of commercial mortgage exposure at September 30, 2009, $3.0 billion relates to first-lien mortgages, largely in the U.S., classified in level 3. The remaining $2.4 billion relates to securities, which are largely rated “AA” and above, where $506 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: 7pt; 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: 7pt" 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) included in other</td> </tr> <tr style="font-size: 7pt" 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="15" style="border-bottom: 1px solid #000000">Net gains/(losses) 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">comprehensive income (pretax)</td> </tr> <tr style="font-size: 7pt" 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">Three months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Nine months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Three months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Nine months ended</td> </tr> <tr style="font-size: 7pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 0px solid #000000"><b>September 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">September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">September 30,</td> </tr> <tr style="font-size: 7pt" 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>184,908</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>80</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">407</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>519</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">404</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,525</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">532</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,130</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(494</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>4,802</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>(16</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>(251</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>549</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(391</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>579</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(570</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>35</b></td> <td> </td> <td> </td> <td> </td> <td align="right">194</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </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"><b>(34</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(41</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(41</td> <td nowrap="nowrap">)</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">(43</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>6,926</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,075</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>302</b></td> <td> </td> <td> </td> <td> </td> <td align="right">12</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>339</b></td> <td> </td> <td> </td> <td> </td> <td align="right">12</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>4,528</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,939</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 nowrap="nowrap" align="right"> </td> <td align="right"><b>(25</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>530</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>671</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>201,199</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"><b>80</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">397</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>209</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">365</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,907</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">112</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,739</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,095</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>34,356</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,657</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>5</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>263</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"> </td> <td align="right"><b>(15</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: 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>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 $235.6 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 September 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 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 136—141 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 under U.S. GAAP. 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 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>September 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>94,065</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>(3,728</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" 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>69,214</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>(808</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" 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)(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>61,138</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 </div></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">(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: 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>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: 3pt"> <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: 3pt"> <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 the fair value option. For further information on these elections, see Note 4 on pages 121–123 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 on earnings in the respective periods, excluding the effect of any hedging activity. </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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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>1,439</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(977</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,838</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,349</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>(202</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">229</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(581</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">868</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>(840</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">727</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,301</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">1,933</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: 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>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: 3pt"> <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 the fair value option. For further information on these elections, see Note 4 on pages 121–123 of this Form 10-Q.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Additional disclosures about the fair value of financial instruments (including financial instruments not carried at fair value)</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">U.S. GAAP 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 these disclosure requirements are included in the following table. Additionally, certain financial instruments and all nonfinancial instruments are excluded from the scope. Accordingly, the fair value disclosures required 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"><i>Financial instruments for which carrying value approximates fair value</i> </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; 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, U.S. GAAP 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; recognition of the inherent funding value of these instruments is not allowed. </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. </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>September 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>140.6</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>140.6</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right">—</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 $18.9 and $20.8 at fair value at September 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>171.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>171.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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 $5.5 and $3.4 at fair value at September 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>128.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>128.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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>424.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>424.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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 (included $372.8 and $205.9 at fair value at September 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>372.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>372.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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 $1.9 and $7.7 at fair value at September 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>622.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>615.8</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(6.7</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>13.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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> <div style="margin-left:15px; text-indent:-15px">Other (included $18.7 and $29.2 at fair value at September 30, 2009, and December 31, 2008, respectively)<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>76.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>76.5</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(0.2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">83.0</td> <td> </td> <td> </td> <td> </td> <td align="right">83.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total financial assets</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,949.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,943.0</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(6.9</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 $3.9 and $5.6 at fair value at September 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>868.0</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>869.1</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1.1</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 $2.7 and $3.0 at fair value at September 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>310.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>310.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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>53.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>53.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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 $5.0 and $14.7 at fair value at September 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>50.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>51.2</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(0.4</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>134.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>134.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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 nowrap="nowrap"> <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>148.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>148.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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 $2.0 and $1.7 at fair value at September 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>17.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>17.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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 $52.2 and $58.2 at fair value at September 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>272.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>271.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">270.7</td> <td> </td> <td> </td> <td> </td> <td align="right">262.1</td> <td> </td> <td> </td> <td> </td> <td align="right">8.6</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total financial liabilities</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,855.4</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,855.8</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(0.4</b></td> <td nowrap="nowrap"><b>)</b></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">$</td> <td align="right">6.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px"><b>Net (depreciation) appreciation</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(7.3</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: 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> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">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 September 30, 2009, and December 31, 2008, were liabilities of $1.7 billion and $7.5 billion, respectively. The Firm does not estimate the fair value of consumer lending-related 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: 6pt">Average trading assets and liabilities were as follows for the periods indicated. </div> <div align="center"> <table style="font-size: 9pt; 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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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 nowrap="nowrap"> <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>316,938</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">391,060</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>313,586</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">398,119</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets — derivative receivables </div></td> <td> </td> <td> </td> <td align="right"><b>99,807</b></td> <td> </td> <td> </td> <td> </td> <td align="right">111,214</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>118,560</b></td> <td> </td> <td> </td> <td> </td> <td align="right">104,816</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Trading liabilities — debt and equity instruments<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>59,843</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">87,516</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>56,451</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">86,317</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>75,458</b></td> <td> </td> <td> </td> <td> </td> <td align="right">83,805</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>82,781</b></td> <td> </td> <td> </td> <td> </td> <td align="right">81,568</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: 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>Primarily represent securities sold, not yet purchased.</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"><u><b>NOTE 4 — FAIR VALUE OPTION </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">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: 12pt"><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 nine months ended September 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 September 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 align="right"><b>$</b></td> <td align="right"><b>161</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>161</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(28</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">(28</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> </td> <td align="right"><b>100</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>100</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(13</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">(13</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" 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>200</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>196</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(354</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">(354</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>132</b></td> <td> </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>(c)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>137</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(3,099</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(78</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">(3,177</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>397</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>965</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>1,362</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(197</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">306</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">109</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"> <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>29</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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">(457</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">(457</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>(53</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>(53</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(39</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">(39</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>(87</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>(87</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">(88</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">(88</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>(313</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>(313</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">264</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">264</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 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">(1</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">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>(1,092</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>(1,092</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">783</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">783</td> <td> </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>(8</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>(8</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">24</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 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>(277</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>(277</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">337</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">337</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="right"> </td> <td align="right"><b>(59</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>(59</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">—</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>(831</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>(831</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">714</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">714</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>(1,002</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>(1,002</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">10,945</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">10,945</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">Nine months ended September 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>$</b></td> <td align="right"><b>(334</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(334</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right">$</td> <td align="right">123</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">123</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>81</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>81</b></td> <td> </td> <td> </td> <td> </td> <td align="right">66</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">66</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>504</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>15</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>519</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(230</td> <td nowrap="nowrap">)</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 nowrap="nowrap" align="right"> </td> <td align="right">(215</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 nowrap="nowrap" align="right"> </td> <td align="right"><b>(340</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"><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>(500</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(4,712</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(128</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">(4,840</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>1,109</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>2,397</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>3,506</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(192</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">715</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">523</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"> <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>(300</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>(300</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(957</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">(957</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>(179</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>(179</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">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>(675</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>(675</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">(129</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">(129</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>(499</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>(499</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(105</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">(105</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>75</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>75</b></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">2</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>(1,238</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>(1,238</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">695</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">695</td> <td> </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>(23</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>(23</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">26</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">26</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>(401</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>(401</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">368</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">368</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="right"> </td> <td align="right"><b>(55</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>(55</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">—</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>(1,225</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>(1,225</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">1,892</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,892</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>(2,773</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>(2,773</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">10,505</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">10,505</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: 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>Total changes in instrument-specific credit risk related to structured notes were $(840) million and $727 million for the three months ended September 30, 2009 and 2008, respectively; and $(1.3) billion and $1.9 billion for the nine months ended September 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: 3pt"> <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 and loans purchased as part of IB’s trading activities.</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>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>(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 September 30, 2009, and December 31, 2008, for loans and long-term debt for which the 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>September 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> <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>6,690</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,949</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4,741</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>1,134</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>149</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(985</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>7,824</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,098</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(5,726</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>39,399</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>31,860</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(7,539</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>3,212</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,588</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,624</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>50,435</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>35,546</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(14,889</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>27,352</b></td> <td nowrap="nowrap"><b></b><sup style="font-size: 85%; vertical-align: text-top"><b><i>(c)</i></b></sup></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>26,975</b></td> <td nowrap="nowrap"><b></b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(377</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">$</td> <td align="right">(802</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Nonprincipal protected debt<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>25,204</b></td> <td nowrap="nowrap"><b> </b></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NA</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">31,973</td> <td nowrap="nowrap"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NA</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total long-term debt</b> </div></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>52,179</b></td> <td nowrap="nowrap"><b> </b></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NA</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">58,214</td> <td nowrap="nowrap"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NA</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Long-term beneficial interests</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Principal protected debt </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>112</b></td> <td nowrap="nowrap"><b> </b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>112</b></td> <td nowrap="nowrap"><b> </b></td> <td> </td> <td align="right"><b>$</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">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Nonprincipal protected debt<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1,883</b></td> <td nowrap="nowrap"><b> </b></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NA</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1,735</td> <td nowrap="nowrap"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">NA</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total long-term beneficial interests</b> </div></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>1,995</b></td> <td nowrap="nowrap"><b> </b></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" 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 colspan="2" 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: 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>Loans reported as trading assets have been revised for the prior period.</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>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: 3pt"> <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>

<div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 5 — DERIVATIVE INSTRUMENTS </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Derivative instruments enable end-users to transform or mitigate exposure to credit or market risks. Counterparties to a derivative contract seek to obtain risks and rewards similar to those that could be obtained from purchasing or selling a related cash instrument without having to exchange the full purchase or sales price upfront. JPMorgan Chase makes markets in derivatives for customers and also uses derivatives to hedge or manage risks of market exposures. The majority of the Firm’s derivatives are entered into for market-making purposes. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Trading Derivatives</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm transacts in a variety of derivatives in its trading portfolios to meet the needs of customers (both dealers and clients) and to generate revenue through this trading activity. The Firm makes markets in derivatives for its customers (collectively, “client derivatives”), seeking to mitigate or transform interest rate, credit, foreign exchange, equity and commodity risks. The Firm actively manages the risks from its exposure to these derivatives by entering into other derivative transactions or by purchasing or selling other financial instruments that partially or fully offset the exposure from client derivatives. The Firm also seeks to earn a spread between the client derivatives and offsetting positions, and from the remaining open risk positions. For more information about trading derivatives, see the trading derivatives gains and losses table on page 129 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Risk Management Derivatives</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm manages its market exposures using various derivative instruments. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Interest rate contracts are used to minimize fluctuations in earnings that are caused by changes in interest rates. Fixed-rate assets and liabilities appreciate or depreciate in market value as interest rates change. Similarly, interest income and expense increase or decrease as a result of variable-rate assets and liabilities resetting to current market rates, and as a result of the repayment and subsequent origination or issuance of fixed-rate assets and liabilities at current market rates. Gains or losses on the derivative instruments that are related to such assets and liabilities are expected to substantially offset this variability in earnings. The Firm generally uses interest rate swaps, forwards and futures to manage the impact of interest rate fluctuations on earnings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Foreign currency forward contracts are used to manage the foreign exchange risk associated with certain foreign currency—denominated (i.e., non-U.S.) assets and liabilities and forecasted transactions, as well as the Firm’s net investments in certain non-U.S. subsidiaries or branches whose functional currencies are not the U.S. dollar. As a result of fluctuations in foreign currencies, the U.S. dollar—equivalent values of the foreign currency—denominated assets and liabilities or forecasted revenue or expense increase or decrease. Gains or losses on the derivative instruments related to these foreign currency—denominated assets or liabilities, or forecasted transactions, are expected to substantially offset this variability. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Gold forward contracts are used to manage the price risk of gold inventory in the Firm’s commodities portfolio. Gains or losses on the gold forwards are expected to substantially offset the depreciation or appreciation of the inventory as a result of gold price changes. Also in the commodities portfolio, electricity and natural gas futures and forwards contracts are used to manage price risk associated with energy-related tolling and load-serving contracts and investments. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm uses credit derivatives to manage the counterparty credit risk associated with loans and lending-related commitments. Credit derivatives compensate the purchaser when the entity referenced in the contract experiences a credit event, such as bankruptcy or a failure to pay an obligation when due. For a further discussion of credit derivatives, see the discussion in the Credit derivatives section on pages 130–131 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For more information about risk management derivatives, see the risk management derivatives gains and losses table on page 129 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Notional amount of derivative contracts</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the notional amount of derivative contracts outstanding as of September 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="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">Notional amounts<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></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"><b>September 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>Interest rate contracts</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">Swaps<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>48,893</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">54,524</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Futures and forwards </div></td> <td> </td> <td> </td> <td align="right"><b>6,066</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,277</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Written options </div></td> <td> </td> <td> </td> <td align="right"><b>4,762</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,803</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Purchased options </div></td> <td> </td> <td> </td> <td align="right"><b>4,617</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,656</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 interest rate contracts</b> </div></td> <td> </td> <td> </td> <td align="right"><b>64,338</b></td> <td> </td> <td> </td> <td> </td> <td align="right">70,260</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>Credit derivatives</b><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>6,376</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,388</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>Foreign exchange contracts</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">Cross-currency swaps<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>2,043</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,681</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Spot, futures and forwards </div></td> <td> </td> <td> </td> <td align="right"><b>3,973</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,744</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Written options </div></td> <td> </td> <td> </td> <td align="right"><b>685</b></td> <td> </td> <td> </td> <td> </td> <td align="right">972</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Purchased options </div></td> <td> </td> <td> </td> <td align="right"><b>700</b></td> <td> </td> <td> </td> <td> </td> <td align="right">959</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 foreign exchange contracts</b> </div></td> <td> </td> <td> </td> <td align="right"><b>7,401</b></td> <td> </td> <td> </td> <td> </td> <td align="right">7,356</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>Equity contracts</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">Swaps </div></td> <td> </td> <td> </td> <td align="right"><b>86</b></td> <td> </td> <td> </td> <td> </td> <td align="right">77</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Futures and forwards </div></td> <td> </td> <td> </td> <td align="right"><b>54</b></td> <td> </td> <td> </td> <td> </td> <td align="right">56</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Written options </div></td> <td> </td> <td> </td> <td align="right"><b>698</b></td> <td> </td> <td> </td> <td> </td> <td align="right">628</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Purchased options </div></td> <td> </td> <td> </td> <td align="right"><b>658</b></td> <td> </td> <td> </td> <td> </td> <td align="right">652</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 equity contracts</b> </div></td> <td> </td> <td> </td> <td align="right"><b>1,496</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,413</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>Commodity contracts</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">Swaps </div></td> <td> </td> <td> </td> <td align="right"><b>181</b></td> <td> </td> <td> </td> <td> </td> <td align="right">234</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Spot, futures and forwards </div></td> <td> </td> <td> </td> <td align="right"><b>104</b></td> <td> </td> <td> </td> <td> </td> <td align="right">115</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Written options </div></td> <td> </td> <td> </td> <td align="right"><b>202</b></td> <td> </td> <td> </td> <td> </td> <td align="right">206</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Purchased options </div></td> <td> </td> <td> </td> <td align="right"><b>193</b></td> <td> </td> <td> </td> <td> </td> <td align="right">198</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 commodity contracts</b> </div></td> <td> </td> <td> </td> <td align="right"><b>680</b></td> <td> </td> <td> </td> <td> </td> <td align="right">753</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 derivative notional amounts</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>80,291</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">88,170</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>During the first quarter of 2009, cross-currency interest rate swaps previously reported in interest rate contracts were reclassified to foreign exchange contracts to be more consistent with industry practice. The effect of this change resulted in a reclassification of $1.7 trillion in notional amount of cross-currency swaps from interest rate contracts to foreign exchange contracts as of December 31, 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>Primarily consists of credit default swaps. For more information on volumes and types of credit derivative contracts, see the credit derivative discussion on pages 130—131 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>(c)</i></td> <td> </td> <td><i>Represents the sum of gross long and gross short third-party notional derivative contracts.</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">While the notional amounts disclosed above indicate the volume of the Firm’s derivative activity, the notional amounts significantly exceed, in the Firm’s view, the possible losses that could arise from such transactions. For most derivative transactions, the notional amount does not change hands; it is used simply as a reference to calculate payments. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Accounting for Derivatives</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">All free-standing derivatives are required to be recorded on the Consolidated Balance Sheets at fair value. The accounting for changes in value of a derivative depends on whether or not the contract has been designated and qualifies for hedge accounting. Derivatives that are not designated as hedges are marked to market through earnings. The tabular disclosures on pages 126–131 of this Form 10-Q provide additional information on the amount of and reporting for derivative assets, liabilities, gains and losses. For further discussion of derivatives embedded in structured notes, see Notes 4 and 5 on pages 129–143 and 144–146, respectively, of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Derivatives designated as hedges</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm applies hedge accounting to certain derivatives executed for risk management purposes — typically interest rate, foreign exchange and gold derivatives, as described above. JPMorgan Chase does not seek to apply hedge accounting to all of the Firm’s risk management activities involving derivatives. For example, the Firm does not apply hedge accounting to purchased credit default swaps used to manage the credit risk of loans and commitments, because of the difficulties in qualifying such contracts as hedges. For the same reason, the Firm does not apply hedge accounting to certain interest rate derivatives used for risk management purposes, or to commodity derivatives used to manage the price risk of tolling and load-serving contracts. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">To qualify for hedge accounting, a derivative must be highly effective at reducing the risk associated with the exposure being hedged. In addition, for a derivative to be designated as a hedge, the risk management objective and strategy must be documented. Hedge documentation must identify the derivative hedging instrument, the asset or liability and type of risk to be hedged, and how the effectiveness of the derivative will be assessed prospectively and retrospectively. To assess effectiveness, the Firm uses statistical methods such as regression analysis, as well as nonstatistical methods including dollar-value comparisons of the change in the fair value of the derivative to the change in the fair value or cash flows of the hedged item. The extent to which a derivative has been, and is expected to continue to be, effective at offsetting changes in the fair value or cash flows of the hedged item must be assessed and documented at least quarterly. Any hedge ineffectiveness (i.e., the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk) must be reported in current-period earnings. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">There are three types of hedge accounting designations: fair value hedges, cash flow hedges and net investment hedges. JPMorgan Chase uses fair value hedges primarily to hedge fixed-rate long-term debt, available-for-sale (“AFS”) securities and gold inventory. For qualifying fair value hedges, the changes in the fair value of the derivative, and in the value of the hedged item for the risk being hedged, are recognized in earnings. If the hedge relationship is terminated, then the fair value adjustment to the hedged item continues to be reported as part of the basis of the hedged item and is amortized to earnings as a yield adjustment. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase uses cash flow hedges to hedge the exposure to variability in cash flows from floating-rate financial instruments and forecasted transactions, primarily the rollover of short-term assets and liabilities, and foreign currency—denominated revenue and expense. For qualifying cash flow hedges, the effective portion of the change in the fair value of the derivative is recorded in other comprehensive income/(loss) (“OCI”) and recognized in the Consolidated Statements of Income when the hedged cash flows affect earnings. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item — primarily interest income, interest expense, noninterest revenue and compensation expense. The ineffective portions of cash flow hedges are immediately recognized in earnings. If the hedge relationship is terminated, then the value of the derivative recorded in accumulated other comprehensive income/(loss) (“AOCI”) is recognized in earnings when the cash flows that were hedged affect earnings. For hedge relationships that are discontinued because a forecasted transaction is not expected to occur according to the original hedge forecast, any related derivative values recorded in AOCI are immediately recognized in earnings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase uses foreign currency hedges to protect the value of the Firm’s net investments in certain non-U.S. subsidiaries or branches whose functional currencies are not the U.S. dollar. For qualifying net investment hedges, changes in the fair value of the derivatives are recorded in the translation adjustments account within AOCI. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Impact of derivatives on the Consolidated Balance Sheets</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes information on derivative fair values that are reflected on the Firm’s Consolidated Balance Sheets as of September 30, 2009, by accounting designation (e.g., whether the derivatives were designated as hedges or not) and contract type. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Free-standing derivatives</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </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">Derivative receivables</td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Derivative payables</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Not designated as</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Designated as</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total derivative</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Not designated</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Designated as</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total derivative</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">hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">receivables</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">as hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">payables</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>Trading assets and 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:30px; text-indent:-15px">Interest rate </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,345,970</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8,579</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,354,549</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,316,078</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>148</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,316,226</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Credit </div></td> <td> </td> <td> </td> <td align="right"><b>202,994</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>202,994</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>195,648</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>195,648</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Foreign exchange </div></td> <td> </td> <td> </td> <td align="right"><b>164,338</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,571</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>166,909</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>166,167</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>818</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>166,985</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Equity </div></td> <td> </td> <td> </td> <td align="right"><b>53,492</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>53,492</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>56,625</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>56,625</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Commodity </div></td> <td> </td> <td> </td> <td align="right"><b>37,197</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>37,197</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>33,654</b></td> <td> </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>(c)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>33,654</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>Gross fair value of trading assets and liabilities</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,803,991</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>11,150</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,815,141</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,768,172</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>966</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,769,138</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Netting adjustment<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,721,076</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,699,924</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Carrying value of derivative trading assets and trading liabilities on the Consolidated Balance Sheets</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>94,065</b></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>$</b></td> <td align="right"><b>69,214</b></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: 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>Excludes structured notes for which the fair value option has been elected. See Note 4 on pages 121–123 of this Form 10-Q for further information.</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>U.S. GAAP permits the netting of derivative receivables and payables, and the related cash collateral received and paid when a legally enforceable master netting agreement exists between the Firm and a derivative counterparty.</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>Excludes $1.1 billion related to separated commodity derivatives used as fair value hedging instruments that are recorded in the line item of the host contract (i.e., other borrowed funds).</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Derivative receivables and payables mark-to-market</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the fair values of derivative receivables and payables by contract type after netting adjustments as of September 30, 2009, and December 31, 2008. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>September 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Derivative receivables: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Interest rate<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>38,759</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">49,996</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Credit </div></td> <td> </td> <td> </td> <td align="right"><b>20,512</b></td> <td> </td> <td> </td> <td> </td> <td align="right">44,695</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Foreign exchange<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>24,139</b></td> <td> </td> <td> </td> <td> </td> <td align="right">38,820</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Equity </div></td> <td> </td> <td> </td> <td align="right"><b>2,213</b></td> <td> </td> <td> </td> <td> </td> <td align="right">14,285</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Commodity </div></td> <td> </td> <td> </td> <td align="right"><b>8,442</b></td> <td> </td> <td> </td> <td> </td> <td align="right">14,830</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total derivative receivables</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>94,065</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">162,626</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Trading liabilities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Derivative payables: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Interest rate<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>18,804</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">27,645</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Credit </div></td> <td> </td> <td> </td> <td align="right"><b>9,444</b></td> <td> </td> <td> </td> <td> </td> <td align="right">23,566</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Foreign exchange<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>24,825</b></td> <td> </td> <td> </td> <td> </td> <td align="right">41,156</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Equity </div></td> <td> </td> <td> </td> <td align="right"><b>12,277</b></td> <td> </td> <td> </td> <td> </td> <td align="right">17,316</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Commodity </div></td> <td> </td> <td> </td> <td align="right"><b>3,864</b></td> <td> </td> <td> </td> <td> </td> <td align="right">11,921</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total derivative payables</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>69,214</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">121,604</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>During the first quarter of 2009, cross-currency interest rate swaps previously reported in interest rate contracts were reclassified to foreign exchange contracts to be more consistent with industry practice. The effect of this change resulted in reclassifications of $14.1 billion of derivative receivables and $20.8 billion of derivative payables, between cross-currency interest rate swaps and foreign exchange contracts, as of December 31, 2008.</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"><i>Impact of derivatives and hedged items on the income statement and on other comprehensive income</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the total pretax impact of JPMorgan Chase’s derivative-related activities on the Firm’s Consolidated Statements of Income and Other Comprehensive Income for the three and nine months ended September 30, 2009, by accounting designation. </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">Derivative-related gains/(losses)</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Consolidated Statements of Income</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Cash flow</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Net investment</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Risk management</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Trading</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">hedges<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">activities</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">activities<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Three months ended September 30, 2009 </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(3,844</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>42</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(40</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>479</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,965</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,602</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Nine months ended September 30, 2009 </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(6,517</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>184</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(70</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4,910</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>16,090</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,777</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 3px double #000000"> </td> </tr> <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">Derivative-related net changes in other comprehensive income</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Other Comprehensive</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Cash flow</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Net investment</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Risk management</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Trading</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>Income/(loss)</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">hedges</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">activities</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">activities</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</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">Three months ended September 30, 2009 </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>NA</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>351</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(223</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>NA</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>NA</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>128</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Nine months ended September 30, 2009 </div></td> <td> </td> <td> </td> <td align="right"><b>NA</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>519</b></td> <td> </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> </td> <td align="right"><b>NA</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>NA</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>269</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 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 the hedge accounting impact of the hedged item for fair value hedges, and includes cash instruments within trading activities.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The tables that follow reflect more detailed information regarding the derivative-related income statement impact by accounting designation for the three and nine months ended September 30, 2009. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Fair value hedge gains and losses</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents derivative instruments, by contract type, used in fair value hedge accounting relationships, as well as pretax gains/(losses) recorded on such derivatives and the related hedged items for the three and nine months ended September 30, 2009. The Firm includes gains/(losses) on the hedging derivative and the related hedged item in the same line item in the Consolidated Statements of Income. </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">Gains/(losses) recorded in income</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Three months ended</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 nowrap="nowrap" align="center" colspan="3">Derivatives —</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>September 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivatives —</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Hedge</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">excluded</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total income</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">hedged risk</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Hedged items</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">ineffectiveness<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">components<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">statement impact</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>Contract 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> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate<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>5,304</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(5,272</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>32</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(3,763</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(3,731</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange<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>(37</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>37</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>(90</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(90</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commodity<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>(61</b></td> <td nowrap="nowrap"><b>)</b></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 nowrap="nowrap" align="right"> </td> <td align="right"><b>(23</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(23</b></td> <td nowrap="nowrap"><b>)</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>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,206</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(5,174</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>32</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(3,876</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(3,844</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>  </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> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="19" style="border-bottom: 1px solid #000000">Gains/(losses) recorded in income</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Nine months ended</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 nowrap="nowrap" align="center" colspan="3">Derivatives —</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>September 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivatives —</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Hedge</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">excluded</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total income</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">hedged risk</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Hedged items</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">ineffectiveness<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">components<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">statement impact</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>Contract 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> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate<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>4,186</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(4,638</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(452</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(6,056</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(6,508</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange<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>(1,807</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,807</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</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>27</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commodity<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>(243</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>243</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>(36</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(36</b></td> <td nowrap="nowrap"><b>)</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>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,136</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2,588</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(452</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(6,065</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(6,517</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>  </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>Primarily consists of hedges of the benchmark (e.g., LIBOR) interest rate risk of fixed-rate long-term debt. Gains and losses were recorded in net interest income.</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>Primarily consists of hedges of the foreign currency risk of long-term debt and AFS securities for changes in spot foreign currency rates. Gains and losses related to the derivatives and the hedged items, due to changes in spot foreign currency rates, were recorded in principal transactions revenue. The excluded components were recorded in current-period income.</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 of overall fair value hedges of physical gold inventory. Gains and losses were recorded in principal transactions revenue.</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>Hedge ineffectiveness is the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk.</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>Certain components of hedging derivatives are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on a futures or forwards contract. Amounts related to excluded components are recorded in current-period 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"><i>Cash flow hedge gains and losses</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents derivative instruments, by contract type, used in cash flow hedge accounting relationships, and the pretax gains/(losses) recorded on such derivatives, for the three and nine months ended September 30, 2009. The Firm includes the gain/(loss) on the hedging derivative in the same line item as the offsetting change in cash flows on the hedged item in the Consolidated Statements of Income. </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">Gains/(losses) recorded in income and other comprehensive income/(loss)</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivatives —</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Hedge</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">effective portion</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">ineffectiveness</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total income</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivatives —</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total change</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">reclassified from</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded directly</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">statement</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">effective portion</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in OCI</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">AOCI to income</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in income<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">impact</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded in OCI</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">for period</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>Contract 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> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate<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">(5</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">(18</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">382</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">387</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">60</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">24</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(36</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</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">55</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(13</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">42</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">406</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">351</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 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">Gains/(losses) recorded in income and other comprehensive income/(loss)</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivatives —</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Hedge</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">effective portion</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">ineffectiveness</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total income</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivatives —</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total change</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Nine months ended</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">reclassified from</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded directly</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">statement</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">effective portion</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in OCI</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">AOCI to income</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">in income<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">impact</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded in OCI</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">for period</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>Contract 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> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate<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">(74</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">(85</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">83</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">157</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right">269</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">269</td> <td> </td> <td> </td> <td> </td> <td align="right">631</td> <td> </td> <td> </td> <td> </td> <td align="right">362</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</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">195</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(11</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">184</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">714</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">519</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 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>Primarily consists of benchmark interest rate hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income.</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>Primarily consists of hedges of the foreign currency risk of non—U.S. dollar—denominated revenue and expense. The income statement classification of gains and losses follows the hedged item — primarily net interest income, compensation expense and other expense.</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>Hedge ineffectiveness is the amount by which the cumulative gain or loss on the designated derivative instrument exceeds the present value of the cumulative expected change in cash flows on the hedged item attributable to the hedged risk.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Over the next 12 months, the Firm expects that $119 million (after-tax) of net losses recorded in AOCI at September 30, 2009, related to cash flow hedges will be recognized in income. The maximum length of time over which forecasted transactions are hedged is 10 years, and such transactions primarily relate to core lending and borrowing activities. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Net investment hedge gains and losses</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pretax gains/(losses) recorded on such derivatives for the three and nine months ended September 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> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Gains/(losses) recorded in income and other comprehensive income/(loss)</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">Derivatives — excluded components</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivatives — effective portion</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded directly in income<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded in OCI</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>Contract type</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">Foreign exchange </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(40</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(223</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(40</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(223</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Gains/(losses) recorded in income and other comprehensive income/(loss)</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Nine months ended</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivatives — excluded components</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivatives — effective portion</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded directly in income<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">recorded in OCI</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Contract type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(70</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(250</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(70</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(250</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: 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>Certain components of derivatives used as hedging instruments are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on a futures or forwards contract. Amounts related to excluded components are recorded in current-period income. There was no ineffectiveness for net investment hedge accounting relationships during the three and nine months ended September 30, 2009.</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"><i>Risk management derivatives gains and losses (not designated as hedging instruments)</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents nontrading derivatives, by contract type, that were not designated in hedge relationships, and the pretax gains/(losses) recorded on such derivatives for the three and nine months ended September 30, 2009. These derivatives are risk management instruments used to mitigate or transform the risk of market exposures arising from banking activities other than trading activities, which are discussed separately below. </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">Derivatives gains/(losses) recorded in income</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Three months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Nine months ended</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">September 30, 2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">September 30, 2009</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>Contract type</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">Interest rate<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right">$</td> <td align="right">1,422</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,778</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Credit<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(886</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,914</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Foreign exchange<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(8</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(159</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Equity<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(7</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(7</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Commodity<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(42</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(52</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">479</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(4,910</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: 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>Gains and losses were recorded in principal transactions revenue, mortgage fees and related income, and net interest income.</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>Gains and losses were recorded in principal transactions revenue.</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>Gains and losses were recorded in principal transactions revenue and net interest income.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Trading derivative gains and losses</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm has elected to present derivative gains and losses related to its trading activities together with the cash instruments with which they are risk managed. All amounts are recorded in principal transactions revenue in the Consolidated Statements of Income for the three and nine months ended September 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> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Gains/(losses) recorded in principal transactions revenue</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Three months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Nine months ended</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">September 30, 2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">September 30, 2009</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>Type of instrument</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">Interest rate </div></td> <td> </td> <td align="right">$</td> <td align="right">1,320</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,078</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Credit </div></td> <td> </td> <td> </td> <td align="right">2,321</td> <td> </td> <td> </td> <td> </td> <td align="right">4,004</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Foreign exchange </div></td> <td> </td> <td> </td> <td align="right">1,734</td> <td> </td> <td> </td> <td> </td> <td align="right">4,860</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Equity </div></td> <td> </td> <td> </td> <td align="right">264</td> <td> </td> <td> </td> <td> </td> <td align="right">1,062</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Commodity </div></td> <td> </td> <td> </td> <td align="right">326</td> <td> </td> <td> </td> <td> </td> <td align="right">1,086</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">5,965</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">16,090</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 align="left" style="font-size: 10pt; margin-top: 12pt"><i>Credit risk, liquidity risk and credit-related contingent features</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the specific market risks introduced by each derivative contract type, derivatives expose JPMorgan Chase to credit risk — the risk that derivative counterparties may fail to meet their payment obligations under the derivative contracts and the collateral, if any, held by the Firm proves to be of insufficient value to cover the payment obligation. The amount of derivative receivables reported on the Consolidated Balance Sheets is the fair value of the derivative contracts after giving effect to legally enforceable master netting agreements and cash collateral held by the Firm. These amounts represent the cost to the Firm to replace the contracts at then-current market rates should the counterparty default. However, in management’s view, the appropriate measure of current credit risk should take into consideration other, additional liquid securities held as collateral by the Firm, which is disclosed in the table below. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">While derivative receivables expose the Firm to credit risk, derivative payables expose the Firm to liquidity risk, as the derivative contracts typically require the Firm to post cash or securities collateral with counterparties as the mark-to-market (“MTM”) moves in the counterparties’ favor, or upon specified downgrades in the Firm’s and its subsidiaries’ respective credit ratings. At September 30, 2009, the impact of a single-notch and six-notch ratings downgrade to JPMorgan Chase & Co. and its subsidiaries, primarily JPMorgan Chase Bank, N.A., would have required $1.5 billion and $4.4 billion, respectively, of additional collateral to be posted by the Firm. Certain derivative contracts also provide for termination of the contract, generally upon a downgrade of either the Firm or the counterparty, at the fair value of the derivative contracts. At September 30, 2009, the impact of single-notch and six-notch ratings downgrades to JPMorgan Chase & Co. and its subsidiaries, primarily JPMorgan Chase Bank, N.A., related to contracts with termination triggers would have required the Firm to settle trades with a fair value of $0.3 million and $5.2 billion, respectively. The aggregate fair value of net derivative payables that contain contingent collateral or termination features triggered upon a downgrade was $25.9 billion at September 30, 2009, for which the Firm has posted collateral of $24.2 billion in the normal course of business. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table shows the current credit risk of derivative receivables after netting adjustments and collateral received, and the current liquidity risk of derivative payables after netting adjustments and collateral posted, as of September 30, 2009. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivative receivables</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Derivative payables</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Gross derivative fair value </div></td> <td> </td> <td align="right">$</td> <td align="right">1,815,141</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,769,138</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Netting adjustment — offsetting receivables/payables </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,650,371</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,650,371</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Netting adjustment — cash collateral received/paid </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(70,705</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(49,553</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Carrying value on Consolidated Balance Sheets</b> </div></td> <td> </td> <td> </td> <td align="right">94,065</td> <td> </td> <td> </td> <td> </td> <td align="right">69,214</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Securities collateral received/paid </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(14,334</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(10,465</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Derivative fair value, net of all collateral</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">79,731</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">58,749</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 align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the collateral amounts reflected in the table above, the Firm receives and delivers collateral at the initiation of derivative transactions, which is available as security against potential exposure that could arise should the fair value of the transactions move in the Firm’s or client’s favor, respectively. The Firm and its counterparties also hold collateral related to contracts that have a non-daily call frequency for collateral to be posted, and collateral that the Firm or a counterparty has agreed to return but has not yet settled as of the reporting date. At September 30, 2009, the Firm received $18.3 billion and delivered $6.0 billion of such additional collateral. These amounts were not netted against the derivative receivables and payables in the table above, because, at an individual counterparty level, the collateral exceeded the fair value exposure at September 30, 2009. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Credit derivatives</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Credit derivatives are financial instruments whose value is derived from the credit risk associated with the debt of a third-party issuer (the reference entity) and which allow one party (the protection purchaser) to transfer that risk to another party (the protection seller). Credit derivatives expose the protection purchaser to the creditworthiness of the protection seller, as the protection seller is required to make payments under the contract when the reference entity experiences a credit event, such as a bankruptcy, a failure to pay its obligation or a restructuring. The seller of credit protection receives a premium for providing protection but has the risk that the underlying instrument referenced in the contract will be subject to a credit event. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm is both a purchaser and seller of protection in the credit derivatives market and uses these derivatives for two primary purposes. First, in its capacity as a market-maker in the dealer/client business, the Firm actively risk manages a portfolio of credit derivatives by purchasing and selling credit protection, predominantly on corporate debt obligations, to meet the needs of customers. As a seller of protection, the Firm’s exposure to a given reference entity may be offset partially, or entirely, with a contract to purchase protection from another counterparty on the same or similar reference entity. Second, the Firm uses credit derivatives to mitigate credit risk associated with its overall derivative receivables and traditional commercial credit lending exposures (loans and unfunded commitments) as well as to manage its exposure to residential and commercial mortgages. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a further discussion of credit derivatives, including a description of the different types used by the Firm, see Note 32 on pages 202–205 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents a summary of the notional amounts of credit derivatives and credit-related notes the Firm sold and purchased as of September 30, 2009, and December 31, 2008. Upon a credit event, the Firm as seller of protection would typically pay out only a percentage of the full notional amount of net protection sold, as the amount actually required to be paid on the contracts takes into account the recovery value of the reference obligation at the time of settlement. The Firm manages the credit risk on contracts to sell protection by purchasing protection with identical or similar underlying reference entities. As such, other purchased protection referenced in the following table includes credit derivatives bought on related, but not identical, reference positions; these include indices, portfolio coverage and other reference points. The Firm does not use notional amounts as the primary measure of risk management for credit derivatives, because notional does not take into account the probability of occurrence of a credit event, recovery value of the reference obligation, or related cash instruments and economic hedges. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Total credit derivatives and credit-related notes</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="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">Maximum payout/Notional amount</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 30, 2009</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Protection purchased with</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Net protection</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other protection</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">Protection sold</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">identical underlyings<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(sold)/purchased<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">purchased<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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>Credit derivatives</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:30px; text-indent:-15px">Credit default swaps </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(3,117,964</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">3,161,190</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">43,226</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">39,652</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Other credit derivatives<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(13,031</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">15,943</td> <td> </td> <td> </td> <td> </td> <td align="right">2,912</td> <td> </td> <td> </td> <td> </td> <td align="right">27,889</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total credit derivatives</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(3,130,995</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">3,177,133</td> <td> </td> <td> </td> <td> </td> <td align="right">46,138</td> <td> </td> <td> </td> <td> </td> <td align="right">67,541</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-related notes </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(4,369</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(4,369</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">1,613</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(3,135,364</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">3,177,133</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">41,769</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">69,154</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 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">Maximum payout/Notional amount</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="3">Protection purchased with</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Net protection</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other protection</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">Protection sold</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">identical underlyings<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">(sold)/purchased<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">purchased<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</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>Credit derivatives</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:30px; text-indent:-15px">Credit default swaps<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">(4,099,141</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">3,973,616</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(125,525</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">288,751</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Other credit derivatives<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">(4,026</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">(4,026</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">22,344</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 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 credit derivatives</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(4,103,167</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">3,973,616</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(129,551</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">311,095</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-related notes<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">(4,080</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">(4,080</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">2,373</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</b> </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(4,107,247</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">3,973,616</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(133,631</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">313,468</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="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 consists of total return swaps and credit default swap options.</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>The amounts of protection sold for total credit derivatives and credit-related notes have been revised for the prior period.</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>Represents the notional amount of purchased credit derivatives where the underlying reference instrument is identical to the reference instrument on which the Firm has sold credit protection.</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>Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value.</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>Represents single-name and index CDS protection the Firm purchased.</i></td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the notional and fair value amounts of credit derivatives and credit-related notes as of September 30, 2009, and December 31, 2008, where JPMorgan Chase is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of protection purchased are comparable to the profile reflected below. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Protection sold — credit derivatives and credit-related notes ratings</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup><b>/maturity profile</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> </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</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>September 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><1 year</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">1–5 years</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">>5 years</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">notional amount</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></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">Risk rating of reference entity </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">Investment-grade (AAA to BBB-) </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(194,943</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,223,609</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(477,036</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,895,588</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(47,234</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Noninvestment-grade (BB+ and below) </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(139,434</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(834,699</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(265,643</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,239,776</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(95,236</b></td> <td nowrap="nowrap"><b>)</b></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</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(334,377</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2,058,308</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(742,679</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(3,135,364</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(142,470</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>  </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> </td> <td> </td> <td> </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</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"><1 year</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">1–5 years</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">>5 years</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">notional amount</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></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">Risk rating of reference entity </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">Investment-grade (AAA to BBB-)<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">(179,379</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,743,283</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(701,775</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,624,437</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(222,318</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Noninvestment-grade (BB+ and below)<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">(118,734</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(950,619</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(413,457</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,482,810</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(253,326</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</b> </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(298,113</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,693,902</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,115,232</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(4,107,247</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(475,644</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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>Ratings scale is based on the Firm’s internal ratings, which generally correspond to ratings defined by S&P and Moody’s.</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>The amounts of protection sold for total credit derivatives and credit-related notes have been revised for the prior period.</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>Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral held by the Firm.</i></td> </tr> </table>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div>

<div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 6 — OTHER NONINTEREST REVENUE </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a discussion of the components of and accounting policies for the Firm’s other noninterest revenue, see Note 6 and Note 7 on pages 146–149 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the components of investment banking fees. </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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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">Underwriting: </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">Equity </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>681</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">245</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,938</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,146</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Debt </div></td> <td> </td> <td> </td> <td align="right"><b>616</b></td> <td> </td> <td> </td> <td> </td> <td align="right">515</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,985</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,602</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 underwriting</b> </div></td> <td> </td> <td> </td> <td align="right"><b>1,297</b></td> <td> </td> <td> </td> <td> </td> <td align="right">760</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,923</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,748</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Advisory </div></td> <td> </td> <td> </td> <td align="right"><b>382</b></td> <td> </td> <td> </td> <td> </td> <td align="right">556</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,248</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,396</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 investment banking fees</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,679</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,316</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,171</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,144</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr> <td align="left" valign="top" colspan="17"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents principal transactions revenue. </div> </td> </tr> <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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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 revenue </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,700</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,587</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>9,344</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(3,052</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Private equity gains/(losses)<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>160</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(176</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(386</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">238</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>Principal transactions</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,860</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,763</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8,958</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,814</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"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 revenue on private equity investments held in the Private Equity business within Corporate/Private Equity, and those held in other business segments.</i></td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents components of asset management, administration and commissions. </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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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">Asset management: </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">Investment management fees </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,283</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,458</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,538</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,332</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">All other asset management fees </div></td> <td> </td> <td> </td> <td align="right"><b>93</b></td> <td> </td> <td> </td> <td> </td> <td align="right">61</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>252</b></td> <td> </td> <td> </td> <td> </td> <td align="right">351</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 asset management fees</b> </div></td> <td> </td> <td> </td> <td align="right"><b>1,376</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,519</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,790</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,683</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total administration fees</b><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>477</b></td> <td> </td> <td> </td> <td> </td> <td align="right">527</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,430</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,887</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commission and other fees: </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:30px; text-indent:-15px">Brokerage commissions </div></td> <td> </td> <td> </td> <td align="right"><b>726</b></td> <td> </td> <td> </td> <td> </td> <td align="right">892</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,175</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,400</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">All other commissions and fees </div></td> <td> </td> <td> </td> <td align="right"><b>579</b></td> <td> </td> <td> </td> <td> </td> <td align="right">547</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,784</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,739</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:30px; text-indent:-15px"><b>Total commissions and fees</b> </div></td> <td> </td> <td> </td> <td align="right"><b>1,305</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,439</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,959</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,139</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 asset management, administration and commissions</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,158</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3,485</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>9,179</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">10,709</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="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 fees for custody, securities lending, funds services and securities clearance.</i></td> </tr> </table>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div>

<div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 7 — INTEREST INCOME AND INTEREST EXPENSE </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Details of interest income and interest expense 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="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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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"><b>Interest income</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> <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">Loans </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>9,442</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8,450</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>29,775</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">26,165</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Securities </div></td> <td> </td> <td> </td> <td align="right"><b>3,242</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,522</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,280</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,099</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 align="right"><b>2,975</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,469</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,143</b></td> <td> </td> <td> </td> <td> </td> <td align="right">13,125</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds sold, securities purchased under resale agreements </div></td> <td> </td> <td> </td> <td align="right"><b>368</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,558</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,386</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,498</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>(30</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">703</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">2,013</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits with banks </div></td> <td> </td> <td> </td> <td align="right"><b>130</b></td> <td> </td> <td> </td> <td> </td> <td align="right">316</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>819</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,025</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>133</b></td> <td> </td> <td> </td> <td> </td> <td align="right">308</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>372</b></td> <td> </td> <td> </td> <td> </td> <td align="right">462</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">  </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"><b>Total interest income</b> </div></td> <td> </td> <td> </td> <td align="right"><b>16,260</b></td> <td> </td> <td> </td> <td> </td> <td align="right">17,326</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>50,735</b></td> <td> </td> <td> </td> <td> </td> <td align="right">51,387</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>Interest expense</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> <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">Interest-bearing deposits </div></td> <td> </td> <td> </td> <td align="right"><b>1,086</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,351</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,937</b></td> <td> </td> <td> </td> <td> </td> <td align="right">11,551</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Short-term and other liabilities<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>941</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,722</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,908</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,632</td> <td> </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> </td> <td align="right"><b>1,426</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,176</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,951</b></td> <td> </td> <td> </td> <td> </td> <td align="right">5,942</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> </td> <td align="right"><b>70</b></td> <td> </td> <td> </td> <td> </td> <td align="right">83</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>165</b></td> <td> </td> <td> </td> <td> </td> <td align="right">315</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">  </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"><b>Total interest expense</b> </div></td> <td> </td> <td> </td> <td align="right"><b>3,523</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,332</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,961</b></td> <td> </td> <td> </td> <td> </td> <td align="right">26,440</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 interest income</b> </div></td> <td> </td> <td> </td> <td align="right"><b>12,737</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,994</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>38,774</b></td> <td> </td> <td> </td> <td> </td> <td align="right">24,947</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for credit losses </div></td> <td> </td> <td> </td> <td align="right"><b>8,104</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,811</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>24,731</b></td> <td> </td> <td> </td> <td> </td> <td align="right">11,690</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for credit losses — accounting conformity<sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,976</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,976</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 interest income after provision for credit losses</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,633</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3,207</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>14,043</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">11,281</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="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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>Interest income and expense include the current-period interest accruals for financial instruments measured at fair value, except for financial instruments containing embedded derivatives that would be separately accounted for in accordance with U.S. GAAP absent the fair value option election; for those instruments, all changes in fair value, including any interest elements, are 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>(b)</i></td> <td> </td> <td><i>Predominantly margin loans.</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 brokerage customer payables.</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>The third quarter of 2008 included an accounting conformity loan loss reserve provision related to the acquisition of Washington Mutual’s banking operations.</i></td> </tr> </table> </div>

<div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 8 — PENSION AND OTHER POSTRETIREMENT EMPLOYEE BENEFIT PLANS</b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a discussion of JPMorgan Chase’s pension and other postretirement employee benefit (“OPEB”) plans, see Note 9 on pages 149–155 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the components of net periodic benefit cost reported in the Consolidated Statements of Income for the Firm’s U.S. and non-U.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="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="15" style="border-bottom: 1px solid #000000">Defined benefit pension plans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7"> </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">U.S.</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Non-U.S.</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">OPEB plans</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Three months ended September 30, (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> </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"><b>Components of net periodic benefit cost</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">Benefits earned during the period </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>81</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">64</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">11</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Interest cost on benefit obligations </div></td> <td> </td> <td> </td> <td align="right"><b>128</b></td> <td> </td> <td> </td> <td> </td> <td align="right">122</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>29</b></td> <td> </td> <td> </td> <td> </td> <td align="right">33</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>17</b></td> <td> </td> <td> </td> <td> </td> <td align="right">18</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Expected return on plan assets </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 nowrap="nowrap" align="right"> </td> <td align="right">(179</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(27</b></td> <td nowrap="nowrap"><b>)</b></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"><b>(25</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(24</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Amortization: </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">Net loss </div></td> <td> </td> <td> </td> <td align="right"><b>76</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6</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:30px; text-indent:-15px">Prior service cost (credit) </div></td> <td> </td> <td> </td> <td align="right"><b>1</b></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 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">(4</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>Net periodic benefit cost</b> </div></td> <td> </td> <td> </td> <td align="right"><b>140</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>20</b></td> <td> </td> <td> </td> <td> </td> <td align="right">12</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(10</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> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other defined benefit pension plans<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3</td> <td> </td> <td> </td> <td colspan="3" align="center"><b>NA</b></td> <td> </td> <td colspan="3" align="center">NA</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 defined benefit plans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>143</b></td> <td> </td> <td> </td> <td> </td> <td align="right">12</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>21</b></td> <td> </td> <td> </td> <td> </td> <td align="right">15</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(10</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> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Total defined contribution plans </div></td> <td> </td> <td> </td> <td align="right"><b>77</b></td> <td> </td> <td> </td> <td> </td> <td align="right">66</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>47</b></td> <td> </td> <td> </td> <td> </td> <td align="right">70</td> <td> </td> <td> </td> <td colspan="3" align="center"><b>NA</b></td> <td> </td> <td colspan="3" align="center">NA</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 pension and OPEB cost included in compensation expense</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>220</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">78</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>68</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">85</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(10</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(9</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>  <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="15" style="border-bottom: 1px solid #000000">Defined benefit pension plans</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7"> </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">U.S.</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Non-U.S.</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">OPEB plans</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Nine months ended September 30, (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> </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"><b>Components of net periodic benefit cost</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">Benefits earned during the period </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>238</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">192</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>21</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">25</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Interest cost on benefit obligations </div></td> <td> </td> <td> </td> <td align="right"><b>384</b></td> <td> </td> <td> </td> <td> </td> <td align="right">366</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>85</b></td> <td> </td> <td> </td> <td> </td> <td align="right">109</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>48</b></td> <td> </td> <td> </td> <td> </td> <td align="right">55</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Expected return on plan assets </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(438</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(539</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(79</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(120</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(73</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(73</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Amortization: </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">Net loss </div></td> <td> </td> <td> </td> <td align="right"><b>229</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>32</b></td> <td> </td> <td> </td> <td> </td> <td align="right">20</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:30px; text-indent:-15px">Prior service cost (credit) </div></td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3</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 nowrap="nowrap" align="right"> </td> <td align="right"><b>(10</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(12</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>Net periodic benefit cost</b> </div></td> <td> </td> <td> </td> <td align="right"><b>416</b></td> <td> </td> <td> </td> <td> </td> <td align="right">22</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>59</b></td> <td> </td> <td> </td> <td> </td> <td align="right">34</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 nowrap="nowrap" align="right"> </td> <td align="right">(26</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other defined benefit pension plans<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>10</b></td> <td> </td> <td> </td> <td> </td> <td align="right">10</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9</b></td> <td> </td> <td> </td> <td> </td> <td align="right">12</td> <td> </td> <td> </td> <td colspan="3" align="center"><b>NA</b></td> <td> </td> <td colspan="3" align="center">NA</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 defined benefit plans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>426</b></td> <td> </td> <td> </td> <td> </td> <td align="right">32</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>68</b></td> <td> </td> <td> </td> <td> </td> <td align="right">46</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 nowrap="nowrap" align="right"> </td> <td align="right">(26</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Total defined contribution plans </div></td> <td> </td> <td> </td> <td align="right"><b>231</b></td> <td> </td> <td> </td> <td> </td> <td align="right">202</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>169</b></td> <td> </td> <td> </td> <td> </td> <td align="right">232</td> <td> </td> <td> </td> <td colspan="3" align="center"><b>NA</b></td> <td> </td> <td colspan="3" align="center">NA</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 pension and OPEB cost included in compensation expense</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>657</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">234</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>237</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">278</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(32</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(26</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 align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 various defined benefit pension plans, which are individually immaterial.</i></td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt">The fair value of plan assets for the U.S. defined benefit pension and OPEB plans and the material non-U.S. defined benefit pension plans were $11.3 billion and $2.3 billion, respectively, as of September 30, 2009, and $8.1 billion and $2.0 billion, respectively, as of December 31, 2008. See Note 22 on pages 167–168 of this Form 10-Q for further information on unrecognized amounts (i.e., net loss and prior service costs/(credit)) reflected in AOCI for the nine months ended September 30, 2009 and 2008. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On January 15, 2009 and on August 28, 2009, the Firm made discretionary cash contributions to its U.S. defined benefit pension plan of $1.3 billion and $1.5 billion, respectively, funding the plan to the maximum allowable amount under applicable tax law. The 2009 potential contributions for the Firm’s U.S. non-qualified defined benefit pension plans, non-U.S. defined benefit pension plans and OPEB plans are $39 million, $124 million and $2 million, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On May 1, 2009, the Firm amended the employer matching contribution feature of its 401(k) Savings Plan (the “Plan”) to provide that: (i) for employees earning less than $50,000, matching contributions will be based on their contributions to the Plan, but not to exceed 5% of their eligible compensation (e.g., base pay); and (ii) for employees earning $50,000 or more per year, matching contributions will be made at the discretion of the Firm’s management, depending on the Firm’s earnings for the year. Any such matching contributions will be made on an annual basis, following the end of the calendar year, to employees who are employed by the Firm at the end of such year. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Pursuant to a compromise and settlement agreement between JPMorgan Chase Bank, N.A. and Washington Mutual Inc., JPMorgan Chase Bank, N.A. became a contributing employer under the WaMu Savings Plan effective as of September 25, 2008, and the sponsor of the WaMu Savings Plan as of August 10, 2009. As of July 28, 2009, the United States Bankruptcy Court for the District of Delaware entered an order approving the compromise and settlement agreement, which became final and nonappealable on August 10, 2009. </div> </div>

<div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><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 $763 million and $697 million for the quarters ended September 30, 2009 and 2008, respectively, and $2.4 billion and $2.1 billion in the first nine months of 2009 and 2008, respectively, in its Consolidated Statements of Income. These amounts included accruals for the estimated cost of stock awards to be granted to full-career eligible employees of $192 million and $159 million for the quarters ended September 30, 2009 and 2008, respectively, and $524 million and $433 million for the first nine months ended September 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>

<div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><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 102–106 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> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left" style="border-bottom: 0px solid #000000">Three months ended September 30,</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Washington</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </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">Bear Stearns</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Mutual</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></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>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 </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>26</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>28</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">24</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> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(6</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(6</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">42</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>8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>73</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>81</b></td> <td> </td> <td> </td> <td> </td> <td align="right">30</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)</i></sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>10</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>93</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>103</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">96</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 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"><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" style="border-bottom: 0px solid #000000">Nine months ended September 30,</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Washington</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">Bear Stearns</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Mutual</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">2008<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>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="left"><b>$</b></td> <td align="right"><b>(8</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>239</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>231</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">150</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>17</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14</b></td> <td> </td> <td> </td> <td> </td> <td align="right">42</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>25</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>181</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>206</b></td> <td> </td> <td> </td> <td> </td> <td align="right">59</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)</i></sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>14</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>437</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>451</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">251</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="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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>The 2008 activity reflects the Bear Stearns merger. Costs related to the Washington Mutual transaction for the three and nine months ended September 30, 2008, were not material.</i></td> </tr> </table> <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 Bear Stearns merger and the Washington Mutual transaction. </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>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 nowrap="nowrap" align="left" style="border-bottom: 0px solid #000000">Three months ended September 30,</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Washington</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">Washington</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">Mutual</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Bear Stearns</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Mutual</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</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">Merger reserve balance, beginning of period </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> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,093</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>10</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>93</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>103</b></td> <td> </td> <td> </td> <td> </td> <td align="right">96</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">96</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> </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">363</td> <td> </td> <td> </td> <td> </td> <td align="right">363</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>(38</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></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(203</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(592</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">(592</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>Merger reserve balance, end of period</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>41</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>130</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>171</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">597</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">363</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">960</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 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>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 nowrap="nowrap" align="left" style="border-bottom: 0px solid #000000">Nine months ended September 30,</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Washington</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">Washington</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">Mutual</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Bear Stearns</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Mutual</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</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">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> <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">Recorded as merger costs </div></td> <td> </td> <td> </td> <td align="right"><b>14</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>451</b></td> <td> </td> <td> </td> <td> </td> <td align="right">251</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">251</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> <td> </td> <td> </td> <td align="right">363</td> <td> </td> <td> </td> <td> </td> <td align="right">1,475</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>(295</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(748</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,043</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(766</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">(766</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>Merger reserve balance, end of period</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>41</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>130</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>171</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">597</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">363</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">960</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>   <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><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 3 on pages 106–121 of this <br /> Form 10-Q. </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 losses and credit 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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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>$</b></td> <td align="right"><b>283</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">459</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,436</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,271</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>(81</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(35</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(505</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(167</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<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>202</b></td> <td> </td> <td> </td> <td> </td> <td align="right">424</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>931</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,104</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit losses included in securities gains </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(18</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(202</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></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 securities gains</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>184</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">424</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>729</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,104</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="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 1% 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 other-than-temporary impairment losses recognized in income for the three and nine months ended September 30, 2009, on certain prime mortgage-backed securities and obligations of U.S. states and municipalities.</i></td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt">The amortized costs and estimated fair values 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>September 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> </td> <td> </td> <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> </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">Fair 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> <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> <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>$</b></td> <td align="right"><b>181,110</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,942</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>144</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>184,908</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>5,903</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>65</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1,166</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>4,802</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>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>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>35</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>6,744</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>294</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>112</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,926</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>4,516</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>77</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,528</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"> <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>Total mortgage-backed securities</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>198,308</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,390</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,499</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>201,199</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">  </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">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>40,015</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>221</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>192</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>40,044</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>5,887</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>439</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>130</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>6,196</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>6,227</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9</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>6,235</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>23,210</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>264</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>23,422</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>48,780</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>794</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>73</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>49,501</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>25,082</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>518</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>77</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25,523</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>12,282</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>400</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>529</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12,153</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>5,719</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>113</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>44</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,788</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"> <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>Total available-for-sale debt securities</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>365,510</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7,148</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>2,597</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>370,061</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>2,646</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>137</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>2,779</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"> <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>Total available-for-sale securities</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>368,156</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7,285</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>2,601</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>372,840</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: 3px double #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>$</b></td> <td align="right"><b>27</b></td> <td> </td> <td> </td> <td align="right"><b>$</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>29</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: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 $175.4 billion and $120.1 billion at September 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> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(d)</i></td> <td> </td> <td><i>Includes a total of $678 million (before tax) of unrealized losses reported in accumulated comprehensive income not related to credit on debt securities for which credit losses have been recognized in income. Of this amount, $592 million and $86 million relate to prime mortgage-backed securities and obligations of U.S. states and municipalities, respectively.</i></td> </tr> </table>   </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 September 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" style="border-bottom: 0px solid #000000">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>September 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>21,705</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>127</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,081</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>17</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>22,786</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>144</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>701</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>47</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,076</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,119</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,777</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,166</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 nowrap="nowrap" 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>804</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>112</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>804</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>112</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>58</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>1,305</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>73</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,363</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>77</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>23,268</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>290</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,462</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,209</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>28,730</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,499</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>7,420</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>192</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>7,420</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>192</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>531</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>129</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>26</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>557</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>130</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>1,349</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>1,349</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</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>1,362</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>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,362</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>52</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>6,515</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>62</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,162</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,677</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>73</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>63</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>4,574</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>76</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,637</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>77</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>582</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>7,572</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>514</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,154</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>529</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>1,540</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>44</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>1,540</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>44</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>42,630</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>786</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>18,796</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,811</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>61,426</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,597</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>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>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>4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</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>42,631</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>787</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>18,799</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,814</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>61,430</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,601</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" style="border-bottom: 0px solid #000000">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 align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 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 that the investor 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 other-than-temporary impairments. </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 for purchased or retained beneficial interests in securitized assets, 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. The Firm also considers an OTTI to have occurred when there is an adverse change in cash flows 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 credit losses that are included in the securities gains and losses table 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>September 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">Nine 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 that have credit losses</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">Total losses<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 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">Losses recorded in/(reclassified from) other comprehensive income </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(18</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">678</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>Credit losses recognized in income</b><sup style="font-size: 85%; vertical-align: text-top"><i>(b)(c)</i></sup> </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>(202</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 initial other-than-temporary impairments, represents the excess of the amortized cost over the fair value of AFS debt securities. For subsequent impairments of the same security, represents additional declines in fair value subsequent to the previously recorded other-than-temporary impairment(s), if applicable.</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 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. Subsequent credit losses may be recorded on securities without a corresponding further decline in fair value if there has been a decline in expected cash flows.</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>Excluded from this table are OTTI losses of $7 million that were recognized in income during the six months ended June 30, 2009, related to subprime mortgage-backed debt securities the Firm intended to sell. These securities were sold during the third quarter of 2009, resulting in the recognition of a recovery of $1 million.</i></td> </tr> </table>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Changes in the credit loss component of credit-impaired debt securities</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents a rollforward of the credit loss component of OTTI losses that were recognized in income during the three and nine months ended September 30, 2009, related to debt securities that the Firm does not intend to sell. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>September 30, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Three months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Nine months ended</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Balance, beginning of period </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>184</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td nowrap="nowrap" align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Additions: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Newly credit-impaired securities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>202</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Increase in losses on previously credit-impaired securities reclassified from other comprehensive income </div></td> <td> </td> <td> </td> <td align="right"><b>18</b></td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>—</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Balance, end of period</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>202</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>202</b></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 align="left" style="font-size: 10pt; margin-top: 6pt">During 2009, the Firm continued to increase the size of its AFS securities portfolio. Overall, unrealized losses have decreased since December 31, 2008, due primarily to overall market spread and market liquidity, which resulted in increased pricing across asset classes. As of September 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. 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 September 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 these 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 September 30, 2009, gross unrealized losses on mortgage-backed securities related to U.S. agencies were $144 million, of which $17 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 September 30, 2009, gross unrealized losses related to prime and Alt-A residential mortgage-backed securities issued by private issuers were $1.2 billion, of which $1.1 billion related to securities that have been in an unrealized loss position for longer than 12 months. Overall losses have decreased since December 31, 2008, due to increased market stabilization, resulting from increased demand for higher-yielding asset classes and new U.S. government programs. 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 $84 million of OTTI losses 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 40% and an unemployment rate of 10%. 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 September 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 nine months ended September 30, 2009, the Firm recorded losses of zero and $7 million, respectively, on subprime RMBS based on the Firm’s intent to sell such securities. In addition, the Firm realized a gain of $1 million and a loss of $27 million, respectively, on sales of subprime RMBS during the three and nine months ended September 30, 2009. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <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 September 30, 2009, gross unrealized losses related to commercial mortgage-backed securities were $77 million, of which $73 million related to securities that have been in an unrealized loss position for longer than 12 months. The Firm’s commercial mortgage-backed securities are rated “AAA,” “AA,” “A” and “BBB” and possess, on average, 28% subordination (a form of credit enhancement for the benefit of senior securities, expressed here as the percentage of pool losses that can occur before a senior 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) default of all loans more than 60 days delinquent; (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 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 September 30, 2009, gross unrealized losses related to credit card receivables asset-backed securities were $77 million, of which $76 million of the losses related to securities that were in an unrealized loss position for longer than 12 months. Of the $77 million of unrealized losses related to credit card—related asset-backed securities, $68 million relates to purchased credit card—related asset-backed securities, and $9 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 3% to 9%. The Firm uses internal models to project the cash flows that affect 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, ranging from 8% to 16% (charge-off rates consider underlying assumptions such as unemployment rates and roll rates), payment rates of 11% to 23%, and portfolio yields of 16% to 26%. </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 September 30, 2009, gross unrealized losses related to collateralized debt and loan obligations were $529 million, of which $514 million related to securities that were in an unrealized loss position for longer than 12 months. Overall losses have decreased since December 31, 2008, mainly as a result of an increase in high-yield markets, lower default forecasts and spread tightening across various asset classes. Substantially all of these securities are rated “AAA” and “AA” 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 12% for three months, 6% for the next 24 months and 4% thereafter. Further, loss severities were assumed to be 50% for loans and 80% for debt securities. Losses on collateral were estimated to occur approximately 24 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 September 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>September 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>10 years</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>10 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">15</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">234</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">7,205</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">190,854</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">198,308</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">15</td> <td> </td> <td> </td> <td> </td> <td align="right">238</td> <td> </td> <td> </td> <td> </td> <td align="right">7,251</td> <td> </td> <td> </td> <td> </td> <td align="right">193,695</td> <td> </td> <td> </td> <td> </td> <td align="right">201,199</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">1.14</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.31</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.79</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.70</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.70</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">$</td> <td align="right">11,040</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">28,719</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">148</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">108</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">40,015</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">11,070</td> <td> </td> <td> </td> <td> </td> <td align="right">28,710</td> <td> </td> <td> </td> <td> </td> <td align="right">163</td> <td> </td> <td> </td> <td> </td> <td align="right">101</td> <td> </td> <td> </td> <td> </td> <td align="right">40,044</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.77</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.29</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">5.85</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">5.01</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.44</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">141</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">429</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,317</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,887</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">148</td> <td> </td> <td> </td> <td> </td> <td align="right">454</td> <td> </td> <td> </td> <td> </td> <td align="right">5,594</td> <td> </td> <td> </td> <td> </td> <td align="right">6,196</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">4.32</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">5.10</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.39</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.44</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">$</td> <td align="right">6,227</td> <td> </td> <td> </td> <td align="right">$</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">$</td> <td align="right">6,227</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">6,235</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">6,235</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.83</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">—</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.83</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">8,328</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">14,216</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">507</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">159</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">23,210</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">8,346</td> <td> </td> <td> </td> <td> </td> <td align="right">14,434</td> <td> </td> <td> </td> <td> </td> <td align="right">480</td> <td> </td> <td> </td> <td> </td> <td align="right">162</td> <td> </td> <td> </td> <td> </td> <td align="right">23,422</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">1.02</td> <td nowrap="nowrap">%</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">1.85</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1.70</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1.65</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">$</td> <td align="right">4,103</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">43,725</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">753</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">199</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">48,780</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">4,179</td> <td> </td> <td> </td> <td> </td> <td align="right">44,302</td> <td> </td> <td> </td> <td> </td> <td align="right">801</td> <td> </td> <td> </td> <td> </td> <td align="right">219</td> <td> </td> <td> </td> <td> </td> <td align="right">49,501</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1.55</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.13</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">5.25</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">6.12</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.15</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</td> <td align="right">13,752</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8,683</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">9,502</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">11,146</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">43,083</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">13,889</td> <td> </td> <td> </td> <td> </td> <td align="right">8,881</td> <td> </td> <td> </td> <td> </td> <td align="right">9,571</td> <td> </td> <td> </td> <td> </td> <td align="right">11,123</td> <td> </td> <td> </td> <td> </td> <td align="right">43,464</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">1.91</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1.52</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">0.69</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">0.79</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1.27</td> <td nowrap="nowrap">%</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"><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">$</td> <td align="right">43,465</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">95,718</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">18,544</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">207,783</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">365,510</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Fair value </div></td> <td> </td> <td> </td> <td align="right">43,734</td> <td> </td> <td> </td> <td> </td> <td align="right">96,713</td> <td> </td> <td> </td> <td> </td> <td align="right">18,720</td> <td> </td> <td> </td> <td> </td> <td align="right">210,894</td> <td> </td> <td> </td> <td> </td> <td align="right">370,061</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Average yield<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.06</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.11</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.64</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.48</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3.48</td> <td nowrap="nowrap">%</td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Available-for-sale equity securities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Amortized cost </div></td> <td> </td> <td align="right">$</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">$</td> <td align="right">2,646</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,646</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">2,779</td> <td> </td> <td> </td> <td> </td> <td align="right">2,779</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">0.21</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">0.21</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">$</td> <td align="right">43,465</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">95,718</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">18,544</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">210,429</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">368,156</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">43,734</td> <td> </td> <td> </td> <td> </td> <td align="right">96,713</td> <td> </td> <td> </td> <td> </td> <td align="right">18,720</td> <td> </td> <td> </td> <td> </td> <td align="right">213,673</td> <td> </td> <td> </td> <td> </td> <td align="right">372,840</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">2.06</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.11</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2.64</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">4.42</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3.45</td> <td nowrap="nowrap">%</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">  </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 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 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">$</td> <td align="right">1</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">24</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">27</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">1</td> <td> </td> <td> </td> <td> </td> <td align="right">26</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right">29</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">7.00</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">6.48</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">6.86</td> <td nowrap="nowrap">%</td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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>Average yield was based on amortized cost balances at the end of the period and did not give effect to changes in fair value 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: 3pt"> <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 September 30, 2009.</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 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 style="font-family: 'Times New Roman',Times,serif"> </div>

<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 fair value option has been elected, see Note 4 on pages 121–123 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>September 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">Securities purchased under resale agreements<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>170,660</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">200,265</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities borrowed<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>128,059</b></td> <td> </td> <td> </td> <td> </td> <td align="right">124,000</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">Securities sold under repurchase agreements<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>294,308</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">174,456</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities loaned </div></td> <td> </td> <td> </td> <td align="right"><b>7,992</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,077</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 align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 $18.9 billion and $20.8 billion accounted for at fair value at September 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>(b)</i></td> <td> </td> <td><i>Includes securities borrowed of $5.5 billion and $3.4 billion accounted for at fair value at September 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>Includes repurchase agreements of $2.7 billion and $3.0 billion accounted for at fair value at September 30, 2009, and December 31, 2008, respectively.</i></td> </tr> </table> <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 September 30, 2009, the Firm received securities as collateral that could be repledged, delivered or otherwise used with a fair value of approximately $631.1 billion. This collateral was generally obtained under resale or securities-borrowing agreements. Of these securities, approximately $496.1 billion were repledged, delivered or otherwise used, generally as collateral under repurchase agreements, securities lending agreements or to cover short sales. </div> </div>

<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="3%" 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, unamortized discounts and premiums, 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="3%" 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="3%" 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="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Purchased credit-impaired loans held-for-investment are 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 121–123 of this Form 10-Q for further information on the Firm’s elections of fair value accounting under the fair value option. See Note 3 on pages 106–121 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>September 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>$</b></td> <td align="right"><b>52,966</b></td> <td> </td> <td> </td> <td align="right">$</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>60,344</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>17,125</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>5,765</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>22,975</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>2,516</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>161,691</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>21,829</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>2,601</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>11,694</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>1,047</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>17,372</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>2,719</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>57,262</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>74,795</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>62,945</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>28,819</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>6,812</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>40,347</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>5,235</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>218,953</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 — senior lien<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>27,726</b></td> <td> </td> <td> </td> <td> </td> <td align="right">29,793</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Home equity — junior lien<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>77,069</b></td> <td> </td> <td> </td> <td> </td> <td align="right">84,542</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Prime mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>67,597</b></td> <td> </td> <td> </td> <td> </td> <td align="right">72,266</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>13,270</b></td> <td> </td> <td> </td> <td> </td> <td align="right">15,330</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>8,852</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,018</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Auto loans </div></td> <td> </td> <td> </td> <td align="right"><b>44,309</b></td> <td> </td> <td> </td> <td> </td> <td align="right">42,603</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>(g)(h)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>78,215</b></td> <td> </td> <td> </td> <td> </td> <td align="right">104,746</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>32,405</b></td> <td> </td> <td> </td> <td> </td> <td align="right">33,715</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>(i)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>1,546</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" 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>350,989</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"> <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>83,202</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" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total consumer loans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>434,191</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"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total loans</b><sup style="font-size: 85%; vertical-align: text-top"><i>(j)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>653,144</b></td> <td> </td> <td> </td> <td align="right">$</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 align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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: 3pt"> <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 in which the repayment is predominantly from the sale, lease, management, operations or refinancing of the property.</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 loans for commercial and industrial, real estate, financial institutions and other of $3.9 billion, $279 million, $210 million and $852 million, respectively, at September 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: 3pt"> <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: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>Represents loans where JPMorgan Chase holds the first security interest placed upon the property.</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>Represents loans where JPMorgan Chase holds a security interest that is subordinate in rank to other liens.</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>Includes billed finance charges and fees net of an allowance for uncollectible amounts.</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>Includes $3.0 billion of loans at September 30, 2009, held by 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 147–155 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>(i)</i></td> <td> </td> <td><i>Includes loans for prime mortgages and other (largely student loans) of $187 million and $1.4 billion, respectively, at September 30, 2009, and $206 million and $1.8 billion, respectively, at December 31, 2008.</i></td> </tr> <tr style="font-size: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(j)</i></td> <td> </td> <td><i>Loans (other than purchased loans and those for which the fair value option has been elected) are presented net of $1.6 billion and $2.0 billion of unearned income, unamortized discounts and premiums, and net deferred loan costs at September 30, 2009, and December 31, 2008, respectively. Prior periods have been revised to conform to the current presentation.</i></td> </tr> </table>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <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="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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left" style="border-bottom: 0px solid #000000">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 0px solid #000000"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 0px solid #000000">2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 0px solid #000000"><b>2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3" style="border-bottom: 0px solid #000000">2008</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="right"><b>$</b></td> <td align="right"><b>347</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(650</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>360</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,602</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 align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 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. 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. During the third quarter of 2009, an allowance for loan losses of $1.1 billion was recorded for non-option ARM prime mortgage pool loans. This allowance for loan losses is reported as a reduction of the carrying amount of the loans in the table below. The outstanding balance and the carrying amount of the purchased credit-impaired consumer loans were as follows. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>September 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Outstanding balance<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>106,650</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">118,180</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Carrying amount </div></td> <td> </td> <td> </td> <td align="right"><b>82,112</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>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 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 nine months ended September 30, 2009. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Accretable yield activity</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="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">Three months ended September 30, 2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Nine months ended September 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">$</td> <td align="right">26,963</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">32,619</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Accretion into interest income </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,037</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(3,402</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Changes in interest rates on variable-rate loans </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,467</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(4,758</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Balance, September 30, 2009</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">24,459</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">24,459</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 align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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 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">Impaired loans predominantly include wholesale nonaccrual loans and all loans, other than purchased credit-impaired loans, restructured in troubled debt restructurings. A loan with an insignificant delay or an insignificant shortfall in the amount of payments expected to be collected is not considered to be impaired, particularly if the Firm expects to collect all amounts due, including interest accrued at the contractual interest rate for the period of delay. Troubled debt restructurings may be returned to accrual status if certain criteria are met; however, such loans must continue to be reported as impaired loans, unless the loan was restructured at a then-current market rate of interest. For additional 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>  <div style="font-family: 'Times New Roman',Times,serif"> <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>September 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>6,761</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>3,839</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>10,600</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>487</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>487</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>11,087</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,340</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Allowance for impaired loans: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Wholesale </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,410</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">712</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Consumer<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>1,009</b></td> <td> </td> <td> </td> <td> </td> <td align="right">379</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total allowance for impaired loans</b><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,419</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 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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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>5,771</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">864</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,357</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">744</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Consumer<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>3,796</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,298</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,193</b></td> <td> </td> <td> </td> <td> </td> <td align="right">959</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total impaired loans</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>9,567</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,162</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7,550</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,703</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Interest income recognized on impaired loans during the period: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Wholesale </div></td> <td> </td> <td align="right"><b>$</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">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Consumer<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>27</b></td> <td> </td> <td> </td> <td> </td> <td align="right">17</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>94</b></td> <td> </td> <td> </td> <td> </td> <td align="right">38</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total interest income recognized on impaired loans during the period</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>27</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">17</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>94</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">38</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="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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: 3pt"> <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.</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 allowance for impaired loans 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 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 $3.0 billion and $1.8 billion as of September 30, 2009, and December 31, 2008, respectively. Of the consumer loans modified in troubled debt restructurings, $734 million and $853 million were classified as nonperforming at September 30, 2009, and December 31, 2008, respectively. As of September 30, 2009, wholesale loans restructured in troubled debt restructurings were approximately $1.0 billion. For a detailed discussion of the modification of the terms of credit card loan agreements, see Note 14 on pages 163–166 of JPMorgan Chase’s 2008 Annual Report. At September 30, 2009, and December 31, 2008, the Firm modified $4.6 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 2009, the Firm reviewed its real estate portfolio to identify homeowners most in need of assistance, opened new regional counseling centers, hired additional loan counselors, introduced new financing alternatives, proactively reached out to borrowers to offer prequalified modifications, and commenced a new process to independently review each loan before moving it into the foreclosure process. In addition, during the first quarter of 2009, the U.S. Treasury introduced the Making Home Affordable (“MHA”) programs, which are designed to assist eligible homeowners by modifying the terms of their mortgages. The Firm is participating in the MHA programs while continuing to expand its other loss-mitigation efforts for financially distressed borrowers who do not qualify for the MHA programs. The MHA programs and the Firm’s other loss-mitigation programs for financially troubled borrowers generally represent various concessions such as term extensions, rate reductions and deferral of principal payments that would have been required under the terms of the original agreement. 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 could be contractually modified. Upon contractual modification, retained loans are accounted for as troubled debt restructurings. 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 accounted for and reported as purchased credit-impaired loans. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div>   <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">The allowance for loan losses includes an asset-specific component and a formula-based component. The asset-specific component relates to risk-rated loans considered to be impaired and all loans restructured in troubled debt restructurings (except for certain purchased credit-impaired loans). An allowance is established when the loan’s discounted cash flows (or collateral value or observable market price) are lower than its carrying value. To compute the asset-specific component of the allowance, larger loans are evaluated individually, while smaller loans are evaluated as pools using historical loss experience for the respective class of assets. Risk-rated loans (primarily wholesale loans) are pooled by risk rating, while scored loans (i.e., consumer loans) are pooled by product type. An allowance for loan losses will also be recorded for purchased credit-impaired loans if there are probable credit-related decreases in expected future cash flows. Any required allowance would be measured based on the present value of expected cash flows discounted at the loan’s (or pool’s) effective interest rate. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The formula-based component is based on a statistical calculation and covers performing wholesale loans and consumer loans, except for loans restructured in troubled debt restructurings and purchased credit-impaired loans. For risk-rated loans, the statistical calculation is the product of an estimated probability of default (“PD”) and an estimated loss given default (“LGD”). These factors are differentiated by risk rating and expected maturity. In assessing the risk rating of a particular loan, among the factors considered are the obligor’s debt capacity and financial flexibility, the level of the obligor’s earnings, the amount and sources for repayment, the level and nature of contingencies, management strength, and the industry and geography in which the obligor operates. These factors are based on an evaluation of historical and current information, and involve subjective assessment and interpretation. Emphasizing one factor over another or considering additional factors could impact the risk rating assigned by the Firm to that loan. PD estimates are based on observable external data, primarily credit-rating agency default statistics. LGD estimates are based on a study of actual credit losses over more than one credit cycle. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For scored loans, the statistical calculation is performed on pools of loans with similar risk characteristics (e.g., product type) and generally computed as the product of actual outstandings, an expected-loss factor and an estimated-loss coverage period. Expected-loss factors are statistically derived and consider historical factors such as loss frequency and severity. In developing loss frequency and severity assumptions, the Firm considers known and anticipated changes in the economic environment, including changes in housing prices, unemployment rates and other risk indicators. A nationally recognized home price index measure is used to develop loss severity estimates on defaulted home loans at the MSA level. These loss severity estimates are regularly validated by actual losses recognized on defaulted loans, market-specific real estate appraisals and property sales activity. Real estate appraisals are updated when the loan is charged-off, annually thereafter, and at the time of the final foreclosure sale. Forecasting methods are used to estimate expected-loss factors, including credit loss forecasting models and vintage-based loss forecasting. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Management applies judgment within an established framework to adjust the results of applying the statistical calculation described above. Where adjustments are made to the statistical calculation for the risk-rated portfolios, the determination of the appropriate point within the range is based on management’s quantitative and qualitative assessment of the quality of underwriting standards; relevant internal factors affecting the credit quality of the current portfolio; and external factors, such as current macroeconomic and political conditions that have occurred but are not yet reflected in the loss factors. Factors related to unemployment, housing prices, and both concentrated and deteriorating industries are also incorporated into the calculation, where relevant. Adjustments to the statistical calculation for the scored loan portfolios are accomplished in part by analyzing the historical loss experience for each major product segment. The specific ranges and the determination of the appropriate point within the range are based on management’s view of uncertainties that relate to current macroeconomic and political conditions, the quality of underwriting standards, and other relevant internal and external factors affecting the credit quality of the portfolio. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Management establishes an asset-specific allowance for lending-related commitments that are considered impaired and computes a formula-based allowance for performing wholesale lending-related commitments. These are computed using a methodology similar to that used for the wholesale loan portfolio, modified for expected maturities and probabilities of drawdown. </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>  <div style="font-family: 'Times New Roman',Times,serif"> <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">Nine months ended September 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>17,558</b></td> <td> </td> <td> </td> <td> </td> <td align="right">7,215</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>(770</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(695</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>16,788</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,520</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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Provision excluding accounting policy conformity </div></td> <td> </td> <td> </td> <td align="right"><b>24,569</b></td> <td> </td> <td> </td> <td> </td> <td align="right">11,827</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Provision for loan losses — accounting conformity<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">1,976</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 provision</b> </div></td> <td> </td> <td> </td> <td align="right"><b>24,569</b></td> <td> </td> <td> </td> <td> </td> <td align="right">13,803</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Addition resulting from the Washington Mutual transaction </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,535</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>(b)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(312</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="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 September 30</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>30,633</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">19,052</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Components: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Asset-specific </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,571</b></td> <td> </td> <td> </td> <td> </td> <td align="right"> $323</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Formula-based </div></td> <td> </td> <td> </td> <td align="right"><b>28,062</b></td> <td> </td> <td> </td> <td> </td> <td align="right">18,729</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total allowance for loan losses</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>30,633</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">19,052</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 align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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>Related to the Washington Mutual transaction in the third quarter of 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>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 147–155 of this Form 10-Q.</i></td> </tr> </table> <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">Nine months ended September 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">$</td> <td align="right">850</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Provision for lending-related commitments </div></td> <td> </td> <td> </td> <td align="right"><b>162</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(137</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Allowance for lending-related commitments at September 30</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>821</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">713</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Components: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Asset-specific </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>213</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">34</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Formula-based </div></td> <td> </td> <td> </td> <td align="right"><b>608</b></td> <td> </td> <td> </td> <td> </td> <td align="right">679</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total allowance for lending-related commitments</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>821</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">713</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>   <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 September 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>September 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</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">securities</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">104.8</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">104.8</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">0.1</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">15.8</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">14.9</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6.2</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">37.0</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">199.9</td> <td> </td> <td> </td> <td> </td> <td align="right">184.3</td> <td> </td> <td> </td> <td> </td> <td align="right">1.0</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">1.2</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">52.0</td> <td> </td> <td> </td> <td> </td> <td align="right">44.9</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:45px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right">43.6</td> <td> </td> <td> </td> <td> </td> <td align="right">43.6</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" 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">157.2</td> <td> </td> <td> </td> <td> </td> <td align="right">24.6</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"> <td> <div style="margin-left:30px; text-indent:-15px">Student </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">0.3</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">—</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">$</td> <td align="right">558.9</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">403.6</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2.8</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">16.8</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">14.9</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">6.3</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">40.8</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</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">securities</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 </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 align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <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: 3pt"> <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: 3pt"> <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: 3pt"> <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: 3pt"> <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 162–163 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>(f)</i></td> <td> </td> <td><i>Excludes senior and subordinated securities of $1.0 billion and $974 million at September 30, 2009, and December 31, 2008, respectively, which the Firm purchased in connection with IB’s secondary market-making activities.</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>Includes investments acquired in the secondary market, but predominantly for held-for-investment purposes, of $1.9 billion and $1.8 billion as of September 30, 2009, and December 31, 2008, respectively. This is comprised of $1.7 billion and $1.4 billion of investments classified as available-for-sale, including $1.7 billion and $172 million in credit cards, zero and $693 million of residential mortgages, and zero and $495 million of commercial and other; and $186 million and $452 million of investments classified as trading, including $104 million and $112 million of credit cards, $80 million and $303 million of residential mortgages, and $2 million and $37 million of commercial and other, all respectively at September 30, 2009, and December 31, 2008.</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>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 123–131 of this Form 10-Q for further information on derivatives.</i></td> </tr> <tr style="font-size: 3pt"> <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 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: 12pt"><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 132 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 card trust, through the first nine 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 comprised 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 held by 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 composed 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 pretax 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">The following is a description of the Firm’s retained interests in credit card securitizations that were not consolidated at the dates presented. Accordingly, the Firm’s retained interests in the WMM Trust are included in the amounts reported at December 31, 2008, but no longer included at September 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 156—161 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: 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 September 30, 2009, and December 31, 2008, the Firm had $14.9 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 16% for the nine months ended September 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 are classified within loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">CS retains senior and subordinated securities in its credit card securitization trusts. The senior securities totaled $7.1 billion and $3.5 billion at September 30, 2009, and December 31, 2008, respectively, and the subordinated securities totaled $7.0 billion and $2.3 billion at September 30, 2009, and December 31, 2008, respectively. Of the securities retained, $14.1 billion and $5.4 billion were classified as AFS securities at September 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 $1.1 billion and $74 million as of September 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 September 30, 2009, and December 31, 2008, respectively. JPMorgan Chase has also recorded $669 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: 12pt"><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 162-163 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 $337 million and $939 million at September 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. </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 $29 million and $155 million at September 30, 2009, and December 31, 2008, respectively. Additionally, IB retained $2.4 billion and $2.8 billion of senior and subordinated interests as of September 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 $35.5 billion and $31.9 billion during the three months ended September 30, 2009 and 2008, respectively, and $113.9 billion and $101.0 billion during the nine months ended September 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 $17 million and $4 million during the three months ended September 30, 2009 and 2008, respectively, and $68 million and $30 million during the nine months ended September 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 168–172 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: 12pt"><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 September 30, 2009, and December 31, 2008, the Firm held $10 million and $37 million, respectively, of retained interests in securitized automobile loan securitizations, and $50 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 nine months ended September 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="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"><b>Three months ended September 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"> </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>(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">Student</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>10,115</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">—</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">—</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">—</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>6</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> <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"><b>$</b></td> <td align="right"><b>10,115</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)(g)</i></sup></td> <td> </td> <td align="right"><b>$</b></td> <td align="right">—</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">—</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">—</td> <td> </td> <td> </td> <td align="right"><b>$</b></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"><b>313</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>105</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>118</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>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>2,245</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">—</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"><b>43,316</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> <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 nowrap="nowrap" align="right"> </td> <td align="right">—</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>36</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7</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"><b>112</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>78</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>148</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>11</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>31</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>10</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>9.3</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>12.0</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 September 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"> </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>(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">Student</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">6,085</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">361</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">17</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">$</td> <td align="right">6,085</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td align="right">$</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">$</td> <td align="right">357</td> <td> </td> <td> </td> <td align="right">$</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">285</td> <td> </td> <td> </td> <td> </td> <td align="right">25</td> <td> </td> <td> </td> <td> </td> <td align="right">22</td> <td> </td> <td> </td> <td> </td> <td align="right">—</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">3</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">1,429</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">Proceeds from collections reinvested in revolving securitizations </div></td> <td> </td> <td> </td> <td align="right">36,641</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">37</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">210</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">33</td> <td> </td> <td> </td> <td> </td> <td align="right">109</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">34</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">16</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">18.2</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 nowrap="nowrap" align="right"> </td> <td align="right">1.5</td> <td nowrap="nowrap">%</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 colspan="2" align="right">CPR</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">0.5</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">2.1</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">4.8</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 nowrap="nowrap" align="right"> </td> <td align="right">1.5</td> <td nowrap="nowrap">%</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">12.0</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 nowrap="nowrap" align="right"> </td> <td align="right">25.0</td> <td nowrap="nowrap">%</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="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"><b>Nine months ended September 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"> </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>(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">Student</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>26,538</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">—</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">—</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">—</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>22</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> <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"><b>$</b></td> <td align="right"><b>26,538</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)(g)</i></sup></td> <td> </td> <td align="right"><b>$</b></td> <td align="right">—</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">—</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">—</td> <td> </td> <td> </td> <td align="right"><b>$</b></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"><b>947</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>337</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>364</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>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</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>3,354</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>3</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">Proceeds from collections reinvested in revolving securitizations </div></td> <td> </td> <td> </td> <td align="right"><b>120,533</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> <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 nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Purchases of previously transferred <br /> financial assets (or the underlying <br /> 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">—</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>112</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</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> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>249</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>223</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>512</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>75</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>5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>23</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> </td> <td colspan="0" 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> </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>8.9</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>16.0</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">Nine months ended September 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"> </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>(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">Student</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">21,390</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">1,023</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">153</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">$</td> <td align="right">21,389</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td align="right">$</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">$</td> <td align="right">989</td> <td> </td> <td> </td> <td align="right">$</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">836</td> <td> </td> <td> </td> <td> </td> <td align="right">85</td> <td> </td> <td> </td> <td> </td> <td align="right">78</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">4</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right">13</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">3,932</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">113,563</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 nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px">Purchases of previously <br /> transferred financial assets (or <br /> 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">186</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">359</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">49</td> <td> </td> <td> </td> <td> </td> <td align="right">267</td> <td> </td> <td> </td> <td> </td> <td align="right">19</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">123</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </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> <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">19.1</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 nowrap="nowrap" align="right"> </td> <td align="right">1.5</td> <td nowrap="nowrap">%</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 colspan="2" align="right">CPR</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 align="right">2.1</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">4.6</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 nowrap="nowrap" align="right"> </td> <td align="right">1.5</td> <td nowrap="nowrap">%</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">12.5</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 nowrap="nowrap" align="right"> </td> <td align="right">25.0</td> <td nowrap="nowrap">%</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: 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 excess servicing fees and other ancillary fees received.</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 cash paid by the Firm to reacquire assets from the QSPEs — for example, servicer clean-up calls.</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 cash flows received on retained interests — including, for example, principal repayments and interest payments.</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>PPR: principal payment rate; CPR: constant prepayment rate.</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>Includes $5.4 billion and $12.8 billion of securities retained by the Firm for the three and nine months ended September 30, 2009, respectively; $4.3 billion and $5.5 billion of securities were retained by the Firm for the three and nine months ended September 30, 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 Alt-A loans.</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 required under the terms of the transaction documents, $1.1 billion and $1.6 billion of proceeds from new securitizations were deposited to cash escrow accounts during the three and nine months ended September 30, 2009, respectively.</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>Excludes activities related to the Washington Mutual Master Trust. For a description of these activities, see pages 149-150 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 September 30, 2009, and December 31, 2008, respectively. The risk ratings are periodically reassessed as information becomes available. As of September 30, 2009, and December 31, 2008, 61% 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="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">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>September 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>15.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5.0</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>20.9</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>0.8</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>1.2</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>—</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">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>2.1</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>2.4</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 </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>18.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5.8</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>24.7</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: 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 retained subordinated interests carried at fair value, including CS’s accrued interests and fees, escrow accounts, and other residual interests. Excludes, at September 30, 2009, and December 31, 2008, undivided seller interest in the trusts of $14.9 billion and $33.3 billion, respectively, and unencumbered cash amounts on deposit of $1.2 billion and $2.1 billion, respectively, which are carried at historical 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 Alt-A loans.</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 ratings scale is presented on an S&P-equivalent basis.</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>Includes $1.9 billion and $1.8 billion of investments acquired in the secondary market, but predominantly held for investment purposes, as of September 30, 2009, and December 31, 2008, respectively. Of these amounts, $1.8 billion and $1.7 billion are classified as investment-grade as of September 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>(e)</i></td> <td> </td> <td><i>Excludes senior and subordinated securities of $1.0 billion and $974 million at September 30, 2009, and December 31, 2008, respectively, which 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 September 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 162-163 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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 0px solid #000000"> </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"><b>September 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> </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> <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</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">JPMorgan Chase interests in securitized assets </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>3,940</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>$</b></td> <td align="right"><b>1,267</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>46</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>130</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,339</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>53</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>10</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">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>8.7</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>7.0</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>0.7</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">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>6.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>24.1</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>7.5</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>0.1</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> <div style="margin-left:30px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(5</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(21</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> <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>(7</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>(10</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"><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>(1</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>(8</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" 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>9.9</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>7.1</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>6.1</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> <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>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>1.0</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>(40</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(24</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(4</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>(36</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>(41</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(44</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(7</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>(100</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> </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>16.5</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>24.1</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>12.4</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>12.1</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>3.0</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>$</b></td> <td align="right"><b>(10</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(51</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>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(71</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(4</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>(98</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>(4</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(140</b></td> <td nowrap="nowrap"><b>)</b></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> </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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 0px solid #000000"> </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">December 31, 2008</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </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> <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</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">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> <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> <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" 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">)</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: 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>As of September 30, 2009, certain investments acquired in the secondary market but predominantly held for investment purposes are included.</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>PPR: principal payment rate; ABS: absolute prepayment speed; CPR: constant prepayment rate.</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>Excludes the Firm’s retained senior and subordinated AFS securities in its credit card securitization trusts, which are discussed in Note 11 on pages 136-141 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>(d)</i></td> <td> </td> <td><i>Includes Alt-A loans.</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>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 September 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: 7pt" 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: 7pt" 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: 7pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 0px solid #000000"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 0px solid #000000"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 0px solid #000000"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Three months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Nine months ended</td> </tr> <tr style="font-size: 7pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>Sept. 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>Sept. 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>Sept. 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: 1px solid #000000">September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">September 30,</td> </tr> <tr style="font-size: 7pt" 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 — senior lien </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>27,726</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">29,793</td> <td> </td> <td> </td> <td align="right"><b>$</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>449</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">291</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>65</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">23</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>164</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">60</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Home equity — junior lien </div></td> <td> </td> <td> </td> <td align="right"><b>77,069</b></td> <td> </td> <td> </td> <td> </td> <td align="right">84,542</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>1,149</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,103</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,077</b></td> <td> </td> <td> </td> <td> </td> <td align="right">640</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,341</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,561</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <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>67,597</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>4,007</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,895</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>528</b></td> <td> </td> <td> </td> <td> </td> <td align="right">177</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,323</b></td> <td> </td> <td> </td> <td> </td> <td align="right">331</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>13,270</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>3,233</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,690</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>422</b></td> <td> </td> <td> </td> <td> </td> <td align="right">273</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,196</b></td> <td> </td> <td> </td> <td> </td> <td align="right">614</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>8,852</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>244</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>34</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">Auto </div></td> <td> </td> <td> </td> <td align="right"><b>44,309</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>179</b></td> <td> </td> <td> </td> <td> </td> <td align="right">148</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>159</b></td> <td> </td> <td> </td> <td> </td> <td align="right">124</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>479</b></td> <td> </td> <td> </td> <td> </td> <td align="right">361</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card </div></td> <td> </td> <td> </td> <td align="right"><b>78,215</b></td> <td> </td> <td> </td> <td> </td> <td align="right">104,746</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,745</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,649</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,694</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,106</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,412</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,159</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">All other </div></td> <td> </td> <td> </td> <td align="right"><b>32,405</b></td> <td> </td> <td> </td> <td> </td> <td align="right">33,715</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>511</b></td> <td> </td> <td> </td> <td> </td> <td align="right">463</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>863</b></td> <td> </td> <td> </td> <td> </td> <td align="right">430</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>355</b></td> <td> </td> <td> </td> <td> </td> <td align="right">89</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>911</b></td> <td> </td> <td> </td> <td> </td> <td align="right">249</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>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>1,546</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"> <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>350,989</b></td> <td> </td> <td> </td> <td> </td> <td align="right">394,041</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,256</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,112</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,127</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,571</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,315</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,432</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,860</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,335</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <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>83,202</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"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total consumer loans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>434,191</b></td> <td> </td> <td> </td> <td> </td> <td align="right">482,854</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,256</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,112</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,127</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,571</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,315</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,432</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,860</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,335</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total wholesale loans</b> </div></td> <td> </td> <td> </td> <td align="right"><b>218,953</b></td> <td> </td> <td> </td> <td> </td> <td align="right">262,044</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>484</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>7,640</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>1,058</b></td> <td> </td> <td> </td> <td> </td> <td align="right">52</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,928</b></td> <td> </td> <td> </td> <td> </td> <td align="right">185</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</b> </div></td> <td> </td> <td> </td> <td align="right"><b>653,144</b></td> <td> </td> <td> </td> <td> </td> <td align="right">744,898</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,740</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,275</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>17,767</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,953</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,373</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,484</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16,788</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,520</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>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"> <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" style="background: #cceeff"> <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>184,271</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>33,448</b></td> <td> </td> <td> </td> <td> </td> <td align="right">21,130</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,728</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,139</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,319</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,822</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Subprime mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>44,894</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>16,213</b></td> <td> </td> <td> </td> <td> </td> <td align="right">13,301</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,684</b></td> <td> </td> <td> </td> <td> </td> <td align="right">729</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,962</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,621</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right"><b>43,598</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>10,667</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,440</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>566</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,420</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">Auto </div></td> <td> </td> <td> </td> <td align="right"><b>261</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>—</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">7</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">12</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card </div></td> <td> </td> <td> </td> <td align="right"><b>87,028</b></td> <td> </td> <td> </td> <td> </td> <td align="right">85,571</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,813</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>1,698</b></td> <td> </td> <td> </td> <td> </td> <td align="right">873</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,826</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,384</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Student </div></td> <td> </td> <td> </td> <td align="right"><b>1,027</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,074</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>65</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">—</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" 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>24,633</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>789</b></td> <td> </td> <td> </td> <td> </td> <td align="right">166</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8</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 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>385,712</b></td> <td> </td> <td> </td> <td> </td> <td align="right">452,322</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,878</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,896</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>61,117</b></td> <td> </td> <td> </td> <td> </td> <td align="right">41,039</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,679</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,751</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19,543</b></td> <td> </td> <td> </td> <td> </td> <td align="right">5,848</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 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"><b>$</b></td> <td align="right"><b>1,038,856</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>5,618</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>78,884</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>13,052</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,235</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>36,331</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">12,368</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: 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 Alt-A loans.</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 loans for prime mortgages and other (largely student loans) of $187 million and $1.4 billion at September 30, 2009, respectively, and $206 million and $1.8 billion at 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>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. 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 142-145 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>(d)</i></td> <td> </td> <td><i>Total assets held in securitization-related SPEs were $558.9 billion and $640.8 billion at September 30, 2009, and December 31, 2008, respectively. The $385.7 billion and $452.3 billion of loans securitized at September 30, 2009, and December 31, 2008, respectively, excludes: $155.3 billion and $152.4 billion of securitized loans, in which the Firm has no continuing involvement; $14.9 billion and $33.3 billion of seller’s interests in credit card master trusts; and $3.0 billion and $2.8 billion of cash amounts on deposit and escrow accounts, all respectively.</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>Represents both loans on the Consolidated Balance Sheets and loans that have been securitized.</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 securitized loans that were previously recorded at fair value and classified as trading assets.</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>At September 30, 2009, and December 31, 2008, nonperforming loans and assets excluded: (i) mortgage loans insured by U.S. government agencies of $7.0 billion and $3.0 billion, respectively; (ii) real estate owned that was insured by U.S. government agencies of $579 million and $364 million, respectively; and (iii) 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 $511 million and $437 million, respectively. These amounts are excluded, as reimbursement is proceeding normally.</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>Includes nonperforming loans held-for-sale and loans at fair value of $146 million and $32 million at September 30, 2009, and December 31, 2008, respectively</i>.</td> </tr> </table> </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> </div>

<div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><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 Firm-administered multi-seller conduits. On May 31, 2009, the Firm consolidated one of these 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>September 30, 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 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>$</b></td> <td align="right"><b>5.2</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>19.0</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">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>5.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19.0</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 style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deal-specific liquidity facilities (primarily asset purchase agreements) </div></td> <td> </td> <td> </td> <td align="right"><b>8.5</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>26.7</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 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">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:15px; 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 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>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>8.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>27.3</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: 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>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 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: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>The accounting for the guarantees reflected in these agreements is further discussed in Note 33 on pages 206-210 of JPMorgan Chase’s 2008 Annual Report. The carrying values related to asset purchase agreements were $115 million and $147 million at September 30, 2009, and December 31, 2008, respectively, of which $110 million and $138 million, respectively, represented the remaining fair value of the guarantee. 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 September 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="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>September 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>2.1</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>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6.0</b></td> <td> </td> <td> </td> <td align="right">$</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>1.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7.4</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>3.3</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">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5.3</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>0.3</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">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.0</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>0.5</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">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.4</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">—</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>0.2</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>1.3</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>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.2</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>0.1</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">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</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>—</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">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">—</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>0.1</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">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</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>—</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">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</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>8.3</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>19.0</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>26.7</b></td> <td> </td> <td> </td> <td align="right">$</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: 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 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>September 30, 2009</b></td> <td> </td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Investment-grade</td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </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"><b>$</b></td> <td align="right"><b>1.6</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2.3</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><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>3.9</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>3.6</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"><b>0.7</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>5.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.5</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>1.4</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>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>2.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.8</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>1.7</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>1.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.1</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>0.8</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>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>0.3</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>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>—</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>—</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>2.2</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>—</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>0.7</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>0.3</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>—</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>0.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.2</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>—</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">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>1.8</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>0.4</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>—</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>5.1</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>8.3</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7.2</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3.0</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>19.0</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: 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="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 style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Investment-grade</td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </td> <td style="border-bottom: 1px solid #000000"> </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: 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>The ratings scale is presented on an S&P-equivalent basis.</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>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 September 30, 2009, and December 31, 2008, 94% 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 September 30, 2009, and December 31, 2008, was 17 days and 27 days, respectively, and the average yield on the commercial paper was 0.2% 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 nine months ended September 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 September 30, 2009, was approximately $373 million, or 5%, 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 September 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 September 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 September 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="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>September 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="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">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>13.2</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8.2</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5.0</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8.2</b></td> <td> </td> <td> </td> <td align="right">$</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="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<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">  </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>September 30, 2009</b> </div></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>$</b></td> <td align="right"><b>11.5</b></td> <td> </td> <td> </td> <td align="right"><b>$</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>13.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8.4</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: 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>Excluded $3.4 billion and $6.0 billion at September 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: 3pt"> <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 reported at fair value). This line item excluded a 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 September 30, 2009.</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 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 September 30, 2009, and December 31, 2008.</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>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: 3pt"> <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 nine months 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 nine months 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 September 30, 2009, and December 31, 2008, respectively, the Firm held $286 million and $293 million of these certificates on its Consolidated Balance Sheets. The largest amount held by the Firm at any time during the first nine months of 2009 was $458 million, or 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 September 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 on either the rating of the underlying municipal bond itself, or the rating including any credit enhancement. At September 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>  <div style="font-family: 'Times New Roman',Times,serif"> <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 September 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>September 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>1.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.7</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2.6</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>11.4</b></td> <td> </td> <td> </td> <td align="right">$</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">$</td> <td align="right">14.5</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Managed structure<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>5.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">7.7</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">8.0</td> <td> </td> <td> </td> <td> </td> <td align="right">16.6</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6.9</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>8.3</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>26.5</b></td> <td> </td> <td> </td> <td align="right">$</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 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>Excluded collateral with a fair value of $1.6 billion and $2.1 billion at September 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: 3pt"> <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 September 30, 2009.</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>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: 3pt"> <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: 3pt"> <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 on 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 September 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>September 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>0.1</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>0.1</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>6.2</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</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: 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>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: 3pt"> <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: 3pt"> <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: 3pt"> <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 $0.6 billion and $1.0 billion at September 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 September 30, 2009, and December 31, 2008, the Firm had noninvestment-grade funded loans of $163 million and $405 million, respectively, to nonconsolidated CDO warehouse VIEs; additionally, the Firm had unfunded commitments of zero and $746 million, 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 $163 million and $1.1 billion as of September 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 it 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 September 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 September 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 $3.6 billion and $2.6 billion, respectively. For more information on AFS securities, see Note 11 on pages 136-141 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 the FRBNY and JPMorgan Chase loans will be repaid will depend on 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. </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: 6pt">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>September 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>$</b></td> <td align="right"><b>2.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2.3</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5.2</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>6.6</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>7.0</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>—</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>3.4</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>1.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.6</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>3.8</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>3.9</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage securitizations </div></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> </tr> <tr valign="bottom" style="background: #cceeff"> <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"> <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" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>2.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.0</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>3.9</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"><b>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7.2</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>14.3</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4.3</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>25.8</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>September 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>5.2</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>5.2</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>4.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4.6</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>3.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.1</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>0.9</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>1.0</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>2.6</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>3.7</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage securitizations </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" style="background: #cceeff"> <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"> <td> <div style="margin-left:15px; text-indent:-15px">Energy investments </div></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>0.2</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>1.2</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>1.9</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"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>17.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1.9</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>19.8</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>  <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="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">Mortgage securitization </div></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">0.7</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <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"> <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" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">2.1</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">4.5</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</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 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">Mortgage securitization </div></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">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"> <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" style="background: #cceeff"> <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">1.3</td> <td> </td> <td> </td> <td> </td> <td align="right">2.0</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"> <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: 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 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 52-54 and Note 15 on pages 147-155 respectively, 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>Included assets classified as resale agreements and other assets within the Consolidated Balance Sheets.</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>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: 3pt"> <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 $12.6 billion and $10.6 billion at September 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>(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>

<div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 17 — GOODWILL AND ALL OTHER INTANGIBLE ASSETS </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a discussion of accounting policies related to goodwill and other intangible assets, see Note 18 on pages 186-189 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Goodwill and all other intangible assets consist of the following. </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>September 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>Goodwill</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>48,334</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">48,027</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>13,663</b></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> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Purchased credit card relationships </div></td> <td> </td> <td> </td> <td align="right"><b>1,342</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,649</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">All other intangible assets: </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">Other credit card-related intangibles </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>711</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">743</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Core deposit intangibles </div></td> <td> </td> <td> </td> <td align="right"><b>1,302</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,597</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Other intangibles </div></td> <td> </td> <td> </td> <td align="right"><b>1,507</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,592</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 all other intangible assets</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,520</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3,932</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="left" style="font-size: 10pt; margin-top: 12pt"><b>Goodwill</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The $307 million increase in goodwill from December 31, 2008, was largely due to purchase accounting adjustments related to the Bear Stearns merger; currency translation adjustments related to Canadian credit card operations; and the acquisition of a commodities business by IB. For additional information related to the Bear Stearns merger, see Note 2 on pages 102-106 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Goodwill was not impaired at September 30, 2009, or December 31, 2008, nor was any goodwill written off due to impairment during either of the nine month periods ended September 30, 2009 or 2008. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Goodwill attributed to the business segments was as follows. </div> <div align="center"> <table style="font-size: 10pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>September 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31, 2008</td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Investment Bank </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,961</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,765</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Retail Financial Services </div></td> <td> </td> <td> </td> <td align="right"><b>16,832</b></td> <td> </td> <td> </td> <td> </td> <td align="right">16,840</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Card Services </div></td> <td> </td> <td> </td> <td align="right"><b>14,110</b></td> <td> </td> <td> </td> <td> </td> <td align="right">13,977</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial Banking </div></td> <td> </td> <td> </td> <td align="right"><b>2,868</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,870</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Treasury & Securities Services </div></td> <td> </td> <td> </td> <td align="right"><b>1,661</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,633</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Asset Management </div></td> <td> </td> <td> </td> <td align="right"><b>7,525</b></td> <td> </td> <td> </td> <td> </td> <td align="right">7,565</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Corporate/Private Equity </div></td> <td> </td> <td> </td> <td align="right"><b>377</b></td> <td> </td> <td> </td> <td> </td> <td align="right">377</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total goodwill</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>48,334</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">48,027</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 align="left" style="font-size: 10pt; margin-top: 12pt"><b>Mortgage servicing rights</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a further description of the MSR asset, interest rate risk management, and the valuation methodology of MSRs, see Notes 4 and 18 on pages 132 and 186-189, respectively, of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The fair value of MSRs is sensitive to changes in interest rates, including their effect on prepayment speeds. JPMorgan Chase uses, or has used, combinations of derivatives and trading instruments to manage changes in the fair value of MSRs. The intent is to offset any changes in the fair value of MSRs with changes in the fair value of the related risk management instruments. MSRs decrease in value when interest rates decline. Conversely, securities (such as mortgage-backed securities), principal-only certificates and certain derivatives (when the Firm receives fixed-rate interest payments) increase in value when interest rates decline. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes MSR activity for the three and nine months ended September 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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 30,</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except where otherwise noted)</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">Fair value at the beginning of the period </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>14,600</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">11,617</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>9,403</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8,632</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">MSR activity </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:30px; text-indent:-15px">Originations of MSRs </div></td> <td> </td> <td> </td> <td align="right"><b>873</b></td> <td> </td> <td> </td> <td> </td> <td align="right">763</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,851</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,685</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Purchase of MSRs </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">5,893</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>2</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">6,903</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Disposition of MSRs </div></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 nowrap="nowrap" align="right"> </td> <td align="right"><b>(10</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="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px"><b>Total net additions</b> </div></td> <td> </td> <td> </td> <td align="right"><b>873</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,656</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,843</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,588</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Change in valuation due to inputs and assumptions<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>(1,096</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(797</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>4,045</b></td> <td> </td> <td> </td> <td> </td> <td align="right">87</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"> <td> <div style="margin-left:15px; text-indent:-15px">Other changes in fair value<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>(714</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(428</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2,628</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,259</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"> <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:45px; text-indent:-15px">Total change in fair value of MSRs<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>(1,810</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,225</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>1,417</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,172</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"> <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"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Fair value at September 30</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>13,663</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">17,048</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>13,663</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">17,048</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Change in unrealized gains/(losses) included in income related to MSRs held at September 30 </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,096</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(797</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,045</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">87</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Contractual service fees, late fees and other ancillary fees included in income </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,187</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">762</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,615</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,074</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Third-party mortgage loans serviced at September 30 (in billions) </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,107.7</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,219.6</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,107.7</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,219.6</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: 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 MSRs acquired as a result of the Washington Mutual transaction. For further discussion, see Note 2 on pages 102-106 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>Represents MSR asset fair value adjustments due to changes in inputs, such as interest rates and volatility, as well as updates to assumptions used in the valuation model. Also represents total realized and unrealized gains/(losses) included in net income using significant unobservable inputs (level 3).</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 changes in MSR value due to modeled servicing portfolio runoff (or time decay). Represents the impact of cash settlements using significant unobservable inputs (level 3).</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>Includes $1 million and $(3) million related to changes in commercial real estate for the three- and nine-month periods ended September 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>Includes $42 million related to commercial real estate.</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 following table presents the components of mortgage fees and related income (including the impact of MSR risk management activities) for the three and nine months ended September 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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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"><b>RFS net mortgage servicing revenue</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">Production revenue </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(70</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right">$</td> <td align="right">66</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>695</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">836</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">Net mortgage servicing revenue </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">Operating revenue: </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:45px; text-indent:-15px">Loan servicing revenue </div></td> <td> </td> <td> </td> <td align="right"><b>1,220</b></td> <td> </td> <td> </td> <td> </td> <td align="right">654</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,721</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,892</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Other changes in MSR asset fair value<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>(712</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(390</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2,622</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,209</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:30px; text-indent:-15px">Total operating revenue </div></td> <td> </td> <td> </td> <td align="right"><b>508</b></td> <td> </td> <td> </td> <td> </td> <td align="right">264</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,099</b></td> <td> </td> <td> </td> <td> </td> <td align="right">683</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">Risk management: </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:45px; text-indent:-15px">Changes in MSR asset fair value due to inputs or assumptions in model<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 nowrap="nowrap" align="right"> </td> <td align="right">(786</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>4,042</b></td> <td> </td> <td> </td> <td> </td> <td align="right">101</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Derivative valuation adjustments and other </div></td> <td> </td> <td> </td> <td align="right"><b>1,534</b></td> <td> </td> <td> </td> <td> </td> <td align="right">894</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2,523</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">39</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:30px; text-indent:-15px">Total risk management </div></td> <td> </td> <td> </td> <td align="right"><b>435</b></td> <td> </td> <td> </td> <td> </td> <td align="right">108</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,519</b></td> <td> </td> <td> </td> <td> </td> <td align="right">140</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 RFS net mortgage servicing revenue</b> </div></td> <td> </td> <td> </td> <td align="right"><b>943</b></td> <td> </td> <td> </td> <td> </td> <td align="right">372</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,618</b></td> <td> </td> <td> </td> <td> </td> <td align="right">823</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">All other<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>(30</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">19</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(85</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">19</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>Mortgage fees and related income</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>843</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">457</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,228</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,678</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: 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 changes in the MSR value due to modeled servicing portfolio runoff (or time decay). Represents the impact of cash settlements using significant unobservable inputs (level 3).</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 MSR asset fair value adjustments due to changes in inputs, such as interest rates and volatility, as well as updates to assumptions used in the valuation model. Also represents total realized and unrealized gains/(losses) included in net income using significant unobservable inputs (level 3).</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>Primarily represents risk management activities performed by Corporate.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The table below outlines the key economic assumptions used to determine the fair value of the Firm’s MSRs at September 30, 2009, and December 31, 2008; and it outlines the sensitivities of those fair values to immediate 10% and 20% adverse changes in those assumptions. </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, except rates)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>September 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">Weighted-average prepayment speed assumption (CPR) </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>14.11</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">35.21</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Impact on fair value of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(951</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,039</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Impact on fair value of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,832</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,970</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average option adjusted spread </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>4.72</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">3.80</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Impact on fair value of 100 basis points adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(530</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(311</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Impact on fair value of 200 basis points adverse change </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,019</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(606</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 align="left" style="font-size: 10pt; margin-top: 12pt"><i>CPR: Constant prepayment rate.</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The sensitivity analysis in the preceding table is hypothetical and should be used with caution. Changes in fair value based on a 10% and 20% variation in assumptions generally cannot be easily extrapolated, because the relationship of the change in the assumptions to the change in fair value may not be linear. Also, in this 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 magnify or counteract the sensitivities. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Purchased credit card relationships and all other intangible assets</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For the nine months ended September 30, 2009, purchased credit card relationships, other credit card-related intangibles, core deposit intangibles and other intangible assets decreased by $719 million, primarily reflecting amortization expense. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Except for $517 million of indefinitely-lived intangibles related to asset management advisory contracts, which are not amortized but are tested for impairment at least annually, the remainder of the Firm’s other acquired intangible assets are subject to amortization. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The components of credit card relationships, core deposits and other intangible 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="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>September 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">Net</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</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Gross</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Accumulated</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">carrying</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Gross</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Accumulated</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">carrying</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">amount</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">amortization</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">amount</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">amortization</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">value</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">Purchased credit card relationships </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,781</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,439</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,342</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,765</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,116</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,649</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">All other intangibles: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Other credit card-related intangibles </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>890</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>179</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>711</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">852</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">109</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">743</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Core deposit intangibles </div></td> <td> </td> <td> </td> <td align="right"><b>4,279</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>1,302</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,280</td> <td> </td> <td> </td> <td> </td> <td align="right">2,683</td> <td> </td> <td> </td> <td> </td> <td align="right">1,597</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Other intangibles </div></td> <td> </td> <td> </td> <td align="right"><b>2,190</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>683</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>1,507</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,376</td> <td> </td> <td> </td> <td> </td> <td align="right">784</td> <td> </td> <td> </td> <td> </td> <td align="right">1,592</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: 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 decrease from December 2008 in the gross amount of other intangibles and in accumulated amortization was primarily attributable to the removal of fully amortized assets.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Amortization expense</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents amortization expense related to credit card relationships, core deposits and all other intangible assets. </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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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">Purchased credit card relationships </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>99</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">149</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>323</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">466</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">All other intangibles: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Other credit card-related intangibles </div></td> <td> </td> <td> </td> <td align="right"><b>24</b></td> <td> </td> <td> </td> <td> </td> <td align="right">5</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>70</b></td> <td> </td> <td> </td> <td> </td> <td align="right">16</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Core deposit intangibles </div></td> <td> </td> <td> </td> <td align="right"><b>96</b></td> <td> </td> <td> </td> <td> </td> <td align="right">117</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>294</b></td> <td> </td> <td> </td> <td> </td> <td align="right">355</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Other intangibles<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>35</b></td> <td> </td> <td> </td> <td> </td> <td align="right">34</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>107</b></td> <td> </td> <td> </td> <td> </td> <td align="right">100</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total amortization expense</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>254</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">305</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>794</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">937</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>Excludes amortization expense related to servicing assets on securitized automobile loans, which is recorded in lending- and deposit-related fees, of $1 million for the three months ended September 30, 2008, and $1 million and $4 million for the nine months ended September 30, 2009 and 2008, respectively.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Future amortization expense</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents estimated future amortization expense related to credit card relationships, core deposits and all other intangible assets. </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> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other credit</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">All other</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">Purchased credit</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">card-related</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Core deposit</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">intangible</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">For the year: (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">card relationships</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">intangibles</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">intangibles</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">assets</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">2009<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td align="right">$</td> <td align="right">421</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">94</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">389</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">142</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,046</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">2010 </div></td> <td> </td> <td> </td> <td align="right">353</td> <td> </td> <td> </td> <td> </td> <td align="right">102</td> <td> </td> <td> </td> <td> </td> <td align="right">329</td> <td> </td> <td> </td> <td> </td> <td align="right">127</td> <td> </td> <td> </td> <td> </td> <td align="right">911</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">2011 </div></td> <td> </td> <td> </td> <td align="right">290</td> <td> </td> <td> </td> <td> </td> <td align="right">101</td> <td> </td> <td> </td> <td> </td> <td align="right">284</td> <td> </td> <td> </td> <td> </td> <td align="right">116</td> <td> </td> <td> </td> <td> </td> <td align="right">791</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">2012 </div></td> <td> </td> <td> </td> <td align="right">251</td> <td> </td> <td> </td> <td> </td> <td align="right">104</td> <td> </td> <td> </td> <td> </td> <td align="right">240</td> <td> </td> <td> </td> <td> </td> <td align="right">112</td> <td> </td> <td> </td> <td> </td> <td align="right">707</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">2013 </div></td> <td> </td> <td> </td> <td align="right">212</td> <td> </td> <td> </td> <td> </td> <td align="right">103</td> <td> </td> <td> </td> <td> </td> <td align="right">195</td> <td> </td> <td> </td> <td> </td> <td align="right">109</td> <td> </td> <td> </td> <td> </td> <td align="right">619</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 $323 million, $70 million, $294 million and $107 million of amortization expense related to purchased credit card relationships, other credit card-related intangibles, core deposit intangibles and all other intangibles, respectively, recognized during the first nine months of 2009.</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"><u><b>NOTE 18 — DEPOSITS </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For further discussion of deposits, see Note 20 on page 190 in JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">At September 30, 2009, and December 31, 2008, noninterest-bearing and interest-bearing deposits 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>September 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">U.S. offices: </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">Noninterest-bearing </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>195,561</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">210,899</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Interest-bearing (included $1,074 and $1,849 at fair value at September 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>415,122</b></td> <td> </td> <td> </td> <td> </td> <td align="right">511,077</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Non-U.S. offices: </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">Noninterest-bearing </div></td> <td> </td> <td> </td> <td align="right"><b>9,390</b></td> <td> </td> <td> </td> <td> </td> <td align="right">7,697</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Interest-bearing (included $2,842 and $3,756 at fair value at September 30, 2009, and December 31, 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>247,904</b></td> <td> </td> <td> </td> <td> </td> <td align="right">279,604</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>867,977</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,009,277</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="left" style="font-size: 10pt; margin-top: 6pt">On May 20, 2009, the Helping Families Save Their Homes Act of 2009 was signed into law. The Act extends through December 31, 2013, the Federal Deposit Insurance Corporation’s (“FDIC”) temporary standard maximum deposit insurance amount, which was increased on October 3, 2008, from $100,000 to $250,000 per depositor per institution. On January 1, 2014, the standard maximum deposit insurance amount will return to $100,000 per depositor for all deposit accounts except certain retirement accounts, which will remain at $250,000 per depositor. </div> </div>

<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>September 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">Advances from Federal Home Loan Banks<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>$</b></td> <td align="right" valign="top"><b>36,452</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top"> 70,187</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">Nonrecourse advances — FRBB<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>—</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">11,192</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">Other<sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top"><b>14,372</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top"> </td> <td align="right" valign="top">51,021</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"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px"><b>Total other borrowed funds</b><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup> </div></td> <td> </td> <td nowrap="nowrap" align="right" valign="top"><b>$</b></td> <td align="right" valign="top"><b>50,824</b></td> <td nowrap="nowrap" valign="top"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="top">$</td> <td align="right" valign="top">132,400</td> <td nowrap="nowrap" valign="top"> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" valign="top" 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>Maturities of advances from the FHLBs were $32.2 billion, $2.6 billion, and $717 million in each of the 12-month periods ending September 30, 2010, 2011, and 2013, respectively, and $930 million maturing after September 30, 2014. Maturities for the 12-month periods ending September 30, 2012 and 2014 were not material.</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>On September 19, 2008, the Federal Reserve Board established a special lending facility, the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (“AML Facility”), to provide liquidity to eligible U.S. money market mutual funds. Under the AML Facility, banking organizations must use the loan proceeds to finance their purchases of eligible high-quality asset-backed commercial paper (“ABCP”) investments from money market mutual funds, 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 AML Facility is scheduled to end on February 1, 2010. 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: 3pt"> <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 September 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 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 markets are not operating efficiently.</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>Includes other borrowed funds of $5.0 billion and $14.7 billion accounted for at fair value at September 30, 2009, and December 31, 2008, respectively.</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"><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 September 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="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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </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">Share value and</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"><b>rate in effect at</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>September 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>September 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>September 30,</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>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 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 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 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 Rate Noncumulative Perpetual Preferred 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 Perpetual Preferred 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 Perpetual Preferred 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> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td colspan="3" 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" 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: 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>Represented by depositary shares.</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>Redemption price includes amount shown in the table plus any accrued but unpaid dividends.</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>Represents the carrying value as of December 31, 2008. The redemption value was $25.0 billion.</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>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 outstanding shares of Series K preferred stock issued to the U.S. Treasury pursuant to the Capital Purchase Program and repaid the full $25.0 billion principal amount. Following discussions regarding the warrant that was issued to the U.S. Treasury in connection with its purchase of the Series K preferred stock, JPMorgan Chase notified the U.S. Treasury on July 7, 2009, that it had revoked its warrant repurchase notice. JPMorgan Chase understands, based on 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 the Series K preferred shares 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 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 new FASB guidance for participating securities, 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 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 guidance. </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 nine months ended September 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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 30,</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="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"><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 valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Income/(loss) before extraordinary gain </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,512</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(54</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>8,374</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,322</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Extraordinary gain </div></td> <td> </td> <td> </td> <td align="right"><b>76</b></td> <td> </td> <td> </td> <td> </td> <td align="right">581</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>76</b></td> <td> </td> <td> </td> <td> </td> <td align="right">581</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> </td> <td align="right"><b>3,588</b></td> <td> </td> <td> </td> <td> </td> <td align="right">527</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,450</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,903</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>163</b></td> <td> </td> <td> </td> <td> </td> <td align="right">161</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,165</b></td> <td> </td> <td> </td> <td> </td> <td align="right">251</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 </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 nowrap="nowrap" align="right"> </td> <td align="right"><b>1,112</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">—</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>3,425</b></td> <td> </td> <td> </td> <td> </td> <td align="right">366</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,173</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,652</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>185</b></td> <td> </td> <td> </td> <td> </td> <td align="right">48</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>348</b></td> <td> </td> <td> </td> <td> </td> <td align="right">160</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>(a)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,240</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">318</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5,825</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,492</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>3,937.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,444.6</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,835.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,422.3</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>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: 0px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Income/(loss) before extraordinary gain </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.80</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(0.08</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1.50</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1.14</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 0px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Extraordinary gain </div></td> <td> </td> <td> </td> <td align="right"><b>0.02</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.17</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.02</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.17</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"><b>Net income</b><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>0.82</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">0.09</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>1.52</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">1.31</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="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 September 30,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Nine months ended September 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="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" 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>(a)</i></sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>3,240</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">318</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>5,825</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">4,492</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>3,937.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,444.6</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,835.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,422.3</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>24.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right">23.9</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>3,962.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,444.6</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,848.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,446.2</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>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: 0px double #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Income/(loss) before extraordinary gain </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>0.80</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(0.08</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1.50</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1.13</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 0px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Extraordinary gain </div></td> <td> </td> <td> </td> <td align="right"><b>0.02</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.17</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.01</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.17</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>Net income per share</b><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>0.82</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">0.09</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>1.51</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td> </td> <td align="left">$</td> <td align="right">1.30</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>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: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>EPS data has been revised to reflect the retrospective application of new FASB guidance for participating securities, which resulted in a reduction of basic and diluted EPS for the three months ended September 30, 2009, of $0.05 and $0.01, respectively; for the nine months ended September 30, 2009, of $0.09 and $0.04, respectively; for the three months ended September 30, 2008, of $0.02 and $0.02, respectively; and for the nine months ended September 30, 2008, of $0.05 and $0.02, 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>The calculation of basic and diluted EPS for the nine months ended September 30, 2009, includes a one-time noncash reduction of $1.1 billion, or $0.27 per share, resulting from the redemption of Series K preferred stock issued to the U.S. Treasury.</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>Excluded from the computation of diluted EPS (due to the anditilutive effect) were 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 shares of the Firm’s common stock totaling 241 million and 304 million shares for the three months ended September 30, 2009 and 2008, respectively; and 306 million and 178 million for the nine months ended September 30, 2009 and 2008, respectively.</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>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 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, foreign currency translation adjustments (including the impact of related derivatives), cash flow hedging activities and 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="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> </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 prior</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">service costs/(credit)</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>Nine months ended</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Unrealized</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">of defined benefit</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>September 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gains/(losses) on</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">pension and</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">AFS 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">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>$</b></td> <td align="right"><b>(5,687</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net change </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>4,983</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>549</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>293</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>145</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td> </td> <td align="right"><b>5,970</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Balance at September 30, 2009</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>2,882</b></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"><b>$</b></td> <td align="right"><b>(49</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>91</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(2,641</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>283</b></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 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> </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 prior</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">service costs/(credit)</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">Nine months ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Unrealized</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">of defined benefit</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">September 30, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">gains/(losses) on</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">pension and</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">AFS 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">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, 2008 </div></td> <td> </td> <td align="right">$</td> <td align="right">380</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">8</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(802</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(503</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(917</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net change </div></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,601</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">5</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(d)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">202</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">84</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,310</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Balance at September 30, 2008</b> </div></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,221</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">13</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(600</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(419</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,227</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="21" 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 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: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(b)</i></td> <td> </td> <td><i>The net change for the nine months ended September 30, 2009, was due primarily to overall market spread and market liquidity improvement. The net change for the nine months ended September 30, 2008, was due to price declines in asset-backed securities positions as a result of general increases in market spreads, and to net increases in interest rates and market spreads on agency mortgage-backed pass-through securities.</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 after-tax unrealized losses of $(353) million not related to credit on debt securities for which credit losses have been recognized in income.</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>Includes $702 million and $(470) million at September 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 $(153) million and $475 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: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(e)</i></td> <td> </td> <td><i>The net change for the nine months ended September 30, 2009, included $117 million of after-tax gains recognized in income, and $410 million of after-tax gains, representing the net change in derivative fair value that was reported in comprehensive income. The net change </i> <i>for the nine months ended September 30, 2008, included $218 million of after-tax losses recognized in income, and $16 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: 3pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left"><i>(f)</i></td> <td> </td> <td><i>The net change for the nine months ended September 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 nine months ended September 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>

<div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 23 — COMMITMENTS AND CONTINGENCIES </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a discussion of the Firm’s commitments and contingencies, see Note 31 on page 201 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Litigation reserve</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm maintains litigation reserves for certain of its outstanding litigation. JPMorgan Chase accrues for a litigation-related liability when it is probable that such a liability has been incurred and the amount of the loss can be reasonably estimated. When the Firm is named as a defendant in a litigation and may be subject to joint and several liability, and a judgment-sharing agreement is in place, the Firm recognizes expense and obligations net of amounts expected to be paid by other signatories to the judgment-sharing agreement. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">While the outcome of litigation is inherently uncertain, management believes, in light of all information known to it at September 30, 2009, the Firm’s litigation reserves were adequate at such date. Management reviews litigation reserves at least quarterly, and the reserves may be increased or decreased in the future to reflect further relevant developments. The Firm believes it has meritorious defenses to the claims asserted against it in its currently outstanding litigation and, with respect to such litigation, intends to continue to defend itself vigorously, litigating or settling cases according to management’s judgment as to what is in the best interests of stockholders. </div> </div>

<div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 24 — OFF–BALANCE SHEET LENDING-RELATED FINANCIAL INSTRUMENTS AND GUARANTEES </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase utilizes lending-related financial instruments, such as commitments and guarantees, to meet the financing needs of its customers. The contractual amount of these financial instruments represents the maximum possible credit risk should the counterparties draw down on these commitments or the Firm fulfill its obligation under these guarantees, and the counterparties subsequently fail to perform according to the terms of these contracts. For a discussion of off–balance sheet lending-related financial instruments and guarantees, and the Firm’s related accounting policies, see Note 33 on pages 206–210 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">To provide for the risk of loss inherent in lending-related contracts, an allowance for credit losses on lending-related commitments is maintained. See Note 14 on pages 146–147of this Form 10-Q for further discussion regarding the allowance for credit losses on lending-related commitments. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the contractual amounts of off–balance sheet lending-related financial instruments and guarantees and the related allowance for credit losses on lending-related commitments at September 30, 2009, and December 31, 2008. The amounts in the table below for credit card and home equity lending-related commitments represent the total available credit for these products. The Firm has not experienced, and does not anticipate, that all available lines of credit for these products will be utilized at the same time. The Firm can reduce or cancel these lines of credit by providing the borrower prior notice or, in some cases, without notice as permitted by law. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Off–balance sheet lending-related financial instruments and guarantees</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="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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="7">Allowance for lending-related</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">Contractual amount</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">commitments</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"><b>September 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>September 30,</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">December 31,</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"><b>Lending-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> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Consumer: </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:30px; text-indent:-15px">Credit card </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>584,231</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">623,702</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"> <td> <div style="margin-left:30px; text-indent:-15px">Home equity </div></td> <td> </td> <td> </td> <td align="right"><b>64,762</b></td> <td> </td> <td> </td> <td> </td> <td align="right">95,743</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 valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>19,774</b></td> <td> </td> <td> </td> <td> </td> <td align="right">22,062</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11</b></td> <td> </td> <td> </td> <td> </td> <td align="right">25</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:45px; text-indent:-15px"><b>Total consumer</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>668,767</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">741,507</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>11</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">25</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">Wholesale: </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">Other unfunded commitments to extend credit<sup style="font-size: 85%; vertical-align: text-top"><i>(a)(b)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>187,698</b></td> <td> </td> <td> </td> <td> </td> <td align="right">189,563</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>333</b></td> <td> </td> <td> </td> <td> </td> <td align="right">349</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Asset purchase agreements </div></td> <td> </td> <td> </td> <td align="right"><b>25,125</b></td> <td> </td> <td> </td> <td> </td> <td align="right">53,729</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Standby letters of credit and other financial guarantees<sup style="font-size: 85%; vertical-align: text-top"><i>(a)(c)(d)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>89,485</b></td> <td> </td> <td> </td> <td> </td> <td align="right">95,352</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>471</b></td> <td> </td> <td> </td> <td> </td> <td align="right">274</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Unused advised lines of credit </div></td> <td> </td> <td> </td> <td align="right"><b>35,911</b></td> <td> </td> <td> </td> <td> </td> <td align="right">36,300</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 valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other letters of credit<sup style="font-size: 85%; vertical-align: text-top"><i>(a)(c)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>4,916</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,927</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> </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:45px; text-indent:-15px"><b>Total wholesale</b> </div></td> <td> </td> <td> </td> <td align="right"><b>343,135</b></td> <td> </td> <td> </td> <td> </td> <td align="right">379,871</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>810</b></td> <td> </td> <td> </td> <td> </td> <td align="right">634</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 lending-related</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,011,902</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,121,378</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>821</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">659</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>Other guarantees</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">Securities lending guarantees<sup style="font-size: 85%; vertical-align: text-top"><i>(e)</i></sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>174,675</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">169,281</td> <td> </td> <td> </td> <td colspan="3" align="center"><b>NA</b></td> <td> </td> <td colspan="3" align="center">NA</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Residual value guarantees </div></td> <td> </td> <td> </td> <td align="right"><b>670</b></td> <td> </td> <td> </td> <td> </td> <td align="right">670</td> <td> </td> <td> </td> <td colspan="3" align="center"><b>NA</b></td> <td> </td> <td colspan="3" align="center">NA</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Derivatives qualifying as guarantees<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>88,233</b></td> <td> </td> <td> </td> <td> </td> <td align="right">83,835</td> <td> </td> <td> </td> <td colspan="3" align="center"><b>NA</b></td> <td> </td> <td colspan="3" align="center">NA</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: 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 the contractual amount net of risk participations totaling $26.9 billion and $28.3 billion at September 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>(b)</i></td> <td> </td> <td><i>Excludes unfunded commitments to third-party private equity funds of $1.4 billion at both September 30, 2009, and December 31, 2008, respectively. Also excludes unfunded commitments for other equity investments of $918 million and $1.0 billion at September 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>JPMorgan Chase held collateral relating to $28.8 billion and $31.0 billion of standby letters of credit and $1.4 billion and $1.0 billion of other letters of credit at September 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>Includes unissued standby letter of credit commitments of $37.7 billion and $39.5 billion at September 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>(e)</i></td> <td> </td> <td><i>Collateral held by the Firm in support of securities lending indemnification agreements was $178.7 billion and $170.1 billion at September 30, 2009, and December 31, 2008, respectively. Securities lending collateral comprises primarily cash, and securities issued by governments that are members of the Organisation for Economic Co-operation and Development (“OECD”) and U.S. government agencies.</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>Represents notional amounts of derivatives qualifying as guarantees.</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>Other unfunded commitments to extend credit</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Other unfunded commitments to extend credit include commitments to U.S. domestic states and municipalities, hospitals and other not-for-profit entities to provide funding for periodic tenders of their variable-rate demand bond obligations or commercial paper. Performance by the Firm is required in the event that the variable-rate demand bonds or commercial paper cannot be remarketed to new investors. The amount of commitments related to variable-rate demand bonds and commercial paper of U.S. domestic states and municipalities, hospitals and not-for-profit entities was $23.0 billion and $23.5 billion at September 30, 2009, and December 31, 2008, respectively. Similar commitments exist to extend credit in the form of liquidity facility agreements with nonconsolidated municipal bond VIEs. For further information, see Note 16 on pages 156–161 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Also included in other unfunded commitments to extend credit are commitments to investment- and noninvestment-grade counterparties in connection with leveraged acquisitions. These commitments are dependent on whether the acquisition by the borrower is successful, tend to be short-term in nature and, in most cases, are subject to certain conditions based on the borrower’s financial condition or other factors. The amounts of commitments related to leveraged acquisitions at September 30, 2009, and December 31, 2008, were $2.7 billion and $3.6 billion, respectively. For further information, see Note 3 and Note 4 on pages 106–121 and 121–123 respectively, of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Guarantees</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm considers the following off–balance sheet lending-related arrangements to be guarantees under U.S. GAAP: certain asset purchase agreements, standby letters of credit and financial guarantees, securities lending indemnifications, certain indemnification agreements included within third-party contractual arrangements and certain derivative contracts. For a further discussion of the off–balance sheet lending-related arrangements the Firm considers to be guarantees, and the related accounting policies, see Note 33 on pages 206–210 of JPMorgan Chase’s 2008 Annual Report. The amount of the liability related to guarantees recorded at September 30, 2009, and December 31, 2008, excluding the allowance for credit losses on lending-related commitments and derivative contracts discussed below, was $468 million and $535 million, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Asset purchase agreements</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Asset purchase agreements are principally used as a mechanism to provide liquidity to SPEs, predominantly multi-seller conduits, as described in Note 16 on pages 156–161 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The carrying value of asset purchase agreements was $115 million and $147 million at September 30, 2009, and December 31, 2008, respectively, classified in accounts payable and other liabilities on the Consolidated Balance Sheets; the carrying values include $5 million and $9 million, respectively, for the allowance for lending-related commitments, and $110 million and $138 million, respectively, for the fair value of the guarantee liability. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Standby letters of credit</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Standby letters of credit (“SBLC”) and financial guarantees are conditional lending commitments issued by the Firm to guarantee the performance of a customer to a third party under certain arrangements, such as commercial paper facilities, bond financings, acquisition financings, trade and similar transactions. The carrying values of standby and other letters of credit were $830 million and $673 million at September 30, 2009, and December 31, 2008, respectively, classified in accounts payable and other liabilities on the Consolidated Balance Sheets; these carrying values include $472 million and $276 million, respectively, for the allowance for lending-related commitments, and $358 million and $397 million, respectively, for the fair value of the guarantee liability. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the types of facilities under which standby letters of credit and other letters of credit arrangements are outstanding, by the ratings profiles of the Firm’s customers, as of September 30, 2009, and December 31, 2008. The ratings scale is representative of the payment or performance risk to the Firm’s internal risk ratings, which generally correspond to ratings as defined by S&P and Moody’s. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Standby letters of credit and other financial guarantees and other letters of credit</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="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"><b>September 30, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" 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">Standby letters of</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Standby letters of</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">credit and other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other letters</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">credit and other</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Other letters</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">financial guarantees</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">of credit</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">financial guarantees</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">of credit<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">Investment-grade<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>65,826</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,792</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">73,394</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">3,772</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Noninvestment-grade<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </div></td> <td> </td> <td> </td> <td align="right"><b>23,659</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,124</b></td> <td> </td> <td> </td> <td> </td> <td align="right">21,958</td> <td> </td> <td> </td> <td> </td> <td align="right">1,155</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total contractual amount</b> </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>89,485</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,916</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">95,352</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(b)</i></sup></td> <td> </td> <td align="right">$</td> <td align="right">4,927</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Allowance for lending-related commitments </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>471</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">274</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2</td> <td> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Commitments with collateral </div></td> <td> </td> <td> </td> <td align="right"><b>28,784</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,355</b></td> <td> </td> <td> </td> <td> </td> <td align="right">30,972</td> <td> </td> <td> </td> <td> </td> <td align="right">1,000</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>Ratings scale is based on the Firm’s internal ratings, which generally correspond to ratings defined by S&P and Moody’s.</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 contractual amount net of risk participations totaling $26.9 billion and $28.3 billion at September 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>The investment-grade and noninvestment-grade amounts have been revised from previous disclosures.</i></td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Derivatives qualifying as guarantees</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the contracts described above, the Firm transacts certain derivative contracts that meet the characteristics of a guarantee under U.S. GAAP. The total notional values of the derivatives that the Firm deems to be guarantees were $88.2 billion and $83.8 billion at September 30, 2009, and December 31, 2008, respectively. The notional value generally represents the Firm’s maximum exposure to derivatives qualifying as guarantees, although exposure to certain stable value derivatives is contractually limited to a substantially lower percentage of the notional value. The fair value of the contracts reflects the probability of whether the Firm will be required to perform under the contract. At September 30, 2009, and December 31, 2008, the fair value related to derivative guarantees was a derivative receivable of $232 million and $184 million, respectively, and a derivative payable of $2.2 billion and $5.6 billion, respectively. The Firm reduces exposures to these contracts by entering into offsetting transactions, or by entering into contracts that hedge the market risk related to the derivative guarantees. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to derivative contracts that meet the characteristics of a guarantee under U.S. GAAP, the Firm is both a purchaser and seller of credit protection in the credit derivatives market. For a further discussion of credit derivatives, see Note 5 on pages 123–131 of this Form 10-Q, and Note 32 on pages 202–205 of JPMorgan Chase’s 2008 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Loan sale- and securitization-related indemnifications</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Indemnifications for breaches of representations and warranties</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As part of the Firm’s loan sale and securitization activities (as described in Note 14 and Note 16 on pages 163–166 and 168–176, respectively, of JPMorgan Chase’s 2008 Annual Report, and Note 13 and Note 15 on pages 142–145 and 147–155, respectively, of this Form 10-Q), the Firm generally makes representations and warranties in its loan sale and securitization agreements that the loans sold meet certain requirements. These agreements may require the Firm (including in its roles as a servicer) to repurchase the loans and/or indemnify the purchaser of the loans against losses due to any breach of such representations or warranties. Generally, the maximum amount of future payments the Firm would be required to make for breaches under these representations and warranties would be equal to the current amount of assets held by such securitization-related SPEs, plus, in certain circumstances, accrued and unpaid interest on such loans and certain expense. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">During the first quarter of 2009, the Firm resolved certain current and future claims for certain loans originated and sold by Washington Mutual. At both September 30, 2009, and December 31, 2008, the Firm had recorded a repurchase liability of $1.1 billion. </div>   </div>  <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Loans sold with recourse</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm provides servicing for mortgages and certain commercial lending products on both a recourse and nonrecourse basis. In nonrecourse servicing, the principal credit risk to the Firm is the cost of temporary servicing advances of funds (i.e., normal servicing advances). In recourse servicing, the servicer agrees to share credit risk with the owner of the mortgage loans, such as the FNMA, or the FHLMC or a private investor, insurer or guarantor. Losses on recourse servicing predominantly occur when foreclosure sales proceeds of the property underlying a defaulted loan are less than the sum of the outstanding principal balance, plus accrued interest on the loan and the cost of holding and disposing of the underlying property. The Firm’s loan sale transactions have primarily been executed on a nonrecourse basis, thereby effectively transferring the risk of future credit losses to the purchaser of the mortgage-backed securities issued by the trust. At September 30, 2009, and December 31, 2008, the unpaid principal balance of loans sold with recourse totaled $13.8 billion and $15.0 billion, respectively. The carrying values of the related liability that the Firm had recorded, which is representative of the Firm’s view of the likelihood it would have to perform under this guarantee, were $257 million and $241 million at September 30, 2009, and December 31, 2008, respectively. </div> </div>

<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 19–20 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 nine months ended September 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: 12pt">Segment results and reconciliation<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </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 September 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>$</b></td> <td align="right"><b>5,253</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,064</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>831</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>474</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>2,255</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,154</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,328</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>985</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>7,508</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,218</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,159</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,459</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>379</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,988</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,967</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>355</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>4,274</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,196</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,306</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>545</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 and extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right"><b>2,855</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>34</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,114</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>559</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>934</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>27</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(414</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>218</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 extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right"><b>1,921</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(700</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>341</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Extraordinary gain </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 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><sup style="font-size: 85%; vertical-align: text-top"> </sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,921</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>7</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(700</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>341</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>678,796</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>401,620</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>192,141</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>130,316</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>23</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>(19</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> </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>57</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>25</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>  <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>Three months ended September 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<sup style="font-size: 85%; vertical-align: text-top"> </sup></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>$</b></td> <td align="right"><b>1,137</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,681</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,563</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(118</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>13,885</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>651</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>404</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,031</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2,071</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>12,737</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>1,788</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,085</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,594</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(2,189</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>26,622</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>13</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>38</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>62</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,698</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>8,104</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>(31</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>31</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>1,280</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,351</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>503</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,455</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 and extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right"><b>464</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>696</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,029</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(460</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>5,063</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>162</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>266</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>818</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(460</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,551</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 before extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right"><b>302</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>430</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,211</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,512</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Extraordinary gain </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>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>76</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</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>302</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>430</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,287</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>3,588</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>$</b></td> <td align="right"><b>56,468</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>149,468</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>33,117</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>60,345</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>585,620</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(82,779</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,999,176</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>24</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>24</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>9%</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></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>72</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>65</b></td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NM</b></td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NM</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>51</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: 12pt">Segment results and reconciliation<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </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">Three months ended September 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">1,388</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,732</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">646</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">388</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">2,678</td> <td> </td> <td> </td> <td> </td> <td align="right">3,231</td> <td> </td> <td> </td> <td> </td> <td align="right">3,241</td> <td> </td> <td> </td> <td> </td> <td align="right">737</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">4,066</td> <td> </td> <td> </td> <td> </td> <td align="right">4,963</td> <td> </td> <td> </td> <td> </td> <td align="right">3,887</td> <td> </td> <td> </td> <td> </td> <td align="right">1,125</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">234</td> <td> </td> <td> </td> <td> </td> <td align="right">2,056</td> <td> </td> <td> </td> <td> </td> <td align="right">2,229</td> <td> </td> <td> </td> <td> </td> <td align="right">126</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">3,816</td> <td> </td> <td> </td> <td> </td> <td align="right">2,779</td> <td> </td> <td> </td> <td> </td> <td align="right">1,194</td> <td> </td> <td> </td> <td> </td> <td align="right">486</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 and extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right">16</td> <td> </td> <td> </td> <td> </td> <td align="right">128</td> <td> </td> <td> </td> <td> </td> <td align="right">464</td> <td> </td> <td> </td> <td> </td> <td align="right">513</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">(866</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">64</td> <td> </td> <td> </td> <td> </td> <td align="right">172</td> <td> </td> <td> </td> <td> </td> <td align="right">201</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 extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right">882</td> <td> </td> <td> </td> <td> </td> <td align="right">64</td> <td> </td> <td> </td> <td> </td> <td align="right">292</td> <td> </td> <td> </td> <td> </td> <td align="right">312</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Extraordinary gain </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 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</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">882</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">64</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">292</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">312</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right">$</td> <td align="right">26,000</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">890,040</td> <td> </td> <td> </td> <td> </td> <td align="right">265,367</td> <td> </td> <td> </td> <td> </td> <td align="right">169,413</td> <td> </td> <td> </td> <td> </td> <td align="right">101,681</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">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">8</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">18</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">94</td> <td> </td> <td> </td> <td> </td> <td align="right">56</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 September 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/</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">$</td> <td align="right">1,230</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,581</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,711</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">489</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,743</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">723</td> <td> </td> <td> </td> <td> </td> <td align="right">380</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(125</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,871</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">8,994</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">1,953</td> <td> </td> <td> </td> <td> </td> <td align="right">1,961</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,836</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,382</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">14,737</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">18</td> <td> </td> <td> </td> <td> </td> <td align="right">20</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">1,977</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(873</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">5,787</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">(31</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">31</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">1,339</td> <td> </td> <td> </td> <td> </td> <td align="right">1,362</td> <td> </td> <td> </td> <td> </td> <td align="right">161</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11,137</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 and extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right">565</td> <td> </td> <td> </td> <td> </td> <td align="right">579</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(3,974</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(478</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,187</td> <td nowrap="nowrap">)</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">159</td> <td> </td> <td> </td> <td> </td> <td align="right">228</td> <td> </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">(478</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,133</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" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Income/(loss) before extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right">406</td> <td> </td> <td> </td> <td> </td> <td align="right">351</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,361</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">(54</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Extraordinary gain </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">581</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">581</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">$</td> <td align="right">406</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">351</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(1,780</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">527</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right">$</td> <td align="right">3,500</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,500</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">53,540</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">126,640</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">49,386</td> <td> </td> <td> </td> <td> </td> <td align="right">71,189</td> <td> </td> <td> </td> <td> </td> <td align="right">284,995</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(75,712</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">1,756,359</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">46</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 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">(1</td> <td nowrap="nowrap">)%<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></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">69</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">76</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">Segment results and reconciliation<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </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>Nine months ended September 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>$</b></td> <td align="right"><b>15,778</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>9,601</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>2,035</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,354</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>7,402</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15,422</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,121</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,960</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>23,180</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25,023</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15,156</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,314</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>2,460</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,711</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,223</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>960</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>13,115</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12,446</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,985</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,633</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>7,605</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>866</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(3,052</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,721</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>2,607</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>370</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,133</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>674</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 extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right"><b>4,998</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>496</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,919</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,047</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Extraordinary gain </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 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><sup style="font-size: 85%; vertical-align: text-top"> </sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,998</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>496</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,919</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,047</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>707,396</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>411,693</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>195,517</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>137,248</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>20</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>(17</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> </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>57</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>50</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>26</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 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>Nine months ended September 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>$</b></td> <td align="right"><b>3,530</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,549</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,665</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</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>38,496</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>1,979</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,221</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,885</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(6,216</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>38,774</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>5,509</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,770</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,550</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(6,232</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>77,270</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</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>71</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(4,826</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>24,731</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>(91</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>91</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>3,887</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,003</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,279</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>40,348</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>1,529</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,637</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,200</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,315</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>12,191</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>540</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>631</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,443</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,315</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>3,817</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 before extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right"><b>989</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,006</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,757</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,374</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Extraordinary gain </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>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>76</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</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>989</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,006</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,833</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>8,450</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>$</b></td> <td align="right"><b>49,322</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>142,322</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>35,753</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>59,309</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>570,107</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(82,383</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>2,034,640</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>26</b></td> <td nowrap="nowrap"><b>%</b></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 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>6</b></td> <td nowrap="nowrap"><b>%</b><sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></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>71</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>69</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>52</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: 12pt">Segment results and reconciliation<sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup> </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">Nine months ended September 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">5,797</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,381</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,129</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,105</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">6,810</td> <td> </td> <td> </td> <td> </td> <td align="right">9,455</td> <td> </td> <td> </td> <td> </td> <td align="right">9,437</td> <td> </td> <td> </td> <td> </td> <td align="right">2,193</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">12,607</td> <td> </td> <td> </td> <td> </td> <td align="right">14,836</td> <td> </td> <td> </td> <td> </td> <td align="right">11,566</td> <td> </td> <td> </td> <td> </td> <td align="right">3,298</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">1,250</td> <td> </td> <td> </td> <td> </td> <td align="right">6,329</td> <td> </td> <td> </td> <td> </td> <td align="right">6,093</td> <td> </td> <td> </td> <td> </td> <td align="right">274</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">11,103</td> <td> </td> <td> </td> <td> </td> <td align="right">8,031</td> <td> </td> <td> </td> <td> </td> <td align="right">3,651</td> <td> </td> <td> </td> <td> </td> <td align="right">1,447</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">254</td> <td> </td> <td> </td> <td> </td> <td align="right">476</td> <td> </td> <td> </td> <td> </td> <td align="right">1,822</td> <td> </td> <td> </td> <td> </td> <td align="right">1,577</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">(935</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">220</td> <td> </td> <td> </td> <td> </td> <td align="right">671</td> <td> </td> <td> </td> <td> </td> <td align="right">618</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 extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right">1,189</td> <td> </td> <td> </td> <td> </td> <td align="right">256</td> <td> </td> <td> </td> <td> </td> <td align="right">1,151</td> <td> </td> <td> </td> <td> </td> <td align="right">959</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Extraordinary gain </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 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</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">1,189</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">256</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,151</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">959</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right">$</td> <td align="right">23,781</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">820,497</td> <td> </td> <td> </td> <td> </td> <td align="right">264,400</td> <td> </td> <td> </td> <td> </td> <td align="right">163,560</td> <td> </td> <td> </td> <td> </td> <td align="right">102,374</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">2</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">18</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">88</td> <td> </td> <td> </td> <td> </td> <td align="right">54</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>  <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">Nine months ended September 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/</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">$</td> <td align="right">3,876</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,874</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">158</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,759</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">25,079</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">2,009</td> <td> </td> <td> </td> <td> </td> <td align="right">1,052</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(521</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(5,488</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">24,947</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">5,885</td> <td> </td> <td> </td> <td> </td> <td align="right">5,926</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(363</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(3,729</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">50,026</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">37</td> <td> </td> <td> </td> <td> </td> <td align="right">53</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">2,014</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(g)</i></sup></td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,384</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">13,666</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">(91</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">91</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">3,884</td> <td> </td> <td> </td> <td> </td> <td align="right">4,085</td> <td> </td> <td> </td> <td> </td> <td align="right">44</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">32,245</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">1,873</td> <td> </td> <td> </td> <td> </td> <td align="right">1,788</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,421</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,254</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">4,115</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">639</td> <td> </td> <td> </td> <td> </td> <td align="right">686</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(852</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,254</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(207</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" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Income/(loss) before extraordinary gain</b> </div></td> <td> </td> <td> </td> <td align="right">1,234</td> <td> </td> <td> </td> <td> </td> <td align="right">1,102</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(1,569</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">4,322</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Extraordinary gain </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">581</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">581</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">$</td> <td align="right">1,234</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,102</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(988</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,903</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 3px double #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average common equity </div></td> <td> </td> <td align="right">$</td> <td align="right">3,500</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,190</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">55,307</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">125,878</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">54,243</td> <td> </td> <td> </td> <td> </td> <td align="right">65,518</td> <td> </td> <td> </td> <td> </td> <td align="right">268,659</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(73,966</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">1,665,285</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">47</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 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">4</td> <td nowrap="nowrap">%<sup style="font-size: 85%; vertical-align: text-top"><i>(f)</i></sup></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">66</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">64</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 nine months ended September 30, 2009 and 2008, 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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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"> <td> <div style="margin-left:15px; text-indent:-15px">Investment Bank </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>5</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">17</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>21</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">149</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Retail Financial Services </div></td> <td> </td> <td> </td> <td align="right"><b>54</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>238</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">Card Services </div></td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>39</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">Commercial Banking </div></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>6</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">Treasury & Securities Services </div></td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10</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">Asset Management </div></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>4</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">Corporate/Private Equity </div></td> <td> </td> <td> </td> <td align="right"><b>36</b></td> <td> </td> <td> </td> <td> </td> <td align="right">79</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>133</b></td> <td> </td> <td> </td> <td> </td> <td align="right">101</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: 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>(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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest revenue </div></td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(285</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(843</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,119</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,623</td> <td nowrap="nowrap">)</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>1,983</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,716</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,945</b></td> <td> </td> <td> </td> <td> </td> <td align="right">5,007</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>1,698</b></td> <td> </td> <td> </td> <td> </td> <td align="right">873</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,826</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,384</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Average assets </div></td> <td> </td> <td> </td> <td align="right"><b>82,779</b></td> <td> </td> <td> </td> <td> </td> <td align="right">75,712</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>82,383</b></td> <td> </td> <td> </td> <td> </td> <td align="right">73,966</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: 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>(e)</i></td> <td> </td> <td><i>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 nine months ended September 30, 2009 and 2008, 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 September 30,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Nine months ended September 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"> <td> <div style="margin-left:15px; text-indent:-15px">Noninterest revenue </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>371</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">323</td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,043</b></td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">773</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>89</b></td> <td> </td> <td> </td> <td> </td> <td align="right">155</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>272</b></td> <td> </td> <td> </td> <td> </td> <td align="right">481</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Income tax expense </div></td> <td> </td> <td> </td> <td align="right"><b>460</b></td> <td> </td> <td> </td> <td> </td> <td align="right">478</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,315</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,254</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: 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>(f)</i></td> <td> </td> <td><i>Ratio is based on income/(loss) before extraordinary gain.</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>Included $2.0 billion charge to conform Washington Mutual’s loan loss reserves with JPMorgan Chase’s allowance methodology in the third quarter of 2008.</i></td> </tr> </table> </div> </div>

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Securities gains for the three and nine months ended September 30, 2009, included credit losses of $18 million and $202 million, respectively, consisting of zero and $880 million, respectively, of total other-than-temporary impairment losses, net of ($18) million and $678 million, respectively, of other-than-temporary impairment losses recorded in (reclassified from) other comprehensive income.