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1.0.0.3 false Fair value measurement false 1 $ false false Shares Standard http://www.xbrl.org/2003/instance shares xbrli 0 USD Standard http://www.xbrl.org/2003/iso4217 USD iso4217 0 USDEPS Divide http://www.xbrl.org/2003/iso4217 USD iso4217 http://www.xbrl.org/2003/instance shares xbrli 0 2 Fair value measurement [Abstract] 0 jpm_FairValueMeasurementAbstract jpm false na duration string Fair Value Measurement Abstract. false false false false false true false false false 1 false false 0 0 false false Fair Value Measurement Abstract. false 3 Fair value measurement 1 jpm_FairValueMeasurementAndFairValueByBalanceSheetGroupTextBlock jpm false na duration normalizedstring (1) This element represents the disclosure related to the fair value measurement of assets and liabilities which includes... false false false false false false false false false 1 false false 0 0   <div style="font-family: Helvetica,Arial,sans-serif"> <div style="position: relative"> <div align="left" style="font-size: 12pt; margin-top: 12pt"><b>Note 3 – Fair value measurement</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase carries a portion of its assets and liabilities at fair value. The majority of such assets and liabilities are carried at fair value on a recurring basis. Certain assets and liabilities are carried at fair value on a nonrecurring basis, including loans accounted for at the lower of cost or fair value that are only subject to fair value adjustments under certain circumstances. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm has an established and well-documented process for determining fair values. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value is based on quoted market prices, where available. If listed prices or quotes are not available, fair value is based on internally developed models that primarily use, as inputs, market-based or independently sourced market parameters, including but not limited to yield curves, interest rates, volatilities, equity or debt prices, foreign exchange rates and credit curves. In addition to market information, models also incorporate transaction details, such as maturity of the instrument. Valuation adjustments may be made to ensure that financial instruments are recorded at fair value. These adjustments include amounts to reflect counterparty credit quality, the Firm’s creditworthiness, constraints on liquidity and unobservable parameters. Valuation adjustments are applied consistently over time. </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Credit valuation adjustments (“CVA”) are necessary when the market price (or parameter) is not indicative of the credit quality of the counterparty. As few classes of derivative contracts are listed on an exchange, the majority of derivative positions are valued using internally developed models that use as their basis observable market parameters. Market practice is to quote parameters equivalent to an “AA” credit rating whereby all counterparties are assumed to have the same credit quality. Therefore, an adjustment is necessary to reflect the credit quality of each derivative counterparty to arrive at fair value. The adjustment also takes into account contractual factors designed to reduce the Firm’s credit exposure to each counterparty, such as collateral and legal rights of offset.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Debit valuation adjustments (“DVA”) are necessary to reflect the credit quality of the Firm in the valuation of liabilities measured at fair value. The methodology to determine the adjustment is consistent with CVA and incorporates JPMorgan Chase’s credit spread as observed through the credit default swap market.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Liquidity valuation adjustments are necessary when the Firm may not be able to observe a recent market price for a financial instrument that trades in inactive (or less active) markets or to reflect the cost of exiting larger-than-normal market-size risk positions (liquidity adjustments are not taken for positions classified within level 1 of the fair value hierarchy). The Firm tries to ascertain the amount of uncertainty in the initial valuation based on the degree of liquidity in the market in which the financial instrument trades and makes liquidity adjustments to the carrying value of the financial instrument. The Firm measures the liquidity adjustment based on the following factors: (1) the amount of time since the last relevant pricing point; (2) whether there was an actual trade or relevant external quote; and (3) the volatility of the principal risk component of the financial instrument. Costs to exit larger-than-normal market-size risk positions are determined based on the size of the adverse market move that is likely to occur during the period required to bring a position down to a nonconcentrated level.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Unobservable parameter valuation adjustments are necessary when positions are valued using internally developed models that use as their basis unobservable parameters – that is, parameters that must be estimated and are, therefore, subject to management judgment. These positions are normally traded less actively. Examples include certain credit products where parameters such as correlation and recovery rates are unobservable. Unobservable parameter valuation adjustments are applied to mitigate the possibility of error and revision in the estimate of the market price provided by the model.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm has numerous controls in place intended to ensure that its fair valuations are appropriate. An independent model review group reviews the Firm’s valuation models and approves them for use for specific products. All valuation models within the Firm are subject to this review process. A price verification group, independent from the risk-taking function, ensures observable market prices and market-based parameters are used for valuation wherever possible. For those products with material parameter risk for which observable market levels do not exist, an independent review of the assumptions made on pricing is performed. Additional review includes deconstruction of the model valuations for certain structured instruments into their components, and benchmarking valuations, where possible, to similar products; validating valuation estimates through actual cash settlement; and detailed review and explanation of recorded gains and losses, which are analyzed daily and over time. Valuation adjustments, which are also determined by the independent price verification group, are based on established policies and are applied consistently over time. Any changes to the valuation methodology are reviewed by management to confirm that the changes are justified. As markets and products develop and the pricing for certain products becomes more or less transparent, the Firm continues to refine its valuation methodologies. During 2009, no changes were made to the Firm’s valuation models that had, or are expected to have, a material impact on the Firm’s Consolidated Balance Sheets or results of operations. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The methods described above to estimate fair value may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Firm believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Valuation Hierarchy</b><br /> A three-level valuation hierarchy has been established under U.S. GAAP for disclosure of fair value measurements. The valuation hierarchy is based on the transparency of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows. </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Level 3 – one or more inputs to the valuation methodology are unobservable and significant to the fair value measurement.</td> </tr> </table> </div> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Following is a description of the valuation methodologies used by the Firm to measure instruments at fair value, including the general classification of such instruments pursuant to the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Assets</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Securities purchased under resale agreements (“resale agreements”) and securities borrowed</b><br /> To estimate the fair value of resale agreements and securities borrowed transactions, cash flows are evaluated taking into consideration any derivative features of the resale agreement and are then discounted using the appropriate market rates for the applicable maturity. As the inputs into the valuation are primarily based on readily observable pricing information, such resale agreements are classified within level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Loans and unfunded lending-related commitments</b><br /> The majority of the Firm’s loans and lending-related commitments are not carried at fair value on a recurring basis on the Consolidated Balance Sheets, nor are they actively traded. The fair value of such loans and lending-related commitments is included in the additional disclosures of fair value of certain financial instruments required by U.S. GAAP on pages 163–164 of this Note. Loans carried at fair value on a recurring and nonrecurring basis are included in the applicable tables that follow. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i><b>Wholesale</b><br /></i> There is no liquid secondary market for most loans and lending-related commitments in the Firm’s wholesale portfolio. In the limited circumstances where direct secondary market information, including pricing of actual market transactions, broker quotations or quoted market prices for similar instruments, is available (principally for loans in the Firm’s secondary trading portfolio), such information is used in the determination of fair value. For the remainder of the portfolio, fair value is estimated using a discounted cash flow (“DCF”) model. In addition to the characteristics of the underlying loans (including principal, customer rate and contractual fees), key inputs to the model include interest rates, prepayment rates, and credit spreads. The credit spread input is derived from the cost of credit default swaps (“CDS”) and, as a result, also incorporates the effects of secondary market liquidity. As many of the Firm’s clients do not have bonds traded with sufficient liquidity in the public markets to have observable CDS spreads, the Firm principally develops benchmark credit curves by industry and credit rating to estimate fair value. Additional adjustments to account for the difference in recovery rates between bonds, on which the cost of credit derivatives is based, and loans as well as loan equivalents (which represent the portion of an unused commitment expected, based on the Firm’s average portfolio historical experience, to become outstanding prior to an obligor default) are also incorporated into the valuation process. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a discussion of the valuation of mortgage loans carried at fair value, see the “Mortgage-related exposures carried at fair value” section of this Note on pages 161–162. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm’s loans carried at fair value are classified within level 2 or 3 of the valuation hierarchy depending on the level of liquidity and activity in the markets for a particular product. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i><b>Consumer</b></i><br /> The only products in the Firm’s consumer loan portfolio with a meaningful level of secondary market activity in the current economic environment are certain conforming residential mortgages. These loans are classified as trading assets and carried at fair value on the Consolidated Balance Sheets. They are predominantly classified within level 2 of the valuation hierarchy based on the level of market liquidity and activity. For further discussion of the valuation of mortgage loans carried at fair value see the “Mortgage-related exposures carried at fair value” section on pages 161–162 of this Note. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The fair value of the Firm’s other consumer loans (except for credit card receivables) is generally determined by discounting the loan principal and interest cash flows expected to be collected at a market observable discount rate, when available. Portfolio-specific factors that a market participant would consider in determining fair value (e.g., expected lifetime credit losses, estimated prepayments, servicing costs and market liquidity) are either modeled into the cash flow projections or incorporated as an adjustment to the discount rate. For products that continue to be offered in the market, discount rates are derived from market-observable primary origination spreads. Where primary origination spreads are not available (i.e., subprime mortgages, subprime home equity and option adjustable-rate mortgages (“option ARMs”), the valuation is based on the Firm’s estimate of a market participant’s required return on equity for similar products (i.e., a hypothetical origination spread). Estimated lifetime credit losses consider expected and current default rates for existing portfolios, collateral prices (where applicable) and expectations about changes in the economic environment (e.g., unemployment rates). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The fair value of credit card receivables is determined using a discounted expected cash flow methodology. Key estimates and assumptions include: projected interest income and late fee revenue, funding, servicing, credit costs, and loan payment rates. The projected loan payment rates are used to determine the estimated life of the credit card loan receivables, which are then discounted using a risk-appropriate discount rate. The discount rate is derived from the Firm’s estimate of a market participant’s expected return on credit card receivables. As the credit card receivables have a short-term life, an amount equal to the allowance for credit losses is considered to be a reasonable proxy for the credit cost component. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Loans that are not carried on the Consolidated Balance Sheets at fair value are not classified within the fair value hierarchy. </div> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Securities</b><br /> Where quoted prices for identical securities are available in an active market, securities are classified in level 1 of the valuation hierarchy. Level 1 securities include highly liquid government bonds, mortgage products for which there are quoted prices in active markets such as U.S. government agency or U.S. government-sponsored enterprise (collectively, “U.S. government agencies”), pass-through mortgage-backed securities (“MBS”), and exchange-traded equities (e.g., common and preferred stocks). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">If quoted market prices are not available for the specific security, the Firm may estimate the value of such instruments using a combination of observed transaction prices, independent pricing services and relevant broker quotes. Consideration is given to the nature of the quotes (e.g., indicative or firm) and the relationship of recently evidenced market activity to the prices provided from independent pricing services. The Firm may also use pricing models or discounted cash flows. The majority of such instruments are classified within level 2 of the valuation hierarchy; however, in cases where there is limited activity or less transparency around inputs to the valuation, securities are classified within level 3 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For certain collateralized mortgage and debt obligations, asset-backed securities (“ABS”) and high-yield debt securities, the determination of fair value may require benchmarking to similar instruments or analyzing default and recovery rates. For “cash” collateralized debt obligations (“CDOs”), external price information is not available. Therefore, cash CDOs are valued using market-standard models, such as Intex, to model the specific collateral composition and cash flow structure of each deal; key inputs to the model are market spread data for each credit rating, collateral type and other relevant contractual features. ABS are valued based on external prices or market spread data, using current market assumptions on prepayments and defaults. For those ABS where the external price data is not observable or the limited available data is opaque, the collateral performance is monitored and the value of the security is assessed. To benchmark its valuations, the Firm looks to transactions for similar instruments and utilizes independent prices provided by third-party vendors, broker quotes and relevant market indices, such as the ABX index, as applicable. While none of those sources are solely indicative of fair value, they serve as directional indicators for the appropriateness of the Firm’s estimates. The majority of collateralized mortgage and debt obligations, high-yield debt securities and ABS are currently classified in level 3 of the valuation hierarchy. For further discussion of the valuation of mortgage securities carried at fair value see the “Mortgage-related exposures carried at fair value” section of this Note on pages 161–162. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Commodities</b><br /> Commodities inventory are carried at the lower of cost or fair value. The fair value of commodities inventory is determined primarily using pricing and data derived from the markets on which the underlying commodities are traded. The majority of commodities inventory is classified within level 1 of the valuation hierarchy. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm also has positions in commodities-based derivatives that can be traded on an exchange or over-the-counter (“OTC”) and carried at fair value. The pricing inputs to these derivatives include forward curves of underlying commodities, basis curves, volatilities, correlations, and occasionally other model parameters. The valuation of these derivatives is based on calibrating to market transactions, as well as to independent pricing information from sources such as brokers and dealer consensus pricing services. Where inputs are unobservable, they are benchmarked to observable market data based on historic and implied correlations, then adjusted for uncertainty where appropriate. The majority of commodities-based derivatives are classified within level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Derivatives</b><br /> Exchange-traded derivatives valued using quoted prices are classified within level 1 of the valuation hierarchy. However, few classes of derivative contracts are listed on an exchange; thus, the majority of the Firm’s derivative positions are valued using internally developed models that use as their basis readily observable market parameters – that is, parameters that are actively quoted and can be validated to external sources, including industry pricing services. Depending on the types and contractual terms of derivatives, fair value can be modeled using a series of techniques, such as the Black-Scholes option pricing model, simulation models or a combination of various models, which are consistently applied. Where derivative products have been established for some time, the Firm uses models that are widely accepted in the financial services industry. These models reflect the contractual terms of the derivatives, including the period to maturity, and market-based parameters such as interest rates, volatility, and the credit quality of the counterparty. Further, many of these models do not contain a high level of subjectivity, as the methodologies used in the models do not require significant judgment, and inputs to the models are readily observable from actively quoted markets, as is the case for “plain vanilla” interest rate swaps, option contracts and CDS. Such instruments are generally classified within level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Derivatives that are valued based on models with significant unobservable market parameters and that are normally traded less actively, have trade activity that is one way, and/or are traded in less-developed markets are classified within level 3 of the valuation hierarchy. Level 3 derivatives include, for example, CDS referenced to certain MBS, certain types of CDO transactions, options on baskets of single-name stocks, and callable exotic interest rate options. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Other complex products, such as those sensitive to correlation between two or more underlying parameters, also fall within level 3 of the valuation hierarchy. Such instruments include complex credit derivative products which are illiquid and non-standard in nature, including CDOs and CDO-squared. A CDO is a debt instrument collateralized by a variety of debt obligations, including CDS, bonds and loans of different maturities and credit qualities. The repackaging of such securities and loans within a CDO results in the creation of tranches, which are instruments with different risk profiles. In a CDO-squared transaction, the instrument is a CDO where the underlying debt instruments are also CDOs. For most CDO and CDO-squared transactions, while inputs such as CDS spreads and recovery rates may be observable, the correlation between the underlying debt instruments is unobservable. The correlation levels are not only modeled on a portfolio basis but are also calibrated at a transaction level to liquid benchmark tranches. For all complex credit derivative products, actual transactions, where available, are used to regularly recalibrate all unobservable parameters. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Correlation sensitivity is also material to the overall valuation of options on baskets of single-name stocks; the valuation of these baskets is typically not observable due to their non-standardized structuring. Correlation for products such as these is typically estimated based on an observable basket of stocks and then adjusted to reflect the differences between the underlying equities. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For callable exotic interest rate options, while most of the assumptions in the valuation can be observed in active markets (e.g. interest rates and volatility), the callable option transaction flow is essentially one-way, and as such, price observability is limited. As pricing information is limited, assumptions are based on the dynamics of the underlying markets (e.g., the interest rate markets) including the range and possible outcomes of the applicable inputs. In addition, the models used are calibrated, as relevant, to liquid benchmarks, and valuation is tested against monthly independent pricing services and actual transactions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Mortgage servicing rights and certain retained interests in securitizations</b><br /> Mortgage servicing rights (“MSRs”) and certain retained interests from securitization activities do not trade in an active, open market with readily observable prices. Accordingly, the Firm estimates the fair value of MSRs and certain other retained interests in securitizations using DCF models. </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>For MSRs, the Firm uses an option-adjusted spread (“OAS”) valuation model in conjunction with the Firm’s proprietary prepayment model to project MSR cash flows over multiple interest rate scenarios, which are then discounted at risk-adjusted rates to estimate the fair value of the MSRs. The OAS model considers portfolio characteristics, contractually specified servicing fees, prepayment assumptions, delinquency rates, late charges, other ancillary revenue, costs to service and other economic factors. The Firm reassesses and periodically adjusts the underlying inputs and assumptions used in the OAS model to reflect market conditions and assumptions that a market participant would consider in valuing the MSR asset. Due to the nature of the valuation inputs, MSRs are classified within level 3 of the valuation hierarchy.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>For certain retained interests in securitizations, the Firm estimates the fair value for those retained interests by calculating the present value of future expected cash flows using modeling techniques. Such models incorporate management’s best estimates of key variables, such as expected credit losses, prepayment speeds and the discount rates appropriate for the risks involved. Changes in the assumptions used may have a significant impact on the Firm’s valuation of retained interests, and such interests are therefore typically classified within level 3 of the valuation hierarchy.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For both MSRs and certain other retained interests in securitizations, the Firm compares its fair value estimates and assumptions to observable market data where available and to recent market activity and actual portfolio experience. For further discussion of the most significant assumptions used to value retained interests and MSRs, as well as the applicable stress tests for those assumptions, see Note 17 on pages 214–217 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Private equity investments</b><br /> The valuation of nonpublic private equity investments, which are held primarily by the Private Equity business within the Corporate/Private Equity line of business, requires significant management judgment due to the absence of quoted market prices, the inherent lack of liquidity and the long-term nature of such assets. As such, private equity investments are valued initially based on cost. Each quarter, valuations are reviewed utilizing available and relevant market data to determine if the carrying value of these investments should be adjusted. Such market data primarily include observations of the trading multiples of public companies considered comparable to the private companies being valued and the operating performance of the underlying portfolio company, including its historical and projected net income and earnings before interest, taxes, depreciation and amortization (“EBITDA”). Valuations are adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the companies being valued. In addition, a variety of additional factors are reviewed by management, including, but not limited to, financing and sales transactions with third parties, future expectations of the particular investment, changes in market outlook and the third-party financing environment. Nonpublic private equity investments are included in level 3 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Private equity investments also include publicly held equity investments, generally obtained through the initial public offering of privately held equity investments. Publicly held investments in liquid markets are marked to market at the quoted public value less adjustments for regulatory or contractual sales restrictions. Discounts for restrictions are quantified by analyzing the length of the restriction period and the volatility of the equity security. Publicly held investments are largely classified in level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Other fund investments</b><br /> The Firm holds investments in mutual/collective investment funds, private equity funds, hedge funds and real estate funds. Where the funds produce a daily net asset value (“NAV”) that is validated by a sufficient level of observable activity (purchases and sales at NAV), the NAV is used to value the fund investment and it is classified in level 1 of the valuation hierarchy. Where adjustments to the NAV are required, for example, with respect to interests in funds subject to restrictions on redemption (such as lock-up periods or withdrawal limitations) and/or observable activity for the fund investment is limited, investments are classified within level 2 or 3 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Liabilities</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Securities sold under repurchase agreements (“repurchase agreements”)</b><br /> To estimate the fair value of repurchase agreements, cash flows are evaluated taking into consideration any derivative features of the repurchase agreements and are then discounted using the appropriate market rates for the applicable maturity. Generally, for these types of agreements, there is a requirement that collateral be maintained with a market value equal to, or in excess of, the principal amount loaned; as a result, there would be no adjustment, or an immaterial adjustment, to reflect the credit quality of the Firm (i.e., DVA) related to these agreements. As the inputs into the valuation are primarily based on observable pricing information, repurchase agreements are classified within level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Beneficial interests issued by consolidated VIEs</b><br /> The fair value of beneficial interests issued by consolidated VIEs (“beneficial interests”) is estimated based on the fair value of the underlying assets held by the VIEs. The valuation of beneficial interests does not include an adjustment to reflect the credit quality of the Firm, as the holders of these beneficial interests do not have recourse to the general credit of JPMorgan Chase. Where the inputs into the valuation are based on observable market pricing information, the beneficial interests are classified within level 2 of the valuation hierarchy. Where significant inputs into the valuation are unobservable, the beneficial interests are classified within level 3 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Deposits, other borrowed funds and long-term debt</b><br /> Included within deposits, other borrowed funds and long-term debt are structured notes issued by the Firm that are financial instruments containing embedded derivatives. To estimate the fair value of structured notes, cash flows are evaluated taking into consideration any derivative features and are then discounted using the appropriate market rates for the applicable maturities. In addition, the valuation of structured notes includes an adjustment to reflect the credit quality of the Firm (i.e., the DVA). Where the inputs into the valuation are primarily based on observable market prices, the structured notes are classified within level 2 of the valuation hierarchy. Where significant inputs are unobservable, the structured notes are classified within level 3 of the valuation hierarchy. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following tables present financial instruments measured at fair value as of December 31, 2009 and 2008, by major product category on the Consolidated Balance Sheets and by the fair value hierarchy (as described above). </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Assets and liabilities measured at fair value on a recurring basis</b> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Netting</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>December 31, 2009 </b>(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 1</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 2</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">adjustments</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Fair value</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds sold and securities purchased under resale agreements </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>20,536</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>20,536</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities borrowed </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,032</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,032</b></td> <td> </td> </tr> <tr style="font-size: 4pt" valign="bottom"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt instruments: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">U.S. government agencies<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>33,092</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,373</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>260</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>41,725</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Residential – nonagency<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,284</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,115</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,399</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Commercial – nonagency<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>537</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,770</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,307</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Total mortgage-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>33,092</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,194</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,145</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>47,431</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">U.S. Treasury and government agencies<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>23,033</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>227</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>23,260</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,681</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,971</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,652</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Certificates of deposit, bankers’ acceptances and commercial paper </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,419</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,419</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>25,684</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>32,487</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>734</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>58,905</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>48,754</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,241</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>53,995</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Loans<sup style="font-size: 85%; vertical-align: text-top">(c)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>18,330</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,218</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>31,548</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,428</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,975</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,403</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total debt instruments </div></td> <td> </td> <td> </td> <td align="right"><b>81,809</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>123,520</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>32,284</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>237,613</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Equity securities </div></td> <td> </td> <td> </td> <td align="right"><b>75,053</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,450</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,956</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>80,459</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Physical commodities<sup style="font-size: 85%; vertical-align: text-top">(d)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>9,450</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>586</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,036</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,884</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>926</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,810</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total debt and equity instruments </div></td> <td> </td> <td> </td> <td align="right"><b>166,312</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>129,440</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>35,166</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>330,918</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Derivative receivables<sup style="font-size: 85%; vertical-align: text-top">(e)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>2,344</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,516,490</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>46,684</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,485,308</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>80,210</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total trading assets </div></td> <td> </td> <td> </td> <td align="right"><b>168,656</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,645,930</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>81,850</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,485,308</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>411,128</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr style="font-size: 4pt" valign="bottom"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">U.S. government agencies<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>158,957</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8,941</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>167,898</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Residential – nonagency<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,773</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>14,798</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Commercial – nonagency<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,590</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,590</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total mortgage-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>158,957</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>28,304</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>187,286</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">U.S. Treasury and government agencies<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>405</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>29,592</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>29,997</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,188</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>349</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,537</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Certificates of deposit </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,650</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,650</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>5,506</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>18,997</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>24,503</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>62,007</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>62,008</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Asset-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Credit card receivables </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25,742</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25,742</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Collateralized debt and loan obligations </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12,144</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12,149</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,206</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>588</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,794</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Equity securities </div></td> <td> </td> <td> </td> <td align="right"><b>2,466</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>146</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>87</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,699</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total available-for-sale securities </div></td> <td> </td> <td> </td> <td align="right"><b>167,335</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>179,837</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,193</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>360,365</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>374</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>990</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,364</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15,531</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15,531</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Private equity investments<sup style="font-size: 85%; vertical-align: text-top">(f)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>165</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>597</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,563</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,325</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">All other<sup style="font-size: 85%; vertical-align: text-top">(g)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>7,241</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>90</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,521</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16,852</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total other assets </div></td> <td> </td> <td> </td> <td align="right"><b>7,406</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>687</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>16,084</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>24,177</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total assets measured at fair value on a recurring</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>basis</b><sup style="font-size: 85%; vertical-align: text-top">(h)</sup> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>343,397</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,854,396</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>127,648</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,485,308</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>840,133</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Less: Level 3 assets for which the Firm does not bear economic exposure<sup style="font-size: 85%; vertical-align: text-top">(i)</sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,118</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total recurring level 3 assets for which the Firm bears economic exposure</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>125,530</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 2px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Netting</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>December 31, 2009 </b>(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 1</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 2</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">adjustments</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">fair value</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>3,979</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>476</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>4,455</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds purchased and securities loaned or sold under repurchase agreements </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,396</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,396</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,095</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>542</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,637</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td> </td> <td align="right"><b>54,077</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,859</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>64,946</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Derivative payables<sup style="font-size: 85%; vertical-align: text-top">(e)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>2,038</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,481,813</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>35,332</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,459,058</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>60,125</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total trading liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>56,115</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,492,672</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>35,342</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right"><b>(1,459,058</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>125,071</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr style="font-size: 4pt" valign="bottom"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>355</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>357</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>785</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>625</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,410</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>30,685</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>18,287</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>48,972</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total liabilities measured at fair value on a recurring basis</b> </div></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>56,115</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>1,536,614</b></td> <td> </td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>55,627</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"><b>$</b></td> <td align="right"><b>(1,459,058</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="right"><b>$</b></td> <td align="right"><b>189,298</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 2px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Netting</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008 (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 1</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 2</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">adjustments</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">fair value</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds sold and securities purchased under resale agreements </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">20,843</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">20,843</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities borrowed </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,381</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,381</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt instruments: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">U.S. government agencies<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right">48,761</td> <td> </td> <td> </td> <td> </td> <td align="right">9,984</td> <td> </td> <td> </td> <td> </td> <td align="right">163</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">58,908</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Residential – nonagency<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">658</td> <td> </td> <td> </td> <td> </td> <td align="right">3,339</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,997</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Commercial – nonagency<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">329</td> <td> </td> <td> </td> <td> </td> <td align="right">2,487</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2,816</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Total mortgage-backed securities </div></td> <td> </td> <td> </td> <td align="right">48,761</td> <td> </td> <td> </td> <td> </td> <td align="right">10,971</td> <td> </td> <td> </td> <td> </td> <td align="right">5,989</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">65,721</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">U.S. Treasury and government agencies<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right">29,646</td> <td> </td> <td> </td> <td> </td> <td align="right">1,659</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">31,305</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">10,361</td> <td> </td> <td> </td> <td> </td> <td align="right">2,641</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">13,002</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Certificates of deposit, bankers’ acceptances and commercial paper </div></td> <td> </td> <td> </td> <td align="right">1,180</td> <td> </td> <td> </td> <td> </td> <td align="right">6,312</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">7,492</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right">19,986</td> <td> </td> <td> </td> <td> </td> <td align="right">17,954</td> <td> </td> <td> </td> <td> </td> <td align="right">707</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">38,647</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right">1</td> <td> </td> <td> </td> <td> </td> <td align="right">55,042</td> <td> </td> <td> </td> <td> </td> <td align="right">5,280</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">60,323</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Loans<sup style="font-size: 85%; vertical-align: text-top">(c)</sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">14,711</td> <td> </td> <td> </td> <td> </td> <td align="right">17,091</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">31,802</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2,414</td> <td> </td> <td> </td> <td> </td> <td align="right">7,106</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,520</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total debt instruments </div></td> <td> </td> <td> </td> <td align="right">99,574</td> <td> </td> <td> </td> <td> </td> <td align="right">119,424</td> <td> </td> <td> </td> <td> </td> <td align="right">38,814</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">257,812</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Equity securities </div></td> <td> </td> <td> </td> <td align="right">73,174</td> <td> </td> <td> </td> <td> </td> <td align="right">3,992</td> <td> </td> <td> </td> <td> </td> <td align="right">1,380</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">78,546</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Physical commodities<sup style="font-size: 85%; vertical-align: text-top">(d)</sup> </div></td> <td> </td> <td> </td> <td align="right">3,455</td> <td> </td> <td> </td> <td> </td> <td align="right">126</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,581</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">4</td> <td> </td> <td> </td> <td> </td> <td align="right">6,188</td> <td> </td> <td> </td> <td> </td> <td align="right">1,226</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">7,418</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total debt and equity instruments </div></td> <td> </td> <td> </td> <td align="right">176,207</td> <td> </td> <td> </td> <td> </td> <td align="right">129,730</td> <td> </td> <td> </td> <td> </td> <td align="right">41,420</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">347,357</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Derivative receivables<sup style="font-size: 85%; vertical-align: text-top">(e)</sup> </div></td> <td> </td> <td> </td> <td align="right">3,630</td> <td> </td> <td> </td> <td> </td> <td align="right">2,685,101</td> <td> </td> <td> </td> <td> </td> <td align="right">52,991</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,579,096</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">162,626</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total trading assets </div></td> <td> </td> <td> </td> <td align="right">179,837</td> <td> </td> <td> </td> <td> </td> <td align="right">2,814,831</td> <td> </td> <td> </td> <td> </td> <td align="right">94,411</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,579,096</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">509,983</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr style="font-size: 4pt" valign="bottom"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">U.S. government agencies<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right">109,009</td> <td> </td> <td> </td> <td> </td> <td align="right">8,376</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">117,385</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Residential – nonagency<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,115</td> <td> </td> <td> </td> <td> </td> <td align="right">49</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,164</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Commercial – nonagency<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,939</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,939</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Total mortgage-backed securities </div></td> <td> </td> <td> </td> <td align="right">109,009</td> <td> </td> <td> </td> <td> </td> <td align="right">21,430</td> <td> </td> <td> </td> <td> </td> <td align="right">49</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">130,488</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">U.S. Treasury and government agencies<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right">615</td> <td> </td> <td> </td> <td> </td> <td align="right">9,742</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">10,357</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right">34</td> <td> </td> <td> </td> <td> </td> <td align="right">2,463</td> <td> </td> <td> </td> <td> </td> <td align="right">838</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,335</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Certificates of deposit </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">17,282</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">17,282</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right">6,112</td> <td> </td> <td> </td> <td> </td> <td align="right">2,232</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">8,344</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,497</td> <td> </td> <td> </td> <td> </td> <td align="right">57</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,554</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Asset-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Credit card receivables </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11,391</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11,391</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Collateralized debt and loan obligations </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11,195</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11,195</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:60px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">643</td> <td> </td> <td> </td> <td> </td> <td align="right">252</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">895</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Equity securities </div></td> <td> </td> <td> </td> <td align="right">3,053</td> <td> </td> <td> </td> <td> </td> <td align="right">15</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,068</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total available-for-sale securities </div></td> <td> </td> <td> </td> <td align="right">118,823</td> <td> </td> <td> </td> <td> </td> <td align="right">74,695</td> <td> </td> <td> </td> <td> </td> <td align="right">12,391</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">205,909</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">5,029</td> <td> </td> <td> </td> <td> </td> <td align="right">2,667</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">7,696</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,403</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,403</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Private equity investments<sup style="font-size: 85%; vertical-align: text-top">(f)</sup> </div></td> <td> </td> <td> </td> <td align="right">151</td> <td> </td> <td> </td> <td> </td> <td align="right">332</td> <td> </td> <td> </td> <td> </td> <td align="right">6,369</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">6,852</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">All other<sup style="font-size: 85%; vertical-align: text-top">(g)</sup> </div></td> <td> </td> <td> </td> <td align="right">5,977</td> <td> </td> <td> </td> <td> </td> <td align="right">11,355</td> <td> </td> <td> </td> <td> </td> <td align="right">8,114</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">25,446</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total other assets</b> </div></td> <td> </td> <td> </td> <td align="right">6,128</td> <td> </td> <td> </td> <td> </td> <td align="right">11,687</td> <td> </td> <td> </td> <td> </td> <td align="right">14,483</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">32,298</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total assets measured at fair value on a recurring basis</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">304,788</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,930,466</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">133,355</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,579,096</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">789,513</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Less: Level 3 assets for which the Firm does not bear economic exposure<sup style="font-size: 85%; vertical-align: text-top">(i)</sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">21,169</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right" style="border-top: 1px solid #000000"> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total recurring level 3 assets for which the Firm bears economic exposure</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">112,186</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 2px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="40%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="5%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Netting</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Total</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008 (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 1</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 2</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">Level 3</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">adjustments</td> <td> </td> <td nowrap="nowrap" align="center" colspan="3">fair value</td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">4,370</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">1,235</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">5,605</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds purchased and securities loaned or sold under repurchase agreements </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2,993</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2,993</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">14,612</td> <td> </td> <td> </td> <td> </td> <td align="right">101</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">14,713</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td> </td> <td align="right">34,568</td> <td> </td> <td> </td> <td> </td> <td align="right">10,418</td> <td> </td> <td> </td> <td> </td> <td align="right">288</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">45,274</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Derivative payables<sup style="font-size: 85%; vertical-align: text-top">(e)</sup> </div></td> <td> </td> <td> </td> <td align="right">3,630</td> <td> </td> <td> </td> <td> </td> <td align="right">2,622,371</td> <td> </td> <td> </td> <td> </td> <td align="right">43,484</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,547,881</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">121,604</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total trading liabilities </div></td> <td> </td> <td> </td> <td align="right">38,198</td> <td> </td> <td> </td> <td> </td> <td align="right">2,632,789</td> <td> </td> <td> </td> <td> </td> <td align="right">43,772</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right"> </td> <td align="right">(2,547,881</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">166,878</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr style="font-size: 4pt" valign="bottom"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,735</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,735</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">41,666</td> <td> </td> <td> </td> <td> </td> <td align="right">16,548</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">58,214</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total liabilities measured at fair value on a recurring basis</b> </div></td> <td> </td> <td align="right">$</td> <td align="right">38,198</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">2,698,165</td> <td> </td> <td> </td> <td align="right">$</td> <td align="right">61,656</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2,547,881</td> <td nowrap="nowrap">)</td> <td> </td> <td align="right">$</td> <td align="right">250,138</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 2px solid #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 6pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(a)</td> <td> </td> <td>Includes total U.S. government-sponsored enterprise obligations of $195.8 billion and $182.1 billion at December 31, 2009 and 2008, respectively, which were predominantly mortgage-related.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>For further discussion of residential and commercial MBS, see the “Mortgage-related exposure carried at fair value” section of this Note on pages 161–162.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Included within trading loans at December 31, 2009 and 2008, respectively, are $15.7 billion and $12.1 billion of residential first-lien mortgages and $2.7 billion and $4.3 billion of commercial first-lien mortgages. For further discussion of residential and commercial loans carried at fair value or the lower of cost or fair value, see the “Mortgage-related exposure carried at fair value” section of this Note on pages 161–162.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>Physical commodities inventories are accounted for at the lower of cost or fair value.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(e)</td> <td> </td> <td>As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. For purposes of the tables above, the Firm does not reduce derivative receivables and derivative payables balances for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset or liability. Therefore, the balances reported in the fair value hierarchy table are gross of any counterparty netting adjustments. However, if the Firm were to net such balances, the reduction in the level 3 derivative receivable and derivative payable balances would be $16.0 billion at December 31, 2009.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(f)</td> <td> </td> <td>Private equity instruments represent investments within the Corporate/Private Equity line of business. The cost basis of the private equity investment portfolio was $8.8 billion and $8.3 billion at December 31, 2009 and 2008, respectively.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(g)</td> <td> </td> <td>Includes assets within accrued interest receivable and other assets at December 31, 2009 and 2008.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(h)</td> <td> </td> <td>Balances include investments valued at NAV at December 31, 2009, of $16.8 billion, of which $9.0 billion is classified in level 1, $3.2 billion in level 2 and $4.6 billion in level 3.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(i)</td> <td> </td> <td>Includes assets for which the Firm serves as an intermediary between two parties and does not bear market risk. The assets are predominantly reflected within derivative receivables.</td> </tr> </table> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Changes in level 3 recurring fair value measurements</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following tables include a rollforward of the activity for financial instruments classified by the Firm within level 3 of the fair value hierarchy for the years ended December 31, 2009, 2008 and 2007 (including changes in fair value). Level 3 financial instruments typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the fair value hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="18" style="border-bottom: 1px solid #000000">Fair value measurements using significant unobservable inputs</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Change in</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Unrealized</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">gains/</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(losses) </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">related to</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">financial</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">realized/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Purchases,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Transfers</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">instruments</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Year ended</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">unrealized</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">issuances</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">into and/or</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">held at</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>December 31, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">January 1,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">gains/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">settlements,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">out of</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left" style="border-bottom: 1px solid #ffffff">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #ffffff">2009</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #ffffff">(losses)</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #ffffff">net</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #ffffff">level 3<sup style="font-size: 85%; vertical-align: text-top">(g)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #ffffff">2009</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2009</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Debt instruments: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage-backed securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">U.S. government agencies </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>163</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(38</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>62</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>73</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>260</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(38</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Residential – nonagency<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>3,339</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(782</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(245</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1,197</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,115</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(871</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial – nonagency<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>2,487</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(242</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(325</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(150</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,770</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(313</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total mortgage-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>5,989</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1,062</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(508</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1,274</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>3,145</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1,222</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td> </td> <td> </td> <td align="right"><b>2,641</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(22</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(648</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,971</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(123</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>707</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>38</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(75</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>64</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>734</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>34</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Corporate debt securities </div></td> <td> </td> <td> </td> <td align="right"><b>5,280</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>38</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(3,416</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>3,339</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,241</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(72</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>17,091</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(871</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(3,497</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>495</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13,218</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1,167</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>7,106</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,436</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(378</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(189</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>7,975</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>734</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total debt instruments </div></td> <td> </td> <td> </td> <td align="right"><b>38,814</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(443</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(8,522</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>2,435</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>32,284</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1,816</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Equity securities </div></td> <td> </td> <td> </td> <td align="right"><b>1,380</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(149</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(512</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,237</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,956</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(51</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>1,226</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(79</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(253</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>32</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>926</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(119</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total debt and equity instruments </div></td> <td> </td> <td> </td> <td align="right"><b>41,420</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(671)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(9,287</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>3,704</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>35,166</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1,986)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net derivative receivables </div></td> <td> </td> <td> </td> <td align="right"><b>9,507</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(11,406)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(3,448</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>16,699</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11,352</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(10,835)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Asset-backed securities </div></td> <td> </td> <td> </td> <td align="right"><b>11,447</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>1,112</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>175</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>12,732</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(48</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>944</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(269</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>302</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(516</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>461</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>43</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total available-for-sale securities </div></td> <td> </td> <td> </td> <td align="right"><b>12,391</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(271)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td align="right"><b>1,414</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(341</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>13,193</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(5)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>2,667</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(448)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1,906</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>677</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>990</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(488)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td> </td> <td> </td> <td align="right"><b>9,403</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>5,807</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> <td> </td> <td align="right"><b>321</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15,531</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>5,807</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Private equity investments </div></td> <td> </td> <td> </td> <td align="right"><b>6,369</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(407)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right"><b>582</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,563</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(369)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">All other<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>8,114</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(676)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(f)</sup></td> <td> </td> <td> </td> <td align="right"><b>2,439</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(356</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>9,521</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(612)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(f)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="18" style="border-bottom: 1px solid #000000">Fair value measurements using significant unobservable inputs</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Change in</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Unrealized</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(gains)/</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">losses</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">related to</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">financial</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">realized/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Purchases,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Transfers</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">instruments</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Year ended</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">unrealized</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">issuances</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">into and/or</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">held at</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>December 31, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">January 1,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(gains)/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">settlements,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">out of</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left" style="border-bottom: 1px solid #ffffff">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #ffffff">2009</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #ffffff">losses</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #ffffff">net</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #ffffff">level 3<sup style="font-size: 85%; vertical-align: text-top">(g)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #ffffff">2009</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2009</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liabilities</b><sup style="font-size: 85%; vertical-align: text-top">(h)</sup><b>:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1,235</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>47</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(870</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>64</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>476</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(36)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds </div></td> <td> </td> <td> </td> <td align="right"><b>101</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(73)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right"><b>621</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(107</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>542</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>9</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td> </td> <td align="right"><b>288</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>64</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(339</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(3</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>10</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>12</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(55)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right"><b>410</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>355</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(29)</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>344</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(598</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>879</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>625</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>327</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td> </td> <td align="right"><b>16,548</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>1,367</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(2,738</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>3,110</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>18,287</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>1,728</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="18" style="border-bottom: 1px solid #000000">Fair value measurements using significant unobservable inputs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Change in</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">unrealized</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">gains/</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="center" colspan="2">(losses)</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">related to</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">financial</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">realized/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Purchases,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Transfers</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">instruments</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Year ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">unrealized</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">issuances</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">into and/or</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">held at</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">January 1,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">gains/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">settlements,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">out of</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(losses)</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">net</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">level 3(g)</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td align="left">$</td> <td align="right">24,066</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(12,805</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td align="left">$</td> <td align="right">6,201</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">23,958</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">41,420</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(9,860</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net derivative receivables </div></td> <td> </td> <td> </td> <td align="right">633</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">4,556</td> <td nowrap="nowrap"><sup>(c)</sup></td> <td> </td> <td> </td> <td align="right">2,290</td> <td> </td> <td> </td> <td> </td> <td align="right">2,028</td> <td> </td> <td> </td> <td> </td> <td align="right">9,507</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">1,814</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities </div></td> <td> </td> <td> </td> <td align="right">101</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,232</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td align="right">3,772</td> <td> </td> <td> </td> <td> </td> <td align="right">9,750</td> <td> </td> <td> </td> <td> </td> <td align="right">12,391</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(422</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right">8,380</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,547</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right">12</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(4,178</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">2,667</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,324</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td> </td> <td> </td> <td align="right">8,632</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(6,933</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> <td> </td> <td align="right">7,704</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9,403</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(6,933</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Private equity investments </div></td> <td> </td> <td> </td> <td align="right">6,763</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(638</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right">320</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(76</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">6,369</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,089</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">All other<sup>(b)</sup> </div></td> <td> </td> <td> </td> <td align="right">5,978</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(940</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(f)</sup></td> <td> </td> <td> </td> <td align="right">2,787</td> <td> </td> <td> </td> <td> </td> <td align="right">289</td> <td> </td> <td> </td> <td> </td> <td align="right">8,114</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(753</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(f)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="18" style="border-bottom: 1px solid #000000">Fair value measurements using significant unobservable inputs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Change in</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">unrealized</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(gains)/</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="center" colspan="2">losses</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">related to</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">financial</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">realized/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Purchases,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Transfers</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">instruments</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Year ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">unrealized</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">issuances</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">into and/or</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">held at</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">January 1,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(gains)/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">settlements,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">out of</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">losses</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">net</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">level 3(g)</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liabilities</b><sup>(h)</sup>: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td align="left">$</td> <td align="right">1,161</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(57</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td align="left">$</td> <td align="right">79</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">52</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,235</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(69</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds </div></td> <td> </td> <td> </td> <td align="right">105</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(7</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right">53</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(50</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">101</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(24</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td> </td> <td align="right">480</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(73</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(33</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(86</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">288</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(125</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right">25</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(25</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td> </td> <td align="right">82</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(24</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(603</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">545</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td> </td> <td align="right">21,938</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(4,502</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,717</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">829</td> <td> </td> <td> </td> <td> </td> <td align="right">16,548</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(3,682</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="18" style="border-bottom: 1px solid #000000">Fair value measurements using significant unobservable inputs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Change in</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">unrealized</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">gains/</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="center" colspan="2">(losses)</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">related to</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">financial</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">realized/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Purchases,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Transfers</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">instruments</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Year ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">unrealized</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">issuances</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">into and/or</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">held at</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2007</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">January 1,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">gains/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">settlements,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">out of</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2007</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(losses)</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">net</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">level 3</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2007</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2007</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td align="left">$</td> <td align="right">9,320</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(916</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td align="left">$</td> <td align="right">5,902</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">9,760</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">24,066</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(912</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net derivative receivables </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,800</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">1,674</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right">257</td> <td> </td> <td> </td> <td> </td> <td align="right">1,502</td> <td> </td> <td> </td> <td> </td> <td align="right">633</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">1,979</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities </div></td> <td> </td> <td> </td> <td align="right">177</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">38</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(21</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(93</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">101</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(5</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right">643</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(346</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right">8,013</td> <td> </td> <td> </td> <td> </td> <td align="right">70</td> <td> </td> <td> </td> <td> </td> <td align="right">8,380</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(36</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights </div></td> <td> </td> <td> </td> <td align="right">7,546</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(516</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> <td> </td> <td align="right">1,602</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">8,632</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(516</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Private equity investments </div></td> <td> </td> <td> </td> <td align="right">5,493</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">4,051</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,764</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(17</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">6,763</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,711</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">All other<sup>(b)</sup> </div></td> <td> </td> <td> </td> <td align="right">4,274</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">35</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(f)</sup></td> <td> </td> <td> </td> <td align="right">1,196</td> <td> </td> <td> </td> <td> </td> <td align="right">473</td> <td> </td> <td> </td> <td> </td> <td align="right">5,978</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(21</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(f)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="18" style="border-bottom: 1px solid #000000">Fair value measurements using significant unobservable inputs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Change in</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">unrealized</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(gains)/</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="center" colspan="2">losses</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">related to</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">financial</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">realized/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Purchases,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Transfers</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">instruments</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Year ended</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">unrealized</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">issuances</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">into and/or</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">value,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">held at</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2007</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">January 1,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(gains)/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">settlements,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">out of</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2007</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">losses</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">net</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">level 3</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2007</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2007</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liabilities</b><sup>(h)</sup><b>:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits </div></td> <td> </td> <td align="left">$</td> <td align="right">385</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">42</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td align="left">$</td> <td align="right">667</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">67</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,161</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">38 </td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">67</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right">34</td> <td> </td> <td> </td> <td> </td> <td align="right">4</td> <td> </td> <td> </td> <td> </td> <td align="right">105</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">135</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Debt and equity instruments </div></td> <td> </td> <td> </td> <td align="right">32</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(383</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right">125</td> <td> </td> <td> </td> <td> </td> <td align="right">706</td> <td> </td> <td> </td> <td> </td> <td align="right">480</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">734 </td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">460</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(435</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">25</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">25 </td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs </div></td> <td> </td> <td> </td> <td align="right">8</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(6</td> <td nowrap="nowrap">)<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">81</td> <td> </td> <td> </td> <td> </td> <td align="right">82</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt </div></td> <td> </td> <td> </td> <td align="right">11,386</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">1,142</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td align="right">6,633</td> <td> </td> <td> </td> <td> </td> <td align="right">2,777</td> <td> </td> <td> </td> <td> </td> <td align="right">21,938</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">468 </td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 0pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(a)</td> <td> </td> <td>For further discussion of residential and commercial MBS, see the “Mortgage-related exposures carried at fair value” section of this Note on pages 161–162.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Includes assets within accrued interest receivable and other assets at December 31, 2009, 2008 and 2007.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Reported in principal transactions revenue, except for changes in fair value for Retail Financial Services (“RFS”) mortgage loans originated with the intent to sell, which are reported in mortgage fees and related income.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>Realized gains and losses on available-for-sale securities, as well as other-than-temporary impairment losses that are recorded in earnings, are reported in securities gains. Unrealized gains and losses are reported in other comprehensive income.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(e)</td> <td> </td> <td>Changes in fair value for RFS mortgage servicing rights are measured at fair value and reported in mortgage fees and related income.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(f)</td> <td> </td> <td>Predominantly reported in other income.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(g)</td> <td> </td> <td>Beginning January 1, 2008, all transfers into and/or out of level 3 are assumed to occur at the beginning of the reporting period.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(h)</td> <td> </td> <td>Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities carried at fair value on a nonrecurring basis) were 29%, 25% and 17% at December 31, 2009, 2008 and 2007, respectively.</td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Assets and liabilities measured at fair value on a nonrecurring basis</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">Certain assets, liabilities and unfunded lending-related commitments are measured at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances (for example, when there is evidence of impairment). The following tables present the financial instruments carried on the Consolidated Balance Sheets by caption and level within the valuation hierarchy (as described above) as of December 31, 2009 and 2008, for which a nonrecurring change in fair value has been recorded during the reporting period. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>December 31, 2009</b> (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Level 1</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Level 2</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Level 3</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total fair value</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans retained<sup>(a)</sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>4,544</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1,137</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>5,681</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans held-for-sale<sup>(b)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>601</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,029</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,630</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total loans </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5,145</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,166</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,311</b></td> <td> </td> </tr> <tr valign="bottom"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other real estate owned </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>307</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>387</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>694</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>184</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>184</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total other assets </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>307</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>571</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>878</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total assets at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>5,452</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2,737</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>8,189</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 2px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities<sup>(c)</sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>87</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>39</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>126</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total liabilities at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>87</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>39</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>126</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 2px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Fair value hierarchy</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008 (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Level 1</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Level 2</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Level 3</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total fair value</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans retained<sup>(a)</sup> </div></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">2,344</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">345</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">2,689</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans held-for-sale<sup>(b)</sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2,647</td> <td> </td> <td> </td> <td> </td> <td align="right">3,654</td> <td> </td> <td> </td> <td> </td> <td align="right">6,301</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total loans </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">4,991</td> <td> </td> <td> </td> <td> </td> <td align="right">3,999</td> <td> </td> <td> </td> <td> </td> <td align="right">8,990</td> <td> </td> </tr> <tr valign="bottom"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other real estate owned </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">706</td> <td> </td> <td> </td> <td> </td> <td align="right">103</td> <td> </td> <td> </td> <td> </td> <td align="right">809</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,057</td> <td> </td> <td> </td> <td> </td> <td align="right">188</td> <td> </td> <td> </td> <td> </td> <td align="right">1,245</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total other assets </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,763</td> <td> </td> <td> </td> <td> </td> <td align="right">291</td> <td> </td> <td> </td> <td> </td> <td align="right">2,054</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total assets at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">6,754</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">4,290</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">11,044</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 2px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities<sup>(c)</sup> </div></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">212</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">98</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">310</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total liabilities at fair value on a nonrecurring basis</b> </div></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">212</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">98</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">310</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 2px solid #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(a)</td> <td> </td> <td>Reflects delinquent mortgage and home equity loans where the carrying value is based on the fair value of the underlying collateral.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Predominantly includes leveraged lending loans carried on the Consolidated Balance Sheets at the lower of cost or fair value.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Represents, at December 31, 2009 and 2008, the fair value adjustment associated with $648 million and $1.5 billion, respectively, of unfunded held-for-sale lending-related commitments within the leveraged lending portfolio </td> </tr> </table> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 0pt"> <b>Nonrecurring fair value changes</b><br /> The following table presents the total change in value of financial instruments for which a fair value adjustment has been included in the Consolidated Statements of Income for the years ended December 31, 2009, 2008 and 2007, related to financial instruments held at these dates. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="64%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Year ended December 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2007</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans retained </div></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(3,550</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,159</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(218</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans held-for-sale </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(389</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,728</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(502</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total loans </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(3,939</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(3,887</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(720</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other assets </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(104</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(685</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(161</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>31</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(285</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total nonrecurring fair value gains/(losses)</b> </div></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(4,012</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(4,857</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(879</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In the above table, loans predominantly include: (1) write-downs of delinquent mortgage and home equity loans where impairment is based on the fair value of the underlying collateral; and (2) the change in fair value for leveraged lending loans carried on the Consolidated Balance Sheets at the lower of cost or fair value. Accounts payable and other liabilities predominantly include the change in fair value for unfunded lending-related commitments within the leveraged lending portfolio. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Level 3 analysis</b><br /> Level 3 assets (including assets measured at fair value on a nonrecurring basis) were 6% of total Firm assets at both December 31, 2009 and 2008. Level 3 assets were $130.4 billion at December 31, 2009, reflecting a decrease of $7.3 billion in 2009, due to the following: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>A net decrease of $6.3 billion in gross derivative receivables, predominantly driven by the tightening of credit spreads. Offsetting a portion of the decrease were net transfers into level 3 during the year, most notably a transfer into level 3 of $41.3 billion of structured credit derivative receivables, and a transfer out of level 3 of $17.7 billion of single-name CDS on ABS. The fair value of the receivables transferred into level 3 during the year was $22.1 billion at December 31, 2009. The fair value of structured credit derivative payables with a similar underlying risk profile to the previously noted receivables, that are also classified in level 3, was $12.5 billion at December 31, 2009. These derivatives payables offset the receivables, as they are modeled and valued the same way with the same parameters and inputs as the assets.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>A net decrease of $3.5 billion in loans, predominantly driven by sales of leveraged loans and transfers of similar loans to level 2, due to increased price transparency for such assets. Leveraged loans are typically classified as held-for-sale and measured at the lower of cost or fair value and, therefore, included in the nonrecurring fair value assets.</td> </tr> </table> </div> </div> <div style="position: relative"> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>A net decrease of $6.3 billion in trading assets – debt and equity instruments, primarily in loans and residential- and commercial-MBS, principally driven by sales and markdowns, and by sales and unwinds of structured transactions with hedge funds. The declines were partially offset by a transfer from level 2 to level 3 of certain structured notes reflecting lower liquidity and less pricing observability, and also increases in the fair value of other ABS.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>A net increase of $6.1 billion in MSRs, due to increases in the fair value of the asset, related primarily to market interest rate and other changes affecting the Firm’s estimate of future prepayments, as well as sales in RFS of originated loans for which servicing rights were retained. These increases were offset partially by servicing portfolio runoff.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>A net increase of $1.9 billion in accrued interest and accounts receivable related to increases in subordinated retained interests from the Firm’s credit card securitization activities.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b><i>Gains and Losses</i></b><br /> Gains and losses included in the tables for 2009 and 2008 included: </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>2009</b> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$11.4 billion of net losses on derivatives, primarily related to the tightening of credit spreads.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Net losses on trading–debt and equity instruments of $671 million, consisting of $2.1 billion of losses, primarily related to residential and commercial loans and MBS, principally driven by markdowns and sales, partially offset by gains of $1.4 billion, reflecting increases in the fair value of other ABS. (For a further discussion of the gains and losses on mortgage-related exposures, inclusive of risk management activities, see the “Mortgage-related exposures carried at fair value” discussion below.)</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$5.8 billion of gains on MSRs.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>$1.4 billion of losses related to structured note liabilities, predominantly due to volatility in the equity markets.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>2008</b> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Losses on trading-debt and equity instruments of approximately $12.8 billion, principally from mortgage-related transactions and auction-rate securities.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Losses of $6.9 billion on MSRs.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Losses of approximately $3.9 billion on leveraged loans.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Net gains of $4.6 billion related to derivatives, principally due to changes in credit spreads and rate curves.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Gains of $4.5 billion related to structured notes, principally due to significant volatility in the fixed income, commodities and equity markets.</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Private equity losses of $638 million.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For further information on changes in the fair value of the MSRs, see Note 17 on pages 215–216 of this Annual Report. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Mortgage-related exposures carried at fair value</b><br /> The following table provides a summary of the Firm’s mortgage-related exposures, including the impact of risk management activities. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">These exposures include all mortgage-related securities and loans carried at fair value regardless of their classification within the fair value hierarchy, and that are carried at fair value through earnings or at the lower of cost or fair value. The table excludes securities held in the available-for-sale portfolio, which are reported on page 162 of this Note. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6">Exposure as of</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6">Exposure as of</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000"><b>December 31, 2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">December 31, 2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Net gains/(losses)<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Reported</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Reported</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">in income –</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">in income –</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Net of risk</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Net of risk</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">year ended</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">year ended</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">management</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">management</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>December 31,</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Gross</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">activities<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Gross</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">activities<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap"> <div style="margin-left:15px; text-indent:-15px"><b>U.S. Residential Mortgage:</b><sup style="font-size: 85%; vertical-align: text-top">(a)(b)(c)</sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Prime </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>3,482</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>3,482</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">4,612</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">4,612</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Alt-A </div></td> <td> </td> <td> </td> <td align="right"><b>3,030</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,030</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,934</td> <td> </td> <td> </td> <td> </td> <td align="right">3,917</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td align="right"><b>6,512</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,512</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,546</td> <td> </td> <td> </td> <td> </td> <td align="right">8,529</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>537</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(4,093</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="line-height: 4pt"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right"><b>569</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>137</b></td> <td> </td> <td> </td> <td> </td> <td align="right">941</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(28</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(76</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(369</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="line-height: 4pt"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Non-U.S. Residential</b><sup style="font-size: 85%; vertical-align: text-top">(c)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>1,702</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,321</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,591</td> <td> </td> <td> </td> <td> </td> <td align="right">951</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>86</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(292</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="line-height: 4pt"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Commercial Mortgage:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities </div></td> <td> </td> <td> </td> <td align="right"><b>2,337</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,898</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,836</td> <td> </td> <td> </td> <td> </td> <td align="right">1,438</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>257</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(792</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td> </td> <td> </td> <td align="right"><b>2,699</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,035</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,338</td> <td> </td> <td> </td> <td> </td> <td align="right">2,179</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(333</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(752</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(a)</td> <td> </td> <td>Excluded at December 31, 2009 and 2008, are certain mortgages and mortgage-related assets that are carried at fair value and recorded in trading assets, such as: (i) U.S. government agency securities that are liquid and of high credit quality of $41.7 billion and $58.9 billion, respectively; (ii) conforming mortgage loans originated with the intent to sell to U.S. government agencies of $11.1 billion and $6.2 billion, respectively; and (iii) reverse mortgages of $4.5 billion and $4.3 billion, respectively, for which the principal risk is mortality risk. Also excluded are MSRs, which are reported in Note 17 on pages 214–217 of this Annual Report.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Excluded certain mortgage-related financing transactions, which are collateralized by mortgage-related assets, of $4.1 billion and $5.7 billion at December 31, 2009 and 2008, respectively. These financing transactions are excluded from the table, as they are accounted for on an accrual basis of accounting. For certain financings deemed to be impaired, impairment is measured and recognized based on the fair value of the collateral. Of these financing transactions, $136 million and $1.2 billion were considered impaired at December 31, 2009 and 2008, respectively.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Total residential mortgage exposures at December 31, 2009 and 2008, include: (i) securities of $3.4 billion and $4.0 billion, respectively; (ii) loans carried at fair value or the lower of cost or fair value of $5.0 billion and $5.9 billion, respectively; and (iii) forward purchase commitments included in derivative receivables of $358 million and $1.2 billion, respectively.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>Amounts reflect the effects of derivatives used to manage the credit risk of the gross exposures arising from cash-based instruments. The amounts are presented on a bond- or loan-equivalent (notional) basis. Derivatives are excluded from the gross exposure, as they are principally used for risk management purposes.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(e)</td> <td> </td> <td>Net gains and losses include all revenue related to the positions (i.e., interest income, changes in fair value of the assets, changes in fair value of the related risk management positions, and interest expense related to the liabilities funding those positions).</td> </tr> </table> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Residential mortgages</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Classification and Valuation </i>– Residential mortgage loans and MBS are classified within level 2 or level 3 of the valuation hierarchy, depending on the level of liquidity and activity in the markets for a particular product. Level 3 assets include nonagency residential whole loans and subordinated nonagency residential MBS. Products that continue to have reliable price transparency as evidenced by consistent market transactions, such as senior nonagency securities, as well as agency securities, are classified in level 2. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For those products classified within level 2 of the valuation hierarchy, the Firm estimates the value of such instruments using a combination of observed transaction prices, independent pricing services and relevant broker quotes. Consideration is given to the nature of the quotes (e.g., indicative or firm) and the relationship of recently evidenced market activity to the prices provided from independent pricing services. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">When relevant market activity is not occurring or is limited, the fair value is estimated as follows: </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Residential mortgage loans</i> – Fair value of residential mortgage loans is estimated by projecting the expected cash flows and discounting those cash flows at a rate reflective of current market liquidity. To estimate the projected cash flows (inclusive of assumptions of prepayment, default rates and loss severity), specific consideration is given to both borrower-specific and other market factors, including, but not limited to: the borrower’s FICO score; the type of collateral supporting the loan; an estimate of the current value of the collateral supporting the loan; the level of documentation for the loan; and market-derived expectations for home price appreciation or depreciation in the respective geography of the borrower. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Residential mortgage-backed securities </i>– Fair value of residential MBS is estimated considering the value of the collateral and the specific attributes of the securities held by the Firm. The value of the collateral pool supporting the securities is analyzed using the same techniques and factors described above for residential mortgage loans, albeit in a more aggregated manner across the pool. For example, average FICO scores, average delinquency rates, average loss severities and prepayment rates, among other metrics, may be evaluated. In addition, as each securitization vehicle distributes cash in a manner or order that is predetermined at the inception of the vehicle, the priority in which each particular MBS is allocated cash flows, and the level of credit enhancement that is in place to support those cash flows, are key considerations in deriving the value of residential MBS. Finally, the risk premium that investors demand for securitized products in the current market is factored into the valuation. To benchmark its valuations, the Firm looks to transactions for similar instruments and utilizes independent pricing provided by third-party vendors, broker quotes and relevant market indices, such as the ABX index, as applicable. While none of those sources are solely indicative of fair value, they serve as directional indicators for the appropriateness of the Firm’s estimates. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Commercial mortgages</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">Commercial mortgages are loans to companies backed by commercial real estate. Commercial MBS are securities collateralized by a pool of commercial mortgages. Typically, commercial mortgages have lock-out periods where the borrower is restricted from prepaying the loan for a specified timeframe, or periods where there are disincentives for the borrower to prepay the loan due to prepayment penalties. These features reduce prepayment risk for commercial mortgages relative to that of residential mortgages. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Classification and Valuation</i><br /> While commercial mortgages and commercial MBS are classified within level 2 or level 3 of the valuation hierarchy, depending on the level of liquidity and activity in the markets, the majority of these mortgages, including both loans and lower-rated securities, are currently classified in level 3. Level 2 assets include fixed-rate commercial MBS. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Commercial mortgage loans </i>– Fair value of commercial mortgage loans is estimated by projecting the expected cash flows and discounting those cash flows at a rate reflective of current market liquidity. To estimate the projected cash flows, consideration is given to both borrower-specific and other market factors, including, but not limited to: the borrower’s debt-to-service coverage ratio; the type of commercial property (e.g., retail, office, lodging, multi-family, etc.); an estimate of the current loan-to-value ratio; and market-derived expectations for property price appreciation or depreciation in the respective geographic location. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Commercial mortgage-backed securities </i>– When relevant market activity is not present or is limited, the value of commercial MBS is estimated considering the value of the collateral and the specific attributes of the securities held by the Firm. The value of the collateral pool supporting the securities is analyzed using the same techniques and factors described above for the valuation of commercial mortgage loans, albeit in a more aggregated manner across the pool. For example, average delinquencies, loan or geographic concentrations, and average debt-service coverage ratios, among other metrics, may be evaluated. In addition, as each securitization vehicle distributes cash in a manner or order that is predetermined at the inception of the vehicle, the priority in which each particular MBS security is allocated cash flows, and the level of credit enhancement that is in place to support those cash flows, are key considerations in deriving the value of commercial MBS. Finally, the risk premium that investors demand for securitized products in the current market is factored into the valuation. To benchmark its valuations, the Firm utilizes independent pricing provided by third-party vendors, and broker quotes, as applicable. While none of those sources are solely indicative of fair value, they serve as directional indicators for the appropriateness of the Firm’s estimates. </div> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents mortgage-related activities within the available-for-sale securities portfolio. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6">Unrealized gains/(losses) included</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6">Net gains/(losses) reported</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6">in other comprehensive</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">As of or for the year ended December 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Exposures</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">in income during the year<sup style="font-size: 85%; vertical-align: text-top">(b)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">income (pretax) during the year</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Mortgage-backed securities:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">U.S. government agencies </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>167,898</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">117,385</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1,232</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">476</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>849</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">2,076</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Residential: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Prime and Alt-A </div></td> <td> </td> <td> </td> <td align="right"><b>4,523</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,895</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(364</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(32</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>856</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,965</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right"><b>17</b></td> <td> </td> <td> </td> <td> </td> <td align="right">194</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(49</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(89</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"><b>19</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(32</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Non-U.S. </div></td> <td> </td> <td> </td> <td align="right"><b>10,258</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,075</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>412</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(156</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial </div></td> <td> </td> <td> </td> <td align="right"><b>4,590</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,939</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(9</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>744</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(684</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>187,286</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">130,488</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>809</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">357</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2,880</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(761</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">U.S. government agencies<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>29,562</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,657</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5</b></td> <td> </td> <td> </td> <td> </td> <td align="right">11</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(55</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(54</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(a)</td> <td> </td> <td>Represents direct mortgage-related obligations of government-sponsored enterprises.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Excludes related net interest income.</td> </tr> </table> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">Exposures in the table above include $216.8 billion and $140.1 billion of MBS classified as available-for-sale in the Firm’s Consolidated Balance Sheets at December 31, 2009 and 2008, respectively. These investments are primarily used as part of the Firm’s centralized risk management of structural interest rate risk (the sensitivity of the Firm’s Consolidated Balance Sheets to changes in interest rates). Changes in the Firm’s structural interest rate position, as well as changes in the overall interest rate environment, are continually monitored, resulting in periodic repositioning of securities classified as available-for-sale. Given that this portfolio is primarily used to manage the Firm’s structural interest rate risk, nearly all of these securities are either backed by U.S. government agencies or are rated “AAA.” </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For additional information on investment securities in the available-for-sale portfolio, see Note 11 on pages 187–191 of this Annual Report. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Credit adjustments</b><br /> When determining the fair value of an instrument, it may be necessary to record a valuation adjustment to arrive at an exit price under U.S. GAAP. Valuation adjustments include, but are not limited to, amounts to reflect counterparty credit quality and the Firm’s own creditworthiness. The market’s view of the Firm’s credit quality is reflected in credit spreads observed in the CDS market. For a detailed discussion of the valuation adjustments the Firm considers, see the valuation discussion at the beginning of this Note. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table provides the credit adjustments, excluding the effect of any hedging activity, as reflected within the Consolidated Balance Sheets of the Firm as of the dates indicated. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31,</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">2008</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Derivative receivables balance </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>80,210</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">162,626</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Derivatives CVA<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(3,697</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(9,566</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="line-height: 4pt"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Derivative payables balance </div></td> <td> </td> <td> </td> <td align="right"><b>60,125</b></td> <td> </td> <td> </td> <td> </td> <td align="right">121,604</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Derivatives DVA </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(629</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,389</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="line-height: 4pt"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Structured notes balance<sup style="font-size: 85%; vertical-align: text-top">(b)(c)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>59,064</b></td> <td> </td> <td> </td> <td> </td> <td align="right">67,340</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Structured notes DVA </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(840</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,413</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(a)</td> <td> </td> <td>Derivatives CVA, gross of hedges, includes results managed by credit portfolio and other lines of business within IB.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Structured notes are recorded within long-term debt, other borrowed funds, or deposits on the Consolidated Balance Sheets, based on the tenor and legal form of the note.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Structured notes are carried at fair value based on the Firm’s election under the fair value option. For further information on these elections, see Note 4 on pages 165–167 of this Annual Report</td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table provides the impact of credit adjustments on earnings in the respective periods, excluding the effect of any hedging activity. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="64%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Year ended December 31,</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">2007</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit adjustments: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Derivatives CVA<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>5,869</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(7,561</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(803</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Derivatives DVA </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(760</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">789</td> <td> </td> <td> </td> <td> </td> <td align="right">514</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Structured notes DVA<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1,573</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">1,211</td> <td> </td> <td> </td> <td> </td> <td align="right">806</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(a)</td> <td> </td> <td>Derivatives CVA, gross of hedges, includes results managed by credit portfolio and other lines of business within IB.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Structured notes are carried at fair value based on the Firm’s election under the fair value option. For further information on these elections, see Note 4 on pages 165–167 of this Annual Report.</td> </tr> </table> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Fair value measurement transition</b><br /> In connection with the initial adoption of FASB guidance on fair value measurement, the Firm recorded the following on January 1, 2007: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>a cumulative effect increase to retained earnings of $287 million, primarily related to the release of profit previously deferred in accordance with previous FASB guidance for certain derivative contracts;</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>an increase to pretax income of $166 million ($103 million after-tax) related to the incorporation of the Firm’s creditworthiness in the valuation of liabilities recorded at fair value; and</td> </tr> <tr> <td style="font-size: 6pt"> </td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>an increase to pretax income of $464 million ($288 million after-tax) related to valuations of nonpublic private equity investments.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Additional disclosures about the fair value of financial instruments (including financial instruments not carried at fair value)</b><br /> U.S. GAAP requires disclosure of the estimated fair value of certain financial instruments, and the methods and significant assumptions used to estimate their fair value. Financial instruments within the scope of these disclosure requirements are included in the following table; other financial instruments and all nonfinancial instruments are excluded from the scope. Accordingly, the fair value disclosures required provide only a partial estimate of the fair value of JPMorgan Chase. For example, the Firm has developed long-term relationships with its customers through its deposit base and credit card accounts, commonly referred to as core deposit intangibles and credit card relationships. In the opinion of management, these items, in the aggregate, add significant value to JPMorgan Chase, but their fair value is not disclosed in this Note. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Financial instruments for which carrying value approximates fair value</i><br /> Certain financial instruments that are not carried at fair value on the Consolidated Balance Sheets are carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. These instruments include: cash and due from banks; deposits with banks, federal funds sold, securities purchased under resale agreements and securities borrowed with short-dated maturities; short-term receivables and accrued interest receivable; commercial paper; federal funds purchased, and securities loaned or sold under repurchase agreements with short-dated maturities; other borrowed funds (excluding advances from Federal Home Loan Banks); accounts payable; and accrued liabilities. In addition, U.S. GAAP requires that the fair value of deposit liabilities with no stated maturity (i.e., demand, savings and certain money market deposits) be equal to their carrying value; recognition of the inherent funding value of these instruments is not allowed. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the carrying value and estimated fair value of financial assets and liabilities. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="28%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">2008</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">Carrying</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">Estimated</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">Appreciation/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">Carrying</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">Estimated</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">Appreciation/</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, (in billions)</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">value</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">fair value</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">(depreciation)</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">value</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">fair value</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">(depreciation)</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Financial assets</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Assets for which fair value approximates carrying value </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>89.4</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>89.4</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">165.0</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">165.0</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accrued interest and accounts receivable (included $5.0 and $3.1 at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>67.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>67.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">61.0</td> <td> </td> <td> </td> <td> </td> <td align="right">61.0</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds sold and securities purchased under resale agreements (included $20.5 and $20.8 at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>195.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>195.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">203.1</td> <td> </td> <td> </td> <td> </td> <td align="right">203.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities borrowed (included $7.0 and $3.4 at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>119.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>119.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">124.0</td> <td> </td> <td> </td> <td> </td> <td align="right">124.0</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets </div></td> <td> </td> <td> </td> <td align="right"><b>411.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>411.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">510.0</td> <td> </td> <td> </td> <td> </td> <td align="right">510.0</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securities (included $360.4 and $205.9 at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>360.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>360.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">205.9</td> <td> </td> <td> </td> <td> </td> <td align="right">205.9</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans (included $1.4 and $7.7 at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>601.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>598.3</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(3.6</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">721.7</td> <td> </td> <td> </td> <td> </td> <td align="right">700.0</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(21.7</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage servicing rights at fair value </div></td> <td> </td> <td> </td> <td align="right"><b>15.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9.4</td> <td> </td> <td> </td> <td> </td> <td align="right">9.4</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other (included $19.2 and $29.2 at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>73.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>73.2</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(0.2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">83.0</td> <td> </td> <td> </td> <td> </td> <td align="right">83.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total financial assets</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1,934.1</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1,930.3</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(3.8</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left">$</td> <td align="right">2,083.1</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">2,061.5</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(21.6</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Financial liabilities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deposits (included $4.5 and $5.6 at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>938.4</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>939.5</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(1.1</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left">$</td> <td align="right">1,009.3</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,010.2</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(0.9</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Federal funds purchased and securities loaned or sold under repurchase agreements (included $3.4 and $3.0 at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>261.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>261.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">192.5</td> <td> </td> <td> </td> <td> </td> <td align="right">192.5</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial paper </div></td> <td> </td> <td> </td> <td align="right"><b>41.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>41.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">37.8</td> <td> </td> <td> </td> <td> </td> <td align="right">37.8</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other borrowed funds (included $5.6 and $14.7 at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>55.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>55.9</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(0.2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">132.4</td> <td> </td> <td> </td> <td> </td> <td align="right">134.1</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1.7</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities </div></td> <td> </td> <td> </td> <td align="right"><b>125.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>125.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">166.9</td> <td> </td> <td> </td> <td> </td> <td align="right">166.9</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Accounts payable and other liabilities (included $0.4 and zero at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>136.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>136.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">167.2</td> <td> </td> <td> </td> <td> </td> <td align="right">167.2</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Beneficial interests issued by consolidated VIEs (included $1.4 and $1.7 at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>15.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">10.6</td> <td> </td> <td> </td> <td> </td> <td align="right">10.5</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Long-term debt and junior subordinated deferrable interest debentures (included $49.0 and $58.2 at fair value at December 31, 2009 and 2008, respectively) </div></td> <td> </td> <td> </td> <td align="right"><b>266.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>268.4</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(2.1</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right">270.7</td> <td> </td> <td> </td> <td> </td> <td align="right">262.1</td> <td> </td> <td> </td> <td> </td> <td align="right">8.6</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total financial liabilities</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1,840.7</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1,844.1</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(3.4</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left">$</td> <td align="right">1,987.4</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,981.3</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">6.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net (depreciation)/appreciation</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(7.2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(15.5</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 2px solid #000000"> </td> </tr>  </table> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The majority of the Firm’s unfunded lending-related commitments are not carried at fair value on a recurring basis on the Consolidated Balance Sheets, nor are they actively traded. The estimated fair values of the Firm’s wholesale lending-related commitments at December 31, 2009 and 2008, were liabilities of $1.3 billion and $7.5 billion, respectively. The Firm does not estimate the fair value of consumer lending-related commitments. In many cases, the Firm can reduce or cancel these commitments by providing the borrower prior notice or, in some cases, without notice as permitted by law. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Trading assets and liabilities</b><br /> Trading assets include debt and equity instruments held for trading purposes that JPMorgan Chase owns (“long” positions), certain loans for which the Firm manages on a fair value basis and has elected the fair value option, and physical commodities inventories that are accounted for at the lower of cost or fair value. Trading liabilities include debt and equity instruments that the Firm has sold to other parties but does not own (“short” positions). The Firm is obligated to purchase instruments at a future date to cover the short positions. Included in trading assets and trading liabilities are the reported receivables (unrealized gains) and payables (unrealized losses) related to derivatives. Trading assets and liabilities are carried at fair value on the Consolidated Balance Sheets. For a discussion of the valuation and a summary of trading assets and trading liabilities, including derivative receivables and payables, see Note 4 on pages 165–167 and Note 5 on pages 167–175 of this Annual Report. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Trading assets and liabilities average balances</b><br /> Average trading assets and liabilities were as follows for the periods indicated. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="64%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Year ended December 31, (in millions)</td> <td> </td> <td nowrap="nowrap" align="right" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="2">2007</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets – debt and equity instruments </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>318,063</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">384,102</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">381,415</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets – derivative receivables </div></td> <td> </td> <td> </td> <td align="right"><b>110,457</b></td> <td> </td> <td> </td> <td> </td> <td align="right">121,417</td> <td> </td> <td> </td> <td> </td> <td align="right">65,439</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities – debt and equity instruments<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>60,224</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">78,841</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right"> 94,737</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading liabilities – derivative payables </div></td> <td> </td> <td> </td> <td align="right"><b>77,901</b></td> <td> </td> <td> </td> <td> </td> <td align="right">93,200</td> <td> </td> <td> </td> <td> </td> <td align="right">65,198</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left"> <div style="font-size: 3pt; margin-top: 3pt; width: 18%; border-top: 0px solid #000000">  </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(a)</td> <td> </td> <td>Primarily represent securities sold, not yet purchased.</td> </tr> </table> <div style="position: relative"> </div> </div>  <!-- Begin Block Tagged Note false false (1) This element represents the disclosure related to the fair value measurement of assets and liabilities which includes [financial] instruments measured at fair value that are classified in stockholders' equity. Such assets and liabilities may be measured on a recurring or nonrecurring basis. The disclosures which may be required or desired include: (1) for assets and liabilities measured on a recurring basis, disclosure may include: (a) the fair value measurements at the reporting date; (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3); (c) for fair value measurements using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (i) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (ii) purchases, sales, issuances, and settlements (net); (iii) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs); (d) the amount of the total gains or losses for the period in subparagraph (c) (i) above included in earnings (or changes in net assets) that are attributable to the change in unrealized gains or losses relating to those assets and liabilities still held at the reporting date and a description of where those unrealized gains or losses are reported in the statement of income (or activities); (e) the valuation technique(s) used to measure fair value and a discussion of changes in valuation techniques, if any, during the period and (2) for assets and liabilities that are measured at fair value on a nonrecurring basis (for example, impaired assets) disclosure may include, in addition to (a) above: (a) the reasons for the fair value measurements recorded; (b) the same as (b) above; (c) for fair value measurements using significant unobservable inputs (Level 3), a description of the inputs and the information used to develop the inputs; and (d) the valuation technique(s) used to measure fair value and a discussion of changes, if any, in the valuation technique(s) used to measure similar assets and/or liabilities in prior periods. (2) This item represents certain of the disclosures concerning the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value. No authoritative reference available. false false 1 2 false UnKnown UnKnown UnKnown false true