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xbrli:shares xbrli:pure xbrli:shares iso4217:USD <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 1 - us-gaap:OrganizationConsolidationAndPresentationOfFinancialStatementsDisclosureTextBlock--> <div align="left" style="font-family: 'Times New Roman',Times,serif"> <!-- xbrl,ns --> <!-- xbrl,nx --> <div align="left" style="font-size: 10pt; margin-top: 0pt"><i></i><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 &#8212; BASIS OF PRESENTATION </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase &#038; Co. (&#8220;JPMorgan Chase&#8221; or the &#8220;Firm&#8221;), 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 (&#8220;U.S.&#8221;), with operations in more than 60 countries. The Firm is a leader in investment banking, financial services for consumers and small business, commercial banking, financial transaction processing, asset management and private equity. For a discussion of the Firm&#8217;s business-segment information, see Note 24 on pages 169&#8211;171 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 U.S. (&#8220;U.S. GAAP&#8221;). Additionally, where applicable, the policies conform to the accounting and reporting guidelines prescribed by bank regulatory authorities. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">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. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">These unaudited consolidated financial statements should be read in conjunction with the audited consolidated financial statements, and related notes thereto, included in JPMorgan Chase&#8217;s Annual Report on Form 10-K for the year ended December&#160;31, 2010, as filed with the U.S. Securities and Exchange Commission (the &#8220;2010 Annual Report&#8221;). </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> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 2 - jpm:BusinessCombinationDisclosureAndOtherBusinessEventsDisclosuresTextBlock--> <div align="left" style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 2 &#8212; BUSINESS CHANGES AND DEVELOPMENTS </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Increase in common stock dividend</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On March&#160;18, 2011, the Board of Directors raised the Firm&#8217;s quarterly common stock dividend from $0.05 to $0.25 per share, effective with the dividend paid on April&#160;30, 2011, to shareholders of record on April&#160;6, 2011. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Stock repurchases</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On March&#160;18, 2011, the Board of Directors approved a stock repurchase program that authorizes the repurchase of up to $15.0&#160;billion of the Firm&#8217;s common stock, which supersedes a $10.0&#160;billion repurchase program approved in 2007. 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<td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:60px; text-indent:-15px">U.S. government agencies </div></td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>174</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>17</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>21</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(21</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>191</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Residential &#8212; nonagency </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>687</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>71</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>259</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(168</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(67</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>782</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>27</b></td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:60px; text-indent:-15px">Commercial &#8212; nonagency </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,069</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>16</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>346</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(482</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(64</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,885</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(22</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total mortgage-backed securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,930</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>104</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>626</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(671</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(131</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,858</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>4</b></td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,257</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(14</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>284</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(555</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,971</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(14</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>697</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>49</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>130</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(143</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(19</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(74</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>640</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>50</b></td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Corporate debt securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>4,946</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>32</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,629</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,075</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(6</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>97</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>5,623</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>34</b></td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Loans </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>13,144</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>131</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>888</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,024</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(729</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>80</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>12,490</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>12</b></td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Asset-backed securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>7,965</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>354</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,118</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,057</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(43</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>19</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>8,356</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>245</b></td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total debt instruments </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>31,939</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>656</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>4,675</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(4,525</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(929</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>122</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>31,938</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>331</b></td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Equity securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,685</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>70</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>37</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(74</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(330</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(21</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,367</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>83</b></td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>253</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>20</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>5</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(31</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>246</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>20</b></td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Total debt and equity instruments </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>33,877</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>746</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>4,717</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(4,600</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,290</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>101</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>33,551</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>434</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> </tr> <tr 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align="right"><b>2,836</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>519</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>128</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(83</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(915</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(15</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,470</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>184</b></td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Credit </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>5,386</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(853</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(146</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(15</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>4,373</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,068</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; 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align="right"><b>(1,769</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>194</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>95</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(330</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(424</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>88</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(2,146</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>69</b></td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Commodity </div></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(805</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>595</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>86</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(67</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(424</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(250</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(865</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>209</b></td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total net derivative receivables </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>5,034</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>516</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>335</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(480</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,427</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(144</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>3,834</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(537)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities: </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Asset-backed securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>13,775</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>478</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,109</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(4</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(342</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>15,016</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>475</b></td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Other </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>512</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>9</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(3</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(9</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> 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align="left">&#160;</td> <td align="right"><b>(351</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>15,525</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>482</b></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="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,466</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>120</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>84</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(283</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(16</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,371</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>108</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>13,649</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(751)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>758</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(563</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>13,093</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(751)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(c)</i></sup></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div 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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>&#160;</td> <td><i>Total changes in instrument-specific credit risk related to structured notes were $23 million and $108&#160;million for the three months ended March&#160;31, 2011 and 2010, respectively. 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For further information regarding off-balance sheet lending-related financial instruments, see Note 30 on pages 275&#8211;280 of JPMorgan Chase&#8217;s 2010 Annual Report. </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: 'Times New Roman',Times,serif"> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 5 - us-gaap:DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock--> <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 5 &#8212; DERIVATIVE INSTRUMENTS </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a further discussion of the Firm&#8217;s use and accounting policies regarding derivative instruments, see Note 6 on pages 191&#8211;199 of JPMorgan Chase&#8217;s 2010 Annual Report. </div> <div align="left" style="font-size: 10pt; 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margin-top: 6pt">In addition to the collateral amounts reflected in the tables above, at March&#160;31, 2011, and December&#160;31, 2010, the Firm had received liquid securities and other cash collateral in the amount of $16.2&#160;billion and $16.5&#160;billion, respectively, and had posted liquid securities and other cash collateral in the amount of $10.2&#160;billion and $10.9&#160;billion, respectively. The Firm also 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, respectively, in the Firm&#8217;s or client&#8217;s favor. Furthermore, the Firm and its counterparties 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 March&#160;31, 2011, and December&#160;31, 2010, the Firm had received $20.5 billion and $18.0&#160;billion, respectively, and delivered $7.6&#160;billion and $8.4&#160;billion, respectively, of such additional collateral. These amounts were not netted against the derivative receivables and payables in the tables above, because, at an individual counterparty level, the collateral exceeded the fair value exposure at both March&#160;31, 2011, and December&#160;31, 2010. </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: 0pt">For a more detailed discussion of credit derivatives, including a description of the different types used by the Firm, see Note 6 on pages 191&#8211;199 of JPMorgan Chase&#8217;s 2010 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following tables present a summary of the notional amounts of credit derivatives and credit-related notes the Firm sold and purchased as of March&#160;31, 2011, and December&#160;31, 2010. Upon a credit event, the Firm as a 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. 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margin-top: 6pt">The following tables summarize the notional and fair value amounts of credit derivatives and credit-related notes as of March&#160;31, 2011, and December&#160;31, 2010, 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. 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margin-top: 6pt"><u><b>NOTE 11 &#8212; SECURITIES </b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Securities are classified as AFS, held-to-maturity (&#8220;HTM&#8221;) or trading. For additional information regarding AFS and HTM securities, see Note 12 on pages 214&#8211;218 of JPMorgan Chase&#8217;s 2010 Annual Report. 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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 March&#160;31, 2011. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Following is a description of the Firm&#8217;s principal security investments with the most significant unrealized losses that have been existing for 12&#160;months or more as of March&#160;31, 2011, and the key assumptions used in the Firm&#8217;s 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 &#8212; Prime and Alt-A nonagency</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of March&#160;31, 2011, gross unrealized losses related to prime and Alt-A residential mortgage-backed securities issued by private issuers were $173&#160;million, all of which related to securities that have been in an unrealized loss position for 12&#160;months or more. 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width="1%">&#160;</td> <td width="2%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="1%">&#160;</td> <td width="2%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="1%">&#160;</td> <td width="2%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="1%">&#160;</td> <td width="2%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="1%">&#160;</td> <td width="2%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="1%">&#160;</td> <td width="2%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="1%">&#160;</td> <td width="2%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="1%">&#160;</td> <td width="2%">&#160;</td> </tr> <tr style="font-size: 6pt" valign="bottom"> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="7">Commercial</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="7">Financial</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="7">Government</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="7">Total</td> </tr> <tr style="font-size: 6pt" valign="bottom"> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">and industrial</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">Real estate</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">institutions</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="7" style="border-bottom: 1px solid #000000">agencies</td> 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nowrap="nowrap" align="center" colspan="3"><b>March 31,</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3">December 31,</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3"><b>March 31,</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3">December 31,</td> </tr> <tr style="font-size: 6pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3"><b>2011</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3">2010</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3"><b>2011</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3">2010</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3"><b>2011</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3">2010</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3"><b>2011</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3">2010</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3"><b>2011</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3">2010</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3"><b>2011</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3">2010</td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr style="font-size: 1px"> <td colspan="49" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Impaired loans</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> 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<td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>4,798</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">4,733</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>511</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">506</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>15,799</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">15,616</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>1,805</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">1,775</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>1,481</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">1,486</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>6,476</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">6,459</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"><!-- Blank Space --> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>10,652</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">10,720</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>889</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">925</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>27,078</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">27,838</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>2,792</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">2,786</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>1,841</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">1,955</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>8,317</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">8,634</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"><!-- Blank Space --> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>32,200</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">32,385</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>2,056</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">2,252</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>70,493</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">73,158</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>4,587</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">4,557</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>2,477</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">2,672</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>12,822</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">13,243</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div 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valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>12,995</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">12,949</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>&#8212;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#8212;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>12,995</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">12,949</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr style="font-size: 1px"> <td colspan="23" valign="top" align="left" style="border-top: 1px solid 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style="font-size: 1px"> <td colspan="23" valign="top" align="left" style="border-top: 1px solid #000000">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right"><b>$</b></td> <td valign="top" align="right"><b>19,070</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">$</td> <td valign="top" align="right">19,278</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right"><b>$</b></td> <td valign="top" align="right"><b>1,660</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">$</td> <td valign="top" align="right">1,730</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right"><b>$</b></td> <td valign="top" align="right"><b>38,103</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">$</td> <td valign="top" align="right">39,012</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>9,745</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">9,587</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>1,332</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">1,381</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>26,152</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">26,518</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>2,688</b></td> <td valign="top">&#160;</td> 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For further information, see Note 14 on pages 220&#8211;238 of JPMorgan Chase&#8217;s 2010 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The tables below set forth information about the Firm&#8217;s residential real estate impaired loans, excluding PCI. These loans are considered to be impaired as they have been modified in a TDR. 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This includes $207&#160;million and $157&#160;million of investment-grade and $495 million and $552&#160;million of noninvestment-grade retained interests in prime residential mortgages at March&#160;31, 2011, and December&#160;31, 2010, respectively, and $2.0&#160;billion and $2.6 billion of investment-grade and $259&#160;million and $250&#160;million of noninvestment-grade retained interests in commercial and other securitization trusts.</i></td> </tr> </table> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Re-securitizations</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm also engages in certain re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. 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margin-top: 12pt"><u><b>NOTE 16 &#8212; GOODWILL AND 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 17 on pages 260&#8211;273 of JPMorgan Chase&#8217;s 2010 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Goodwill and 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%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="76%">&#160;</td> <td width="5%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="3%">&#160;</td> <td width="5%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="3%">&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3"><b>March 31, 2011</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="3">December 31, 2010</td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; 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During the three months ended March&#160;31, 2011, the Firm reviewed current conditions and prior projections for all of its reporting units. In addition, the Firm updated the discounted cash flow valuations of its consumer lending businesses in RFS and Card Services (&#8220;CS&#8221;), as these businesses continue to have elevated risk for goodwill impairment due to their exposure to U.S. consumer credit risk and the effects of regulatory and legislative changes. As a result of these reviews, the Firm concluded that goodwill for these businesses and the Firm&#8217;s other reporting units was not impaired at March 31, 2011. </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">Mortgage servicing rights represent the fair value of expected future cash flows for performing servicing activities for others. The fair value considers estimated future fees and ancillary revenues, offset by estimated costs to service the loans. The fair value of mortgage servicing rights naturally declines over time as net servicing cash flows are received, effectively amortizing the MSR asset against contractual and ancillary fee income. For a further description of the MSR asset, interest rate risk management, and the valuation of MSRs, see Notes 17 on pages 260&#8211;263, respectively of JPMorgan Chase&#8217;s 2010 Annual Report and Note 3 on pages 94&#8211;105 of this Form 10-Q. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In the first quarter of 2011, the Firm determined that the fair value of the MSR asset had declined, reflecting higher estimated future servicing costs related to enhanced servicing processes, particularly loan modification and foreclosure procedures, including costs to comply with Consent Orders entered into with the banking regulators. The increase in the cost to service assumption contemplates significant and prolonged increases in staffing levels in the core and default servicing functions, and specifically considers the higher cost to service certain high-risk vintages. These higher estimated future costs resulted in a $1.1&#160;billion decrease in the fair value of the MSR asset during the three months ended March 31, 2011. This decrease partially offset by an increase in fair value due to the effects of higher market interest rates (which tend to decrease prepayments and therefore extend the expected life of the net servicing cash flows that comprise the MSR asset). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The decrease in the fair value of the MSR in the current quarter results in a lower asset value that will amortize in future periods against contractual and ancillary fee income received in future periods. 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The contractual amount of these financial instruments represents the Firm&#8217;s maximum possible credit risk should the counterparty draw upon the commitment or the Firm be required to fulfill its obligation under the guarantee, and the counterparty subsequently fail to perform according to the terms of the contract. Most of these commitments and guarantees expire without being drawn or a default occurring. As a result, the total contractual amount of these instruments is not, in the Firm&#8217;s view, representative of its actual future credit exposure or funding requirements. For a discussion of off&#8211;balance sheet lending-related financial instruments and guarantees, and the Firm&#8217;s related accounting policies, see Note 30 on pages 275&#8211;280 of JPMorgan Chase&#8217;s 2010 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">To provide for the risk of loss inherent in wholesale and consumer (excluding credit card) related contracts, an allowance for credit losses on lending-related commitments is maintained. See Note 14 on pages 139&#8211;140 of this Form 10-Q for further discussion regarding the allowance for credit losses on lending-related commitments. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the contractual amounts and carrying values of off&#8211;balance sheet lending-related financial instruments, guarantees and other commitments at March&#160;31, 2011, and December&#160;31, 2010. 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 credit card lines of credit by providing the borrower prior notice or, in some cases, without notice as permitted by law. 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The total notional value of the derivatives that the Firm deems to be guarantees was $87.4&#160;billion and $87.8 billion at March&#160;31, 2011, and December&#160;31, 2010, respectively. The notional amount generally represents the Firm&#8217;s maximum exposure to derivatives qualifying as guarantees. However, exposure to certain stable value derivatives is contractually limited to a substantially lower percentage of the notional amount; the notional amount on these stable value contracts was $26.1&#160;billion and $25.9&#160;billion and the maximum exposure to loss was $2.7&#160;billion, at both March&#160;31, 2011, and December&#160;31, 2010. The fair values of the contracts reflects the probability of whether the Firm will be required to perform under the contract. The fair value related to derivative guarantees were derivative payables of $467&#160;million and $390&#160;million and derivative receivables of $95&#160;million and $96&#160;million at March&#160;31, 2011, and December&#160;31, 2010, 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, the Firm is both a purchaser and seller of credit protection in the credit derivatives market. 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The Firm may be, and has been, required to repurchase loans and/or indemnify the GSEs and other investors for losses due to material breaches of these representations and warranties; however, predominantly all of the repurchase demands received by the Firm and the Firm&#8217;s losses realized to date are related to loans sold to the GSEs. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm has recognized a repurchase liability of $3.5&#160;billion and $3.3&#160;billion, as of March&#160;31, 2011, and December&#160;31, 2010, respectively, which is reported in accounts payable and other liabilities net of probable recoveries from third parties. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Substantially all of the estimates and assumptions underlying the Firm&#8217;s established methodology for computing its recorded repurchase liability &#8212; including factors such as the amount of probable future demands from purchasers, the ability of the Firm to cure identified defects, the severity of loss upon repurchase or foreclosure, and recoveries from third parties &#8212; require application of a significant level of management judgment. Estimating the repurchase liability is further complicated by limited and rapidly changing historical data and uncertainty surrounding numerous external factors, including: (i)&#160;macro-economic factors and (ii)&#160;the level of future demands, which is dependent, in part, on actions taken by third parties such as the GSEs and mortgage insurers. While the Firm uses the best information available to it in estimating its repurchase liability, the estimation process is inherently uncertain and imprecise and, accordingly, losses in excess of the amounts accrued as of March&#160;31, 2011, are reasonably possible. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm believes the estimate of the range of reasonably possible losses, in excess of reserves established, for its repurchase liability is from $0 to approximately $1.8&#160;billion at March&#160;31, 2011. 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The carrying value of the related liability that the Firm has recorded, which is representative of the Firm&#8217;s view of the likelihood it will have to perform under this guarantee, was $148&#160;million and $153&#160;million at March&#160;31, 2011, and December&#160;31, 2010, respectively. </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: 'Times New Roman',Times,serif"> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 22 - jpm:CommitmentsPledgedAssetsAndCollateralDisclosureTextBlock--> <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 22 &#8212; PLEDGED ASSETS AND COLLATERAL</b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a discussion of the Firm&#8217;s pledged assets and collateral, see Note 31 on pages 280&#8211;281 of JPMorgan Chase&#8217;s 2010 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Pledged assets</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">At March&#160;31, 2011, assets were pledged to collateralize repurchase agreements, other securities financing agreements, derivative transactions and for other purposes, including to secure borrowings and public deposits. Certain of these pledged assets may be sold or repledged by the secured parties and are identified as financial instruments owned (pledged to various parties) on the Consolidated Balance Sheets. In addition, at March&#160;31, 2011, and December&#160;31, 2010, the Firm had pledged $305.4&#160;billion and $288.7&#160;billion, respectively, of financial instruments it owns that may not be sold or repledged by the secured parties. Total assets pledged do not include assets of consolidated VIEs; these assets are used to settle the liabilities of those entities. See Note 15 on pages 141&#8211;149 of this Form 10-Q, and Note 16 on pages 244&#8211;259 of JPMorgan Chase&#8217;s 2010 Annual Report, for additional information on assets and liabilities of consolidated VIEs. For further information regarding pledged assets, see Note 31 on page 281 of JPMorgan Chase&#8217;s 2010 Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Collateral</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">At March&#160;31, 2011, and December&#160;31, 2010, the Firm had accepted assets as collateral that it could sell or repledge, deliver or otherwise use with a fair value of approximately $730.4&#160;billion and $655.0&#160;billion, respectively. This collateral was generally obtained under resale agreements, securities borrowing agreements, customer margin loans and derivative agreements. Of the collateral received, approximately $544.2&#160;billion and $521.3&#160;billion, respectively, were sold or repledged, generally as collateral under repurchase agreements, securities lending agreements or to cover short sales and to collateralize deposits and derivative agreements. For further information regarding collateral, see Note 31 on page 281 of JPMorgan Chase&#8217;s 2010 Annual Report. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 23 - jpm:LegalMattersAndContingenciesTextBlock--> <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><u><b>NOTE 23 &#8212; LITIGATION</b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of March&#160;31, 2011, the Firm and its subsidiaries are defendants or putative defendants in more than 10,000 legal proceedings, in the form of regulatory/government investigations as well as private, civil litigations. The litigations range from individual actions involving a single plaintiff to class action lawsuits with potentially millions of class members. Investigations involve both formal and informal proceedings, by both governmental agencies and self-regulatory organizations. These legal proceedings are at varying stages of adjudication, arbitration or investigation, and involve each of the Firm&#8217;s lines of business and geographies and a wide variety of claims (including common law tort and contract claims and statutory antitrust, securities and consumer protection claims), some of which present novel claims or legal theories. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm believes the estimate of the aggregate range of reasonably possible losses, in excess of reserves established, for its legal proceedings is from $0 to approximately $4.5&#160;billion at March 31, 2011. This estimated aggregate range of reasonably possible losses is based upon currently available information for those proceedings in which the Firm is involved, taking into account the Firm&#8217;s best estimate of such losses for those cases for which such estimate can be made. For certain cases, the Firm does not believe that an estimate can currently be made. The Firm&#8217;s estimate involves significant judgment, given the varying stages of the proceedings (including the fact that many of them are currently in preliminary stages), the existence of multiple defendants (including the Firm) in many of such proceedings whose share of liability has yet to be determined, the numerous yet-unresolved issues in many of the proceedings (including issues regarding class certification and the scope of many of the claims), and the attendant uncertainty of the various potential outcomes of such proceedings. Accordingly, the Firm&#8217;s estimate will change from time to time, and actual losses may be more than the current estimate. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Set forth below are descriptions of the Firm&#8217;s material legal proceedings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Auction-Rate Securities Investigations and Litigation. </i>Beginning in March&#160;2008, several regulatory authorities initiated investigations of a number of industry participants, including the Firm, concerning possible state and federal securities law violations in connection with the sale of auction-rate securities. The market for many such securities had frozen and a significant number of auctions for those securities began to fail in February&#160;2008. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm, on behalf of itself and affiliates, agreed to a settlement in principle with the New York Attorney General&#8217;s Office which provided, among other things, that the Firm would offer to purchase at par certain auction-rate securities purchased from J.P. Morgan Securities LLC (&#8220;JPMorgan Securities&#8221;; formerly J.P. Morgan Securities Inc.), Chase Investment Services Corp. and Bear, Stearns &#038; Co. Inc. by individual investors, charities and small- to medium-sized businesses. The Firm also agreed to a substantively similar settlement in principle with the Office of Financial Regulation for the State of Florida and the North American Securities Administrator Association (&#8220;NASAA&#8221;) Task Force, which agreed to recommend approval of the settlement to all remaining states, Puerto Rico and the U.S. Virgin Islands. The Firm has finalized the settlement agreements with the New York Attorney General&#8217;s Office and the Office of Financial Regulation for the State of Florida. The settlement agreements provide for the payment of penalties totaling $25 million to all states. The Firm is currently in the process of finalizing consent agreements with NASAA&#8217;s member states; over 40 of these consent agreements have been finalized to date. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm also faces a number of civil actions relating to the Firm&#8217;s sales of auction-rate securities, including a putative securities class action in the United States District Court for the Southern District of New York that seeks unspecified damages, and individual arbitrations and lawsuits in various forums brought by institutional and individual investors that, together, seek damages totaling more than $200&#160;million relating to the Firm&#8217;s sales of auction-rate securities. One action is brought by an issuer of auction-rate securities. The actions generally allege that the Firm and other firms manipulated the market for auction-rate securities by placing bids at auctions that affected these securities&#8217; clearing rates or otherwise supported the auctions without properly disclosing these activities. Some actions also allege that the Firm misrepresented that auction-rate securities were short-term instruments. The Firm has filed motions to dismiss each of the actions pending in federal court, which are being coordinated before the Southern District. These motions are currently pending. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Additionally, the Firm was named in two putative antitrust class actions in the United States District Court for the Southern District of New York. The actions allege that the Firm, along with numerous other financial institution defendants, colluded to maintain and stabilize the auction-rate securities market and then to withdraw their support for the auction-rate securities market. In January&#160;2010, the District Court dismissed both actions. An appeal is pending in the Second Circuit Court of Appeals. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Bear Stearns Hedge Fund Matters. </i>Bear Stearns, certain current or former subsidiaries of Bear Stearns, including Bear Stearns Asset Management, Inc. (&#8220;BSAM&#8221;) and Bear, Stearns &#038; Co. Inc., and certain current or former Bear Stearns employees are named defendants (collectively the &#8220;Bear Stearns defendants&#8221;) in multiple civil actions and arbitrations relating to alleged losses resulting from the failure of the Bear Stearns High Grade Structured Credit Strategies Master Fund, Ltd. (the &#8220;High Grade Fund&#8221;) and the Bear Stearns High Grade Structured Credit Strategies Enhanced Leverage Master Fund, Ltd. (the &#8220;Enhanced Leverage Fund&#8221;) (collectively, the &#8220;Funds&#8221;). BSAM served as investment manager for both of the Funds, which were organized such that there were U.S. and Cayman Islands &#8220;feeder funds&#8221; that invested substantially all their assets, directly or indirectly, in the Funds. The Funds are in liquidation. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">There are currently four civil actions pending in the United States District Court for the Southern District of New York relating to the Funds. Two of these actions involve derivative lawsuits brought on behalf of purchasers of partnership interests in the two U.S. feeder funds, alleging that the Bear Stearns defendants mismanaged the Funds and made material misrepresentations to and/or withheld information from investors in the feeder funds. These actions seek, among other things, unspecified compensatory damages based on alleged investor losses. The third action, brought by the Joint Voluntary Liquidators of the Cayman Islands feeder funds, makes allegations similar to those asserted in the derivative lawsuits related to the U.S. feeder funds, and seeks compensatory and punitive damages. Motions to dismiss in these three cases have been granted in part and denied in part. An agreement in principle has been reached, pursuant to which BSAM would pay a maximum of approximately $19&#160;million to settle the one derivative action relating to the feeder fund to the High Grade Fund. BSAM has reserved the right not to proceed with this settlement if plaintiff is unable to secure the participation of investors whose net contributions meet a prescribed percentage of the aggregate net contributions to the High Grade Fund. The agreement in principle remains subject to documentation and approval by the Court. In the other two actions, the parties have been ordered by the Court to engage in settlement discussions and discovery has been limited for the duration of that process. Total alleged losses in these three actions exceed $1 billion. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The fourth action was brought by Bank of America and Banc of America Securities LLC (together &#8220;BofA&#8221;) alleging breach of contract and fraud in connection with a May&#160;2007 $4&#160;billion securitization, known as a &#8220;CDO-squared,&#8221; for which BSAM served as collateral manager. This securitization was composed of certain collateralized debt obligation (&#8220;CDO&#8221;) holdings that were purchased by BofA from the Funds. Bank of America seeks in excess of $3&#160;billion in damages. Defendants&#8217; motion to dismiss in this action was largely denied, an amended complaint was filed and discovery is ongoing. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Bear Stearns Shareholder Litigation and Related Matters. </i>Various shareholders of Bear Stearns have commenced purported class actions against Bear Stearns and certain of its former officers and/or directors on behalf of all persons who purchased or otherwise acquired common stock of Bear Stearns between December&#160;14, 2006 and March&#160;14, 2008 (the &#8220;Class&#160;Period&#8221;). During the Class&#160;Period, Bear Stearns had between 115 and 120&#160;million common shares outstanding, and the price of those securities declined from a high of $172.61 to a low of $30 at the end of the period. The actions, originally commenced in several federal courts, allege that the defendants issued materially false and misleading statements regarding Bear Stearns&#8217; business and financial results and that, as a result of those false statements, Bear Stearns&#8217; common stock traded at artificially inflated prices during the Class&#160;Period. Separately, several individual shareholders of Bear Stearns have commenced or threatened to commence arbitration proceedings and lawsuits asserting claims similar to those in the putative class actions. Certain of these matters have been dismissed or settled. In addition, Bear Stearns and certain of its former officers and/or directors have also been named as defendants in a number of purported class actions commenced in the United States District Court for the Southern District of New York seeking to represent the interests of participants in the Bear Stearns Employee Stock Ownership Plan (&#8220;ESOP&#8221;) during the time period of December&#160;2006 to March&#160;2008. These actions, brought under the Employee Retirement Income Security Act (&#8220;ERISA&#8221;), allege that defendants breached their fiduciary duties to plaintiffs and to the other participants and beneficiaries of the ESOP by (a)&#160;failing to manage prudently the ESOP&#8217;s investment in Bear Stearns securities; (b)&#160;failing to communicate fully and accurately about the risks of the ESOP&#8217;s investment in Bear Stearns stock; (c)&#160;failing to avoid or address alleged conflicts of interest; and (d)&#160;failing to monitor those who managed and administered the ESOP. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Bear Stearns, former members of Bear Stearns&#8217; Board of Directors and certain of Bear Stearns&#8217; former executive officers have also been named as defendants in a shareholder derivative and class action suit which is pending in the United States District Court for the Southern District of New York. Plaintiffs are asserting claims for breach of fiduciary duty, violations of federal securities laws, waste of corporate assets and gross mismanagement, unjust enrichment, abuse of control and indemnification and contribution in connection with the losses sustained by Bear Stearns as a result of its purchases of subprime loans and certain repurchases of its own common stock. Certain individual defendants are also alleged to have sold their holdings of Bear Stearns common stock while in possession of material nonpublic information. Plaintiffs seek compensatory damages in an unspecified amount. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">All of the above-described actions filed in federal courts were ordered transferred and joined for pre-trial purposes before the United States District Court for the Southern District of New York. Defendants moved to dismiss the purported securities class action, the shareholders&#8217; derivative action and the ERISA action. In January&#160;2011, the District Court granted the motions to dismiss the derivative and ERISA actions, and denied the motion as to the securities action. Plaintiffs in the derivative action have filed a motion for reconsideration of the dismissal as well as an appeal. Plaintiffs in the ESOP action have filed a motion to alter the judgment and for leave to amend their amended consolidated complaint. Discovery will now commence in the securities action. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>City of Milan Litigation and Criminal Investigation. </i>In January&#160;2009, the City of Milan, Italy (the &#8220;City&#8221;) issued civil proceedings against (among others) JPMorgan Chase Bank, N.A. and J.P. Morgan Securities Ltd. (together, &#8220;JPMorgan Chase&#8221;) in the District Court of Milan. The proceedings relate to (a)&#160;a bond issue by the City in June&#160;2005 (the &#8220;Bond&#8221;), and (b)&#160;an associated swap transaction, which was subsequently restructured on a number of occasions between 2005 and 2007 (the &#8220;Swap&#8221;). The City seeks damages and/or other remedies against JPMorgan Chase (among others) on the grounds of alleged &#8220;fraudulent and deceitful acts&#8221; and alleged breach of advisory obligations in connection with the Swap and the Bond, together with related swap transactions with other counterparties. The judge directed four current and former JPMorgan Chase personnel and JPMorgan Chase Bank, N.A. (as well as other individuals and three other banks) to go forward to a full trial that started in May 2010. Although the Firm is not charged with any crime and does not face criminal liability, if one or more of its employees were found guilty, the Firm could be subject to administrative sanctions, including restrictions on its ability to conduct business in Italy and monetary penalties. Hearings have continued on a weekly basis since May&#160;2010. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Enron Litigation. </i>JPMorgan Chase and certain of its officers and directors are involved in several lawsuits that together seek substantial damages arising out of the Firm&#8217;s banking relationships with Enron Corp. and its subsidiaries (&#8220;Enron&#8221;). A number of actions and other proceedings against the Firm previously were resolved, including a class action lawsuit captioned Newby v. Enron Corp. and adversary proceedings brought by Enron&#8217;s bankruptcy estate. The remaining Enron-related actions include individual actions by Enron investors, an action by an Enron counterparty, and a purported class action filed on behalf of JPMorgan Chase employees who participated in the Firm&#8217;s 401(k) plan asserting claims under the ERISA for alleged breaches of fiduciary duties by JPMorgan Chase, its directors and named officers. That action has been dismissed, and is on appeal to the United States Court of Appeals for the Second Circuit. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Interchange Litigation. </i>A group of merchants has filed a series of putative class action complaints in several federal courts. The complaints allege that VISA and MasterCard, as well as certain other banks and their respective bank holding companies, conspired to set the price of credit and debit card interchange fees, enacted respective association rules in violation of antitrust laws, and engaged in tying/bundling and exclusive dealing. The complaint seeks unspecified damages and injunctive relief based on the theory that interchange would be lower or eliminated but for the challenged conduct. Based on publicly available estimates, Visa and MasterCard branded payment cards generated approximately $40&#160;billion of interchange fees industry-wide in 2009. All cases have been consolidated in the United States District Court for the Eastern District of New York for pretrial proceedings. The Court has dismissed all claims relating to periods prior to January&#160;2004. The Court has not yet ruled on motions relating to the remainder of the case. Fact and expert discovery in the case have closed. The Court has not yet ruled on plaintiffs&#8217; class certification motion. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the consolidated class action complaint, plaintiffs filed supplemental complaints challenging the initial public offerings (&#8220;IPOs&#8221;) of MasterCard and Visa (the &#8220;IPO Complaints&#8221;). With respect to the MasterCard IPO, plaintiffs allege that the offering violated Section&#160;7 of the Clayton Act and Section&#160;1 of the Sherman Act and that the offering was a fraudulent conveyance. With respect to the Visa IPO, plaintiffs are challenging the Visa IPO on antitrust theories parallel to those articulated in the MasterCard IPO pleading. Defendants have filed motions to dismiss the IPO Complaints. The Court has not yet ruled on those motions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The parties also have filed motions seeking summary judgment as to various claims in the complaints. Briefing is expected to be completed in June&#160;2011. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Investment Management Litigation. </i>Four cases have been filed claiming that investment portfolios managed by JPMorgan Investment Management Inc. (&#8220;JPMorgan Investment Management&#8221;) were inappropriately invested in securities backed by subprime residential real estate collateral. Plaintiffs claim that JPMorgan Investment Management and related defendants are liable for losses of more than $1&#160;billion in market value of these securities. The first case was filed by NM Homes One, Inc. in federal District Court in New York. Following rulings on motions addressed to the pleadings, plaintiff&#8217;s claims for breach of contract, breach of fiduciary duty, negligence and gross negligence survive, and discovery is proceeding. In the second case, which was filed by Assured Guaranty (U.K.) in New York state court, the New York State Appellate Division allowed plaintiff to proceed with its claims for breach of fiduciary duty and gross negligence, and for breach of contract based on alleged violations of the Delaware Insurance Code. JPMorgan Investment Management&#8217;s appeal is pending in the New York State Court of Appeals. Discovery is also proceeding. In the third case, filed by Ambac Assurance UK Limited in New York state court, the lower court granted JPMorgan Investment Management&#8217;s motion to dismiss. Plaintiff appealed and the appeal is pending. The fourth case was filed by CMMF LLP in New York state court. The amended complaint asserts claims under New York law for breach of fiduciary duty, gross negligence, breach of contract and negligent misrepresentation. The lower court denied in part defendants&#8217; motion to dismiss and discovery is proceeding. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Lehman Brothers Bankruptcy Proceedings. </i>In May&#160;2010, Lehman Brothers Holdings Inc. (&#8220;LBHI&#8221;) and its Official Committee of Unsecured Creditors filed a complaint (and later an amended complaint) against JPMorgan Chase Bank, N.A. in the United States Bankruptcy Court for the Southern District of New York that asserts both federal bankruptcy law and state common law claims, and seeks, among other relief, to recover $8.6&#160;billion in collateral that was transferred to JPMorgan Chase Bank, N.A. in the weeks preceding LBHI&#8217;s bankruptcy. The amended complaint also seeks unspecified damages on the grounds that JPMorgan Chase Bank, N.A.&#8217;s collateral requests hastened LBHI&#8217;s demise. The Firm has moved to dismiss plaintiffs&#8217; amended complaint in its entirety. The Firm also filed counterclaims against LBHI alleging that LBHI fraudulently induced the Firm to make large clearing advances to Lehman against inappropriate collateral, which left the Firm with more than $25&#160;billion in claims against the estate of Lehman&#8217;s broker-dealer, which could be unpaid if the Firm is required to return any collateral to Lehman. Discovery is underway with a trial scheduled for 2012. In addition, in April&#160;2011 the Firm and the SIPA Trustee for LBHI&#8217;s U.S. broker-dealer subsidiary, Lehman Brothers Inc. (&#8220;LBI&#8221;) announced that they had reached an agreement to return more than $800 million in alleged LBI customer assets to the LBI Estate for distribution to its customer claimants. The agreement is subject to the approval of the Bankruptcy Court. The Firm has also responded to various regulatory inquiries regarding the Lehman matter. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">&#160;&#160;&#160;&#160;&#160;<i>Madoff Litigation. </i>JPMorgan Chase &#038; Co., JPMorgan Chase Bank, N.A., JPMorgan Securities LLC, and JPMorgan Securities Ltd. have been named as defendants in a lawsuit brought by the trustee for the liquidation of Bernard L. Madoff Investment Securities LLC (the &#8220;Trustee&#8221;). The Trustee asserts 28 causes of action against JPMorgan Chase, 16 of which seek to avoid certain transfers (direct or indirect) made to JPMorgan Chase that are alleged to have been preferential or fraudulent under the federal Bankruptcy Code and the New York Debtor and Creditor Law. The remaining causes of action are for, among other things, aiding and abetting fraud, aiding and abetting breach of fiduciary duty, conversion and unjust enrichment. The complaint generally alleges that JPMorgan Chase, as Madoff&#8217;s long-time bank, facilitated the maintenance of Madoff&#8217;s Ponzi scheme and overlooked signs of wrongdoing in order to obtain profits and fees. The complaint purports to seek approximately $6 billion in damages from JPMorgan Chase, and to recover approximately $425&#160;million in transfers that JPMorgan Chase allegedly received directly or indirectly from Bernard Madoff&#8217;s brokerage firm. JPMorgan Chase has filed a motion to return the case from the Bankruptcy Court to the District Court, and intends to seek the dismissal of all or most of the Trustee&#8217;s claims once that motion is decided. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Separately, J.P. Morgan Trust Company (Cayman) Limited, JPMorgan (Suisse) SA, J.P. Morgan Securities Ltd., and Bear Stearns Alternative Assets International Ltd. have been named as defendants in several suits in Bankruptcy Court and state and federal courts in New York arising out of the liquidation proceedings of Fairfield Sentry Limited and Fairfield Sigma Limited (together, &#8220;Fairfield&#8221;), so-called Madoff feeder funds. These actions advance theories of mistake and restitution and seek to recover payments previously made to defendants by the funds totaling approximately $140&#160;million. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition, a purported class action is pending against JPMorgan Chase in the United States District Court for the Southern District of New York, as is a motion by separate potential class plaintiffs to add claims against JPMorgan Chase, JPMorgan Chase Bank, N.A., J.P. Morgan Securities LLC and J.P. Morgan Securities Ltd. to an already-pending purported class action in the same court. The allegations in these complaints largely track those raised by the Trustee. Defendants&#8217; motions to dismiss and opposition to the motions for leave to amend are currently due on June&#160;29, 2011. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Finally, JPMorgan Chase is a defendant in five actions pending in the New York state court and one individual action in federal court in New York. The allegations in all of these actions are essentially identical, and involve claims against the Firm for aiding and abetting fraud, aiding and abetting breach of fiduciary duty, conversion and unjust enrichment. In the federal action, the Firm prevailed on its motion to dismiss before the District Court, and plaintiff appealed. In the state court actions, the Firm&#8217;s motion to dismiss has been fully-briefed and the parties are awaiting the court&#8217;s decision. The Firm has also responded to various governmental inquiries concerning the Madoff matter. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Mortgage-Backed Securities Litigation and Regulatory Investigations. </i>JPMorgan Chase and affiliates, Bear Stearns and affiliates and Washington Mutual affiliates have been named as defendants in a number of cases in their various roles as issuer or underwriter in mortgage-backed securities (&#8220;MBS&#8221;) offerings. These cases include purported class action suits, actions by individual purchasers of securities, actions by insurance companies that guaranteed payments of principal and interest for particular tranches and an action by a trustee. Although the allegations vary by lawsuit, these cases generally allege that the offering documents for more than $100&#160;billion of securities issued by dozens of securitization trusts contained material misrepresentations and omissions, including statements regarding the underwriting standards pursuant to which the underlying mortgage loans were issued, or assert that various representations or warranties relating to the loans were breached at the time of origination. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In the actions against the Firm as an MBS issuer (and, in some cases, also as an underwriter of its own MBS offerings), three purported class actions are pending against JPMorgan Chase and Bear Stearns, and/or certain of their affiliates and current and former employees, in the United States District Courts for the Eastern and Southern Districts of New York. Defendants have moved to dismiss these actions. One of those motions has been granted in part to dismiss all claims relating to MBS offerings in which a named plaintiff was not a purchaser or the claims were barred by statutes of limitations. The other two motions remain pending. In addition, Washington Mutual affiliates, WaMu Asset Acceptance Corp. and WaMu Capital Corp., along with certain former officers or directors of WaMu Asset Acceptance Corp., have been named as defendants in three now-consolidated purported class action cases pending in the Western District of Washington. Defendants&#8217; motion to dismiss was granted in part to dismiss all claims relating to MBS offerings in which a named plaintiff was not a purchaser. Plaintiffs are seeking class certification, and discovery is ongoing. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In other actions brought against the Firm as an MBS issuer (and, in some cases, also as an underwriter) certain JPMorgan Chase entities, several Bear Stearns entities, and certain Washington Mutual affiliates are defendants in ten separate individual actions commenced by the Federal Home Loan Banks of Pittsburgh, Seattle, San Francisco, Chicago, Indianapolis, Atlanta and Boston in various state courts around the country; and certain JPMorgan Chase, Bear Stearns and Washington Mutual entities are also among the defendants named in separate individual actions commenced by various institutional investors in federal and states courts. Certain of the state court proceedings have been removed to federal court, and motions to remand are pending. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">EMC Mortgage Corporation (&#8220;EMC&#8221;), a subsidiary of JPMorgan Chase, and certain other JPMorgan Chase entities are defendants in four pending actions commenced by bond insurers that guaranteed payments of principal and interest on approximately $3.6&#160;billion of certain classes of seven different MBS offerings sponsored by EMC. Two of those actions, commenced by Assured Guaranty Corp. and Syncora Guarantee, Inc., respectively, are pending in the United States District Court for the Southern District of New York. The third action, filed by Ambac Assurance Corporation, was dismissed on jurisdictional grounds by the United States District for the Southern District of New York. The dismissal is on appeal to the United States Court of Appeals for the Second Circuit. Ambac has also filed a nearly identical complaint in New York state court. Defendants have moved to stay the state court proceeding pending the outcome of the federal appeal. The fourth action, commenced by CIFG Assurance North America, Inc., is pending in state court in Texas. In each action, plaintiff claims that the underlying mortgage loans had origination defects that purportedly violate certain representations and warranties given by EMC to plaintiffs, and that EMC has breached the relevant agreements between the parties by failing to repurchase allegedly defective mortgage loans. In addition, the Ambac and CIFG complaints allege fraudulent inducement. Each action seeks unspecified damages and an order compelling EMC to repurchase those loans. The CIFG complaint seeks punitive damages. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In the actions against the Firm solely as an underwriter of other issuers&#8217; MBS offerings, the Firm has contractual rights to indemnification from the issuers, but those indemnity rights may prove effectively unenforceable where the issuers are now defunct, such as affiliates of IndyMac Bancorp (&#8220;IndyMac Trusts&#8221;) and Thornburg Mortgage (&#8220;Thornburg&#8221;). With respect to the IndyMac Trusts, JPMorgan Securities, along with numerous other underwriters and individuals, is named as a defendant, both in its own capacity and as successor to Bear Stearns in a purported class action pending in the United States District Court for the Southern District of New York brought on behalf of purchasers of securities in various Indy-Mac Trust MBS offerings. The Court in that action has dismissed claims as to certain such securitizations, including all offerings in which no named plaintiff purchased securities, and allowed claims as to other offerings to proceed. Plaintiffs&#8217; motion to certify a class of investors in certain offerings is pending, and discovery is ongoing. In addition, JPMorgan Securities and JPMorgan Chase are named as defendants in an individual action filed by the Federal Home Loan Bank of Pittsburgh in connection with a single offering by an affiliate of IndyMac Bancorp. Discovery in that action is ongoing. Separately, JPMorgan Securities, as successor to Bear, Stearns &#038; Co. Inc., along with other underwriters and certain individuals, are defendants in an action pending in state court in California brought by MBIA Insurance Corp. (&#8220;MBIA&#8221;). The action relates to certain securities issued by IndyMac trusts in offerings in which Bear Stearns was an underwriter, and as to which MBIA provided guaranty insurance policies. MBIA purports to be subrogated to the rights of the MBS holders, and seeks recovery of sums it has paid and will pay pursuant to those policies. Discovery is ongoing. With respect to Thornburg, a Bear Stearns subsidiary is also a named defendant in a purported class action pending in the United States District Court for the District of New Mexico along with a number of other financial institutions that served as depositors and/or underwriters for three Thornburg MBS offerings. Defendants have moved to dismiss this action. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the above-described litigation, the Firm has also received, and responded to, a number of subpoenas and informal requests for information from federal and state authorities concerning mortgage-related matters, including inquiries concerning a number of transactions involving the Firm&#8217;s underwriting and issuance of MBS and its participation in offerings of certain collateralized debt obligations. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the above mortgage-related matters, the Firm is now a defendant in an action commenced by Deutsche Bank, described in more detail below with respect to the Washington Mutual Litigations. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Mortgage Foreclosure Investigations and Litigation. </i>Multiple state and federal officials have announced investigations into the procedures followed by mortgage servicing companies and banks, including JPMorgan Chase &#038; Co. and its affiliates, relating to foreclosure and loss mitigation processes. The Firm is cooperating with these investigations, and these investigations could result in material fines, penalties, equitable remedies (including requiring default servicing or other process changes), or other enforcement actions, as well as significant legal costs in responding to governmental investigations and additional litigation. The Office of the Comptroller of the Currency and the Federal Reserve have issued Consent Orders as to JPMorgan Chase Bank, N.A., and JPMorgan Chase &#038; Co., respectively. In their Orders, the regulators have mandated significant changes to the Firm&#8217;s servicing and default business and outlined requirements to implement these changes. Included in these requirements is the retention of an independent consultant to conduct an independent review of certain residential foreclosure actions or proceedings for loans serviced by the Firm that have been pending at any time from January&#160;1, 2009 to December&#160;31, 2010, as well as residential foreclosure sales that occurred during this time period. These regulators have reserved the right to impose civil monetary penalties at a later date. Investigations by other state and federal authorities remain pending. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Four purported class action lawsuits have also been filed against the Firm relating to its mortgage foreclosure procedures. Additionally, Bank of America has tendered defense of a purported class action brought against it involving an EMC loan. One of the cases has been voluntarily dismissed with prejudice by the plaintiff. The Firm has moved to dismiss the remaining cases. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of January&#160;2011, the Firm had resumed initiation of new foreclosure proceedings in nearly all states in which it had previously suspended such proceedings, utilizing revised procedures in connection with the execution of affidavits and other documents used by Firm employees in the foreclosure process. The Firm is also in the process of reviewing pending foreclosure matters to determine whether remediation of specific documentation is necessary, and is resuming pending foreclosures as the review, and if necessary, remediation, of each pending matter is completed. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Municipal Derivatives Investigations and Litigation. </i>The Department of Justice (in conjunction with the Internal Revenue Service), the Securities and Exchange Commission (&#8220;SEC&#8221;), a group of state attorneys general and the Office of the Comptroller of the Currency (&#8220;OCC&#8221;) have been investigating JPMorgan Chase and Bear Stearns for possible antitrust, securities and tax-related violations in connection with the bidding or sale of guaranteed investment contracts and derivatives to municipal issuers. The Philadelphia Office of the SEC provided notice to JPMorgan Securities that it intends to recommend that the SEC bring civil charges in connection with its investigation. JPMorgan Securities has responded to that notice, as well as to a separate notice that the Philadelphia Office of the SEC provided to Bear, Stearns &#038; Co. Inc. The Firm has been cooperating with all of these investigations, and is seeking to resolve them on a negotiated basis. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Purported class action lawsuits and individual actions (the &#8220;Municipal Derivatives Actions&#8221;) have been filed against JPMorgan Chase and Bear Stearns, as well as numerous other providers and brokers, alleging antitrust violations in the reportedly $100&#160;billion to $300&#160;billion annual market for financial instruments related to municipal bond offerings referred to collectively as &#8220;municipal derivatives.&#8221; The Municipal Derivatives Actions have been consolidated in the United States District Court for the Southern District of New York. The Court denied in part and granted in part defendants&#8217; motions to dismiss the purported class and individual actions, permitting certain claims to proceed against the Firm and others under federal and California state antitrust laws and under the California false claims act. Subsequently, a number of additional individual actions asserting substantially similar claims, including claims under New York and West Virginia state antitrust statutes, were filed against JPMorgan Chase, Bear Stearns and numerous other defendants. All of these cases have been coordinated for pretrial purposes in the United States District Court for the Southern District of New York. Discovery is ongoing. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Following J.P. Morgan Securities&#8217; settlement with the SEC in connection with certain Jefferson County, Alabama (the &#8220;County&#8221;) warrant underwritings and swap transactions, various parties have brought civil litigation against the Firm. The County and a putative class of sewer rate payers have filed complaints against the Firm and several other defendants in Alabama state court. The suits allege that the Firm made payments to certain third parties in exchange for being chosen to underwrite more than $3&#160;billion in warrants issued by the County and chosen as the counterparty for certain swaps executed by the County. The complaints also allege that the Firm concealed these third-party payments and that, but for this concealment, the County would not have entered into the transactions. The Court denied the Firm&#8217;s motions to dismiss the complaints in both proceedings. The Firm filed a mandamus petition with the Alabama Supreme Court, seeking immediate appellate review of this decision. The mandamus petition in the County&#8217;s lawsuit was denied in April&#160;2011. The mandamus petition in the lawsuit brought by sewer ratepayers remains pending<i>.</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Separately, two insurance companies that guaranteed the payment of principal and interest on warrants issued by Jefferson County have filed separate actions against the Firm in New York state court. Their complaints assert that the Firm fraudulently misled them into issuing insurance based upon substantially the same alleged conduct described above and other alleged non-disclosures. One insurer claims that it insured an aggregate principal amount of nearly $1.2&#160;billion and seeks unspecified damages in excess of $400&#160;million, as well as unspecified punitive damages. The other insurer claims that it insured an aggregate principal amount of more than $378&#160;million and seeks recovery of $4&#160;million allegedly paid under the policies to date as well as any future payments and unspecified punitive damages. In December&#160;2010, the court denied the Firm&#8217;s motions to dismiss each of the complaints. Discovery is proceeding. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Overdraft Fee/Debit Posting Order Litigation. </i>JPMorgan Chase Bank, N.A. has been named as a defendant in several purported class actions relating to its practices in posting debit card transactions to customers&#8217; deposit accounts. Plaintiffs allege that the Firm improperly re-ordered debit card transactions from the highest amount to lowest amount before processing these transactions in order to generate unwarranted overdraft fees. Plaintiffs contend that the Firm should have processed such transactions in the chronological order they were authorized. Plaintiffs seek the disgorgement of all overdraft fees paid to the Firm by plaintiffs, since approximately 2003, as a result of the re-ordering of debit card transactions. The claims against the Firm have been consolidated with numerous complaints against other national banks in Multi-District Litigation pending in the United States District Court for the Southern District of Florida. The Firm&#8217;s motion to compel arbitration of certain plaintiffs&#8217; claims was denied by the District Court. That ruling is currently on appeal. Discovery is proceeding in the District Court. Plaintiffs&#8217; motion for class certification is pending. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Petters Bankruptcy and Related Matters. </i>JPMorgan Chase and certain of its affiliates, including One Equity Partners, LLC (&#8220;OEP&#8221;), have been named as defendants in several actions filed in connection with the receivership and bankruptcy proceedings pertaining to Thomas J. Petters and certain entities affiliated with Petters (collectively, &#8220;Petters&#8221;) and the Polaroid Corporation. The principal actions against JPMorgan Chase and its affiliates have been brought by the receiver in Petters&#8217; personal bankruptcy and the trustees in the bankruptcy proceedings for three Petters entities, and generally seek to avoid, on fraudulent transfer and preference grounds, certain purported transfers in connection with (i)&#160;the 2005 acquisition of Polaroid by Petters, which at the time was majority-owned by OEP; (ii)&#160;two credit facilities that JPMorgan Chase and other financial institutions entered into with Polaroid; and (iii)&#160;a credit line and investment accounts held by Petters. The actions collectively seek recovery of approximately $450&#160;million. Defendants have moved to dismiss the complaints in the actions filed by the Petters bankruptcy trustees and have also sought to transfer those actions to the United States District Court for the District of Minnesota, where the receiver&#8217;s action is pending. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Securities Lending Litigation</i>. JPMorgan Chase Bank, N.A. has been named as a defendant in four putative class actions asserting ERISA and other claims pending in the United States District Court for the Southern District of New York brought by participants in the Firm&#8217;s securities lending business. A fifth lawsuit was filed in New York state court by an individual participant in the program. Three of the purported class actions, which have been consolidated, relate to investments of approximately $500&#160;million in medium-term notes of Sigma Finance Inc. (&#8220;Sigma&#8221;). In August&#160;2010, the Court certified a plaintiff class consisting of all securities lending participants that held Sigma medium-term notes on September&#160;30, 2008, including those that held the notes by virtue of participation in the investment of cash collateral through a collective fund, as well as those that held the notes by virtue of the investment of cash collateral through individual accounts. All discovery has been completed. JPMorgan Chase has moved for partial summary judgment as to plaintiffs&#8217; duty of loyalty claim, in which it is alleged that the Firm created an impermissible conflict of interest by providing repurchase financing to Sigma while also holding Sigma medium-term notes in securities lending accounts. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The fourth putative class action concerns investments of approximately $500&#160;million in Lehman Brothers medium-term notes. The Firm has moved to dismiss the amended complaint and is awaiting a decision. Discovery is proceeding while the motion is pending. The New York state court action, which is not a class action, concerns the plaintiff&#8217;s alleged loss of money in both Sigma and Lehman Brothers medium-term notes. The Firm has answered the complaint. Discovery is proceeding. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Service Members Civil Relief Act and Housing and Economic Recovery Act Investigations and Litigation. </i>Multiple government officials have announced inquiries into the Firm&#8217;s procedures related to the Service Members Civil Relief Act (&#8220;SCRA&#8221;) and the Housing and Economic Recovery Act of 2008 (&#8220;HERA&#8221;). These inquiries have been prompted by the Firm&#8217;s public statements about its SCRA and HERA compliance and actions to remedy certain instances in which the Firm mistakenly charged active or recently-active military personnel mortgage interest and fees in excess of that permitted by SCRA and HERA, and in a number of instances, foreclosed on borrowers protected by SCRA and HERA. The Firm has implemented a number of procedural enhancements and controls to strengthen its SCRA and HERA compliance. In addition, an individual borrower filed a nationwide class action in United States District Court for South Carolina against the Firm alleging violations of the SCRA related to home loans. The Firm agreed to pay $27&#160;million plus attorneys&#8217; fees, in addition to reimbursements previously paid by the Firm, to settle the class action. The settlement is subject to court approval. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Washington Mutual Litigations. </i>Subsequent to JPMorgan Chase&#8217;s acquisition from the Federal Deposit Insurance Corporation (&#8220;FDIC&#8221;) of substantially all of the assets and certain specified liabilities of Washington Mutual Bank (&#8220;Washington Mutual Bank&#8221;) in September&#160;2008, Washington Mutual Bank&#8217;s parent holding company, Washington Mutual, Inc. (&#8220;WMI&#8221;) and its wholly-owned subsidiary, WMI Investment Corp. (together, the &#8220;Debtors&#8221;), both commenced voluntary cases under Chapter&#160;11 of Title 11 of the United States Code in the United States Bankruptcy Court for the District of Delaware (the &#8220;Bankruptcy Case&#8221;). In the Bankruptcy Case, the Debtors have asserted rights and interests in certain assets. The assets in dispute include principally the following: (a) approximately $4&#160;billion in trust securities contributed by WMI to Washington Mutual Bank (the &#8220;Trust Securities&#8221;); (b)&#160;the right to tax refunds arising from overpayments attributable to operations of Washington Mutual Bank and its subsidiaries; (c)&#160;ownership of and other rights in approximately $4&#160;billion that WMI contends are deposit accounts at Washington Mutual Bank and one of its subsidiaries; and (d)&#160;ownership of and rights in various other contracts and other assets (collectively, the &#8220;Disputed Assets&#8221;). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">WMI, JPMorgan Chase and the FDIC have since been involved in litigations over these and other claims pending in the Bankruptcy Court and the United States District Court for the District of Columbia. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In May&#160;2010, WMI, JPMorgan Chase and the FDIC announced a global settlement agreement among themselves and significant creditor groups (the &#8220;Global Settlement Agreement&#8221;). The Global Settlement Agreement is incorporated into WMI&#8217;s proposed Chapter&#160;11 plan (&#8220;the Plan&#8221;) that has been submitted to the Bankruptcy Court. If approved by the Bankruptcy Court, the Global Settlement would resolve numerous disputes among WMI, JPMorgan Chase, the FDIC in its capacity as receiver for Washington Mutual Bank and the FDIC in its corporate capacity, as well as those of significant creditor groups, including disputes relating to the Disputed Assets. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Other proceedings related to Washington Mutual&#8217;s failure are also pending before the Bankruptcy Court. Among other actions, in July&#160;2010, certain holders of the Trust Securities commenced an adversary proceeding in the Bankruptcy Court against JPMorgan Chase, WMI, and other entities seeking, among other relief, a declaratory judgment that WMI and JPMorgan Chase do not have any right, title or interest in the Trust Securities. In early January&#160;2011, the Bankruptcy Court granted summary judgment to JPMorgan Chase and denied summary judgment to the plaintiffs in the Trust Securities adversary proceeding. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Bankruptcy Court considered confirmation of the Plan, including the Global Settlement Agreement, in hearings in early December&#160;2010. In early January&#160;2011, the Bankruptcy Court issued an opinion in which it concluded that the Global Settlement Agreement is fair and reasonable, but that the Plan cannot be confirmed until the parties correct certain deficiencies, which include the scope of releases. None of these deficiencies relates to the Disputed Assets. The Equity Committee has filed a petition seeking a direct appeal to the United States Court of Appeals for the Third Circuit from so much of the Bankruptcy Court&#8217;s ruling that found the settlement to be fair and reasonable. A revised Plan was filed with the Bankruptcy Court in February&#160;2011, and the Bankruptcy Court has scheduled confirmation hearings for early June&#160;2011. If the Global Settlement is effected and the Plan is confirmed, then the Firm currently estimates it will not incur net additional liabilities beyond those already reflected in its balance sheet for the numerous disputes covered by the Global Settlement. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Other proceedings related to Washington Mutual&#8217;s failure are pending before the United States District Court for the District of Columbia and include a lawsuit brought by Deutsche Bank National Trust Company, initially against the FDIC, asserting an estimated $6&#160;billion to $10&#160;billion in damages based upon alleged breach of various mortgage securitization agreements and alleged violation of certain representations and warranties given by certain WMI subsidiaries in connection with those securitization agreements. The case includes assertions that JPMorgan Chase may have assumed liabilities relating to the mortgage securitization agreements. In April&#160;2011, the District Court denied as premature motions by the Firm and the FDIC that sought a ruling on whether the FDIC retained liability for Deutsche Bank&#8217;s claims. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition, JPMorgan Chase was sued in an action originally filed in State Court in Texas (the &#8220;Texas Action&#8221;) by certain holders of WMI common stock and debt of WMI and Washington Mutual Bank who seek unspecified damages alleging that JPMorgan Chase acquired substantially all of the assets of Washington Mutual Bank from the FDIC at an allegedly too-low price. The Texas Action was transferred to the United States District Court for the District of Columbia, which ultimately granted JPMorgan Chase&#8217;s and the FDIC&#8217;s motions to dismiss the complaint. Plaintiffs&#8217; appeal of this dismissal is pending. </div> <div align="center" style="font-size: 10pt; margin-top: 6pt">* * * </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the various legal proceedings discussed above, JPMorgan Chase and its subsidiaries are named as defendants or otherwise involved in a substantial number of other legal proceedings. The Firm believes it has meritorious defenses to the claims asserted against it in its currently outstanding legal proceedings and it intends to defend itself vigorously in all such matters. Additional legal proceedings may be initiated from time to time in the future. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm has established reserves for several hundred of its currently outstanding legal proceedings. The Firm accrues for potential liability arising from such proceedings when it is probable that such liability has been incurred and the amount of the loss can be reasonably estimated. The Firm evaluates its outstanding legal proceedings each quarter to assess its litigation reserves, and makes adjustments in such reserves, upwards or downwards, as appropriate, based on management&#8217;s best judgment after consultation with counsel. During the three months ended March&#160;31, 2011 and 2010, the Firm incurred $1.1&#160;billion and $2.9&#160;billion, respectively, of litigation expense. There is no assurance that the Firm&#8217;s litigation reserves will not need to be adjusted in the future. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In view of the inherent difficulty of predicting the outcome of legal proceedings, particularly where the claimants seek very large or indeterminate damages, or where the matters present novel legal theories, involve a large number of parties or are in early stages of discovery, the Firm cannot state with confidence what the eventual outcome of the currently pending matters will be, what the timing of the ultimate resolution of these pending matters will be or what the eventual loss, fines, penalties or impact related to each currently pending matter may be. JPMorgan Chase believes, based upon its current knowledge, after consultation with counsel and after taking into account its current litigation reserves, that the legal proceedings currently pending against it should not have a material adverse effect on the Firm&#8217;s consolidated financial condition. The Firm notes, however, that in light of the uncertainties involved in such proceedings, there is no assurance the ultimate resolution of these matters will not significantly exceed the reserves currently accrued by the Firm; as a result, the outcome of a particular matter may be material to JPMorgan Chase&#8217;s operating results for a particular period, depending on, among other factors, the size of the loss or liability imposed and the level of JPMorgan Chase&#8217;s income for that period. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 24 - us-gaap:SegmentReportingDisclosureTextBlock--> <div style="font-family: 'Times New Roman',Times,serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><b>NOTE 24 &#8212; BUSINESS SEGMENTS</b></u> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm is managed on a line of business basis. There are six major reportable business segments &#8212; Investment Bank, Retail Financial Services, Card Services, Commercial Banking, Treasury &#038; Securities Services and Asset Management, as well as a Corporate/Private Equity segment. The business segments are determined 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&#8217;s business segments, see Business Segment Results on page 15 of this Form 10-Q, and pages 67&#8211;68 and Note 34 on pages 290&#8211;293 of JPMorgan Chase&#8217;s 2010 Annual Report. </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: 'Times New Roman',Times,serif"> <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&#8217;s segment results for the three months ended March&#160;31, 2011 and 2010, on a managed basis. Total net revenue (noninterest revenue and net interest income) for each of the segments is presented on a fully 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). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Effective January&#160;1, 2011, capital allocated to CS was reduced, largely reflecting portfolio runoff and the improving risk profile of the business; capital allocated to TSS was increased. 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nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(131</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,858</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>4</b></td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,257</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(14</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>284</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(555</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,971</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(14</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>697</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>49</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>130</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(143</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> 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nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(6</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>97</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>5,623</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>34</b></td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Loans </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>13,144</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>131</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>888</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,024</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(729</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>80</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>12,490</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>12</b></td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Asset-backed securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>7,965</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>354</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,118</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,057</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(43</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>19</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>8,356</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>245</b></td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total debt instruments </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>31,939</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>656</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>4,675</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(4,525</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(929</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>122</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>31,938</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>331</b></td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:30px; text-indent:-15px">Equity securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,685</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>70</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>37</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(74</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(330</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(21</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,367</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>83</b></td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>253</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>20</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>5</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(31</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>246</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>20</b></td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:15px; text-indent:-15px">Total debt and equity instruments </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>33,877</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>746</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>4,717</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(4,600</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,290</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>101</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>33,551</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>434</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><i>(a)</i></sup></td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr 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<td>&#160;</td> <td>&#160;</td> <td align="right"><b>128</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(83</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(915</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(15</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,470</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>184</b></td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Credit </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>5,386</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(853</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(146</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(15</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>4,373</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,068</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td> <div style="margin-left:45px; text-indent:-15px">Foreign exchange </div></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td 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align="right">62,173</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>297</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">317</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>5</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">3</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>392</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">320</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>8,492</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">8,780</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>90</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">136</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>22</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">22</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>645</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">781</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>4,578</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">5,510</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr style="font-size: 1px"> <td colspan="31" valign="top" align="left" style="border-top: 1px solid #000000">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>7,699</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">8,933</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>382</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">407</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>8,679</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">7,113</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>76,489</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">76,463</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr style="font-size: 1px"> <td colspan="31" valign="top" align="left" style="border-top: 1px solid #000000">&#160;</td> <td>&#160;</td> 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align="right">0.43</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>0.33</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">0.30</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>0.95</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">1.23</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>1.99</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">2.48</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> 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<td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">6,408</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>40,655</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">37,732</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>157,186</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">156,359</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr style="font-size: 1px"> <td colspan="31" valign="top" align="left" style="border-top: 1px solid #000000">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="right"><b>$</b></td> <td 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align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top" align="right"><b>&#160;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"> <td valign="top" align="right"><b>$</b></td> <td valign="top" align="right"><b>32,454</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">$</td> <td valign="top" align="right">31,289</td> <td valign="top">&#160;</td> <td>&#160;</td> <td 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valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> 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valign="top" align="right">&#160;</td> <td valign="top" align="right">5,481</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"><!-- Blank Space --> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>4,798</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">4,733</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>511</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">506</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>15,799</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">15,616</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>1,805</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">1,775</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>1,481</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">1,486</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>6,476</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">6,459</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"><!-- Blank Space --> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>10,652</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">10,720</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>889</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">925</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>27,078</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">27,838</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>2,792</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">2,786</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>1,841</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">1,955</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>8,317</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">8,634</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"><!-- Blank Space --> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>32,200</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">32,385</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>2,056</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">2,252</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>70,493</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">73,158</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom" style="background: #cceeff"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>4,587</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">4,557</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>2,477</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">2,672</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>12,822</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">13,243</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"><!-- Blank Space --> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>12,995</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">12,949</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>&#8212;</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">&#8212;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right"><b>12,995</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top" align="right">12,949</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> </tr> <tr style="font-size: 1px"> <td colspan="23" valign="top" align="left" style="border-top: 1px solid 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The following table presents information on assets and liabilities related to VIEs that are consolidated by the Firm at March 31, 2011, and December 31, 2010. The difference between total VIE assets and liabilities represents the Firm's interests in those entities, which were eliminated in consolidation.