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1.0.0.3 false Derivative instruments 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 Derivative instruments [Abstract] 0 us-gaap_DerivativeInstrumentsAndHedgesAbstract us-gaap true na duration string No definition available. false false false false false true false false false 1 false false 0 0 false false No definition available. false 3 Derivative instruments 1 us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock us-gaap true na duration string No definition available. 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 5 – Derivative instruments</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Derivative instruments enable end-users to modify or mitigate exposure to credit or market risks. Counterparties to a derivative contract seek to obtain risks and rewards similar to those that could be obtained from purchasing or selling a related cash instrument without having to exchange the full purchase or sales price upfront. JPMorgan Chase makes markets in derivatives for customers and also uses derivatives to hedge or manage risks of market exposures. The majority of the Firm’s derivatives are entered into for market-making purposes. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Trading derivatives</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The Firm transacts in a variety of derivatives in its trading portfolios to meet the needs of customers (both dealers and clients) and to generate revenue through this trading activity. The Firm makes markets in derivatives for its customers (collectively, “client derivatives”), seeking to mitigate or modify interest rate, credit, foreign exchange, equity and commodity risks. The Firm actively manages the risks from its exposure to these derivatives by entering into other derivative transactions or by purchasing or selling other financial instruments that partially or fully offset the exposure from client derivatives. The Firm also seeks to earn a spread between the client derivatives and offsetting positions, and from the remaining open risk positions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Risk management derivatives</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The Firm manages its market exposures using various derivative instruments. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Interest rate contracts are used to minimize fluctuations in earnings that are caused by changes in interest rates. Fixed-rate assets and liabilities appreciate or depreciate in market value as interest rates change. Similarly, interest income and expense increase or decrease as a result of variable-rate assets and liabilities resetting to current market rates, and as a result of the repayment and subsequent origination or issuance of fixed-rate assets and liabilities at current market rates. Gains or losses on the derivative instruments that are related to such assets and liabilities are expected to substantially offset this variability in earnings. The Firm generally uses interest rate swaps, forwards and futures to manage the impact of interest rate fluctuations on earnings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Foreign currency forward contracts are used to manage the foreign exchange risk associated with certain foreign currency–denominated (i.e., non-U.S.) assets and liabilities and forecasted transactions, as well as the Firm’s net investments in certain non-U.S. subsidiaries or branches whose functional currencies are not the U.S. dollar. As a result of fluctuations in foreign currencies, the U.S. dollar–equivalent values of the foreign currency–denominated assets and liabilities or forecasted revenue or expense increase or decrease. Gains or losses on the derivative instruments related to these foreign currency—denominated assets or liabilities, or forecasted transactions, are expected to substantially offset this variability. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Commodities based forward and futures contracts are used to manage the price risk of certain inventory, including gold and base metals, in the Firm’s commodities portfolio. Gains or losses on the forwards and futures are expected to substantially offset the depreciation or appreciation of the related inventory. Also in the commodities portfolio, electricity and natural gas futures and forwards contracts are used to manage price risk associated with energy-related tolling and load-serving contracts and investments. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm uses credit derivatives to manage the counterparty credit risk associated with loans and lending-related commitments. Credit derivatives compensate the purchaser when the entity referenced in the contract experiences a credit event, such as bankruptcy or a failure to pay an obligation when due. For a further discussion of credit derivatives, see the discussion in the Credit derivatives section on pages 173–175 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For more information about risk management derivatives, see the risk management derivatives gains and losses table on page 172 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Notional amount of derivative contracts</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The following table summarizes the notional amount of derivative contracts outstanding as of December 31, 2009 and 2008. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="right" colspan="6" style="border-bottom: 1px solid #000000">Notional amounts<sup>(c)</sup></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"><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" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate contracts </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">Swaps<sup>(a)</sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>47,663</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">54,524</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Futures and forwards </div></td> <td> </td> <td> </td> <td align="right"><b>6,986</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,277</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Written options </div></td> <td> </td> <td> </td> <td align="right"><b>4,553</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,803</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Purchased options </div></td> <td> </td> <td> </td> <td align="right"><b>4,584</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,656</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total interest rate contracts</b> </div></td> <td> </td> <td> </td> <td align="right"><b>63,786</b></td> <td> </td> <td> </td> <td> </td> <td align="right">70,260</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit derivatives<sup>(b)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>5,994</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,388</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange contracts </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Cross-currency swaps<sup>(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>2,217</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,681</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Spot, futures and forwards </div></td> <td> </td> <td> </td> <td align="right"><b>3,578</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,744</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Written options </div></td> <td> </td> <td> </td> <td align="right"><b>685</b></td> <td> </td> <td> </td> <td> </td> <td align="right">972</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Purchased options </div></td> <td> </td> <td> </td> <td align="right"><b>699</b></td> <td> </td> <td> </td> <td> </td> <td align="right">959</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total foreign exchange contracts</b> </div></td> <td> </td> <td> </td> <td align="right"><b>7,179</b></td> <td> </td> <td> </td> <td> </td> <td align="right">7,356</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Equity contracts </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Swaps </div></td> <td> </td> <td> </td> <td align="right"><b>81</b></td> <td> </td> <td> </td> <td> </td> <td align="right">77</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Futures and forwards </div></td> <td> </td> <td> </td> <td align="right"><b>45</b></td> <td> </td> <td> </td> <td> </td> <td align="right">56</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Written options </div></td> <td> </td> <td> </td> <td align="right"><b>502</b></td> <td> </td> <td> </td> <td> </td> <td align="right">628</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Purchased options </div></td> <td> </td> <td> </td> <td align="right"><b>449</b></td> <td> </td> <td> </td> <td> </td> <td align="right">652</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total equity contracts</b> </div></td> <td> </td> <td> </td> <td align="right"><b>1,077</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,413</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commodity contracts </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Swaps </div></td> <td> </td> <td> </td> <td align="right"><b>178</b></td> <td> </td> <td> </td> <td> </td> <td align="right">234</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Spot, futures and forwards </div></td> <td> </td> <td> </td> <td align="right"><b>113</b></td> <td> </td> <td> </td> <td> </td> <td align="right">115</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Written options </div></td> <td> </td> <td> </td> <td align="right"><b>201</b></td> <td> </td> <td> </td> <td> </td> <td align="right">206</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Purchased options </div></td> <td> </td> <td> </td> <td align="right"><b>205</b></td> <td> </td> <td> </td> <td> </td> <td align="right">198</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total commodity contracts</b> </div></td> <td> </td> <td> </td> <td align="right"><b>697</b></td> <td> </td> <td> </td> <td> </td> <td align="right">753</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total derivative notional amounts</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>78,733</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">88,170</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> </div> <div style="position: relative"> <div align="left"> </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>In 2009, cross-currency interest rate swaps previously reported in interest rate contracts were reclassified to foreign exchange contracts to be more consistent with industry practice. The effect of this change resulted in a reclassification of $1.7 trillion in notional amount of cross-currency swaps from interest rate contracts to foreign exchange contracts as of December 31, 2008.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Primarily consists of credit default swaps. For more information on volumes and types of credit derivative contracts, see the Credit derivatives discussion on pages 173–175 of this Note. </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Represents the sum of gross long and gross short third-party notional derivative contracts.</td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt">While the notional amounts disclosed above give an indication of the volume of the Firm’s derivative activity, the notional amounts significantly exceed, in the Firm’s view, the possible losses that could arise from such transactions. For most derivative transactions, the notional amount does not change hands; it is used simply as a reference to calculate payments. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Accounting for derivatives</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">All free-standing derivatives are required to be recorded on the Consolidated Balance Sheets at fair value. The accounting for changes in value of a derivative depends on whether or not the contract has been designated and qualifies for hedge accounting. Derivatives that are not designated as hedges are marked to market through earnings. The tabular disclosures on pages 169–175 of this Note provide additional information on the amount of, and reporting for, derivative assets, liabilities, gains and losses. For further discussion of derivatives embedded in structured notes, see Notes 3 and 4 on pages 148–165 and 165–167, respectively, of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Derivatives designated as hedges</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The Firm applies hedge accounting to certain derivatives executed for risk management purposes — typically interest rate, foreign exchange and gold and base metal derivatives, as described above. JPMorgan Chase does not seek to apply hedge accounting to all of the derivatives involved in the Firm’s risk management activities. For example, the Firm does not apply hedge accounting to purchased credit default swaps used to manage the credit risk of loans and commitments, because of the difficulties in qualifying such contracts as hedges. For the same reason, the Firm does not apply hedge accounting to certain interest rate derivatives used for risk management purposes, or to commodity derivatives used to manage the price risk of tolling and load-serving contracts. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">To qualify for hedge accounting, a derivative must be highly effective at reducing the risk associated with the exposure being hedged. In addition, for a derivative to be designated as a hedge, the risk management objective and strategy must be documented. Hedge documentation must identify the derivative hedging instrument, the asset or liability and type of risk to be hedged, and how the effectiveness of the derivative is assessed prospectively and retrospectively. To assess effectiveness, the Firm uses statistical methods such as regression analysis, as well as nonstatistical methods including dollar-value comparisons of the change in the fair value of the derivative to the change in the fair value or cash flows of the hedged item. The extent to which a derivative has been, and is expected to continue to be, effective at offsetting changes in the fair value or cash flows of the hedged item must be assessed and documented at least quarterly. Any hedge ineffectiveness (i.e., the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk) must be reported in current-period earnings. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">There are three types of hedge accounting designations: fair value hedges, cash flow hedges and net investment hedges. JPMorgan Chase uses fair value hedges primarily to hedge fixed-rate long-term debt, available-for-sale (“AFS”) securities and gold and base metal inventory. For qualifying fair value hedges, the changes in the fair value of the derivative, and in the value of the hedged item, for the risk being hedged, are recognized in earnings. If the hedge relationship is terminated, then the fair value adjustment to the hedged item continues to be reported as part of the basis of the hedged item and for interest-bearing instruments is amortized to earnings as a yield adjustment. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item – primarily net interest income and principal transactions revenue. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase uses cash flow hedges to hedge the exposure to variability in cash flows from floating-rate financial instruments and forecasted transactions, primarily the rollover of short-term assets and liabilities, and foreign currency—denominated revenue and expense. For qualifying cash flow hedges, the effective portion of the change in the fair value of the derivative is recorded in other comprehensive income/(loss) (“OCI”) and recognized in the Consolidated Statements of Income when the hedged cash flows affect earnings. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item – primarily interest income, interest expense, noninterest revenue and compensation expense. The ineffective portions of cash flow hedges are immediately recognized in earnings. If the hedge relationship is terminated, then the value of the derivative recorded in accumulated other comprehensive income/(loss) (“AOCI”) is recognized in earnings when the cash flows that were hedged affect earnings. For hedge relationships that are discontinued because a forecasted transaction is not expected to occur according to the original hedge forecast, any related derivative values recorded in AOCI are immediately recognized in earnings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase uses foreign currency hedges to protect the value of the Firm’s net investments in certain non-U.S. subsidiaries or branches whose functional currencies are not the U.S. dollar. For qualifying net investment hedges, changes in the fair value of the derivatives are recorded in the translation adjustments account within AOCI. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Impact of derivatives on the Consolidated Balance Sheets</i> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes information on derivative fair values that are reflected on the Firm’s Consolidated Balance Sheets as of December 31, 2009, by accounting designation (e.g., whether the derivatives were designated as hedges or not) and contract type. </div> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Free-standing derivatives</b><sup>(a)</sup> </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">Derivative receivables</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Derivative payables</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 nowrap="nowrap" align="center" colspan="2">Not</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"><b>December 31, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Not designated</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Designated</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total derivative</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">designated</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Designated</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total derivative</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">as hedges</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">as hedges</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">receivables</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">as hedges</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">as hedges</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">payables</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Trading assets and liabilities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate </div></td> <td> </td> <td align="left">$</td> <td align="right">1,148,901</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">6,568</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,155,469</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,121,978</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">427</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,122,405</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit </div></td> <td> </td> <td> </td> <td align="right">170,864</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">170,864</td> <td> </td> <td> </td> <td> </td> <td align="right">164,790</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">164,790</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange </div></td> <td> </td> <td> </td> <td align="right">141,790</td> <td> </td> <td> </td> <td> </td> <td align="right">2,497</td> <td> </td> <td> </td> <td> </td> <td align="right">144,287</td> <td> </td> <td> </td> <td> </td> <td align="right">137,865</td> <td> </td> <td> </td> <td> </td> <td align="right">353</td> <td> </td> <td> </td> <td> </td> <td align="right">138,218</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Equity </div></td> <td> </td> <td> </td> <td align="right">57,871</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">57,871</td> <td> </td> <td> </td> <td> </td> <td align="right">58,494</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">58,494</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commodity </div></td> <td> </td> <td> </td> <td align="right">36,988</td> <td> </td> <td> </td> <td> </td> <td align="right">39</td> <td> </td> <td> </td> <td> </td> <td align="right">37,027</td> <td> </td> <td> </td> <td> </td> <td align="right">35,082</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">194</td> <td nowrap="nowrap"><sup>(c)</sup></td> <td> </td> <td> </td> <td align="right">35,276</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Gross fair value of trading assets and liabilities</b> </div></td> <td> </td> <td align="left">$</td> <td align="right">1,556,414</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">9,104</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,565,518</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,518,209</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">974</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,519,183</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Netting adjustment<sup>(b)</sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,485,308</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,459,058 </td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Carrying value of derivative trading assets and trading liabilities on the Consolidated Balance Sheets</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">80,210</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">60,125</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="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>Excludes structured notes for which the fair value option has been elected. See Note 4 on pages 165—167 of this Annual Report for further information.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>U.S. GAAP permits the netting of derivative receivables and payables, and the related cash collateral received and paid when a legally enforceable master netting agreement exists between the Firm and a derivative counterparty.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Excludes $1.3 billion related to separated commodity derivatives used as fair value hedging instruments that are recorded in the line item of the host contract (i.e., other borrowed funds).</td> </tr> <tr> <td align="left" valign="top"> </td> </tr> </table> <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="bottom"></td> </tr> </table>   </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"><i>Derivative receivables and payables mark-to-market</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The following table summarizes the fair values of derivative receivables and payables by contract type after netting adjustments as of December 31, 2009 and 2008. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="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, (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" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Derivative receivables: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate<sup>(a)</sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>26,777</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">49,996</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit </div></td> <td> </td> <td> </td> <td align="right"><b>18,815</b></td> <td> </td> <td> </td> <td> </td> <td align="right">44,695</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange<sup>(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>21,984</b></td> <td> </td> <td> </td> <td> </td> <td align="right">38,820</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Equity </div></td> <td> </td> <td> </td> <td align="right"><b>6,635</b></td> <td> </td> <td> </td> <td> </td> <td align="right">14,285</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commodity </div></td> <td> </td> <td> </td> <td align="right"><b>5,999</b></td> <td> </td> <td> </td> <td> </td> <td align="right">14,830</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total derivative receivables</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>80,210</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">162,626</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Trading liabilities</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Derivative payables: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate<sup>(a)</sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>15,220</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">27,645</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit </div></td> <td> </td> <td> </td> <td align="right"><b>10,504</b></td> <td> </td> <td> </td> <td> </td> <td align="right">23,566</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange<sup>(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>19,818</b></td> <td> </td> <td> </td> <td> </td> <td align="right">41,156</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Equity </div></td> <td> </td> <td> </td> <td align="right"><b>11,554</b></td> <td> </td> <td> </td> <td> </td> <td align="right">17,316</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commodity </div></td> <td> </td> <td> </td> <td align="right"><b>3,029</b></td> <td> </td> <td> </td> <td> </td> <td align="right">11,921</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total derivative payables</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>60,125</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">121,604</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div 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>In 2009, cross-currency interest rate swaps previously reported in interest rate contracts were reclassified to foreign exchange contracts to be more consistent with industry practice. The effect of this change resulted in reclassifications of $14.1 billion of derivative receivables and $20.8 billion of derivative payables, between cross-currency interest rate swaps and foreign exchange contracts, as of December 31, 2008.</td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Impact of derivatives and hedged items on the income statement and on other comprehensive income</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The following table summarizes the total pretax impact of JPMorgan Chase’s derivative-related activities on the Firm’s Consolidated Statements of Income and Other Comprehensive Income for the year ended December 31, 2009, by accounting designation. </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="22" style="border-bottom: 1px solid #000000">Derivative-related gains/(losses)</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Consolidated Statements</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair value</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Cash flow</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Net investment</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Risk management</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Trading</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">   of Income (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">hedges<sup>(a)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">hedges</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">hedges</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">activities</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">activities<sup>(a)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Year ended December 31, 2009 </div></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(801</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>62</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(112</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(6,590</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>16,254</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>10,415</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div 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="22" style="border-bottom: 1px solid #000000">Derivative-related net changes in other comprehensive income</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair value</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Cash flow</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Net investment</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Risk management</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Trading</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">Other Comprehensive Income/(loss)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">hedges</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">hedges</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">hedges</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">activities</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">activities</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Year ended December 31, 2009 </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>643</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(259</b></td> <td nowrap="nowrap"><b>)</b></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>—</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>384</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div 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>Includes the hedge accounting impact of the hedged item for fair value hedges, and includes cash instruments within trading activities.</td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt">The tables that follow reflect more detailed information regarding the derivative-related income statement impact by accounting designation for the year ended December 31, 2009. </div> <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> <td align="left" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="bottom"></td> </tr> </table>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Fair value hedge gains and losses</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The following table presents derivative instruments, by contract type, used in fair value hedge accounting relationships, as well as pretax gains/(losses) recorded on such derivatives and the related hedged items for the year ended December 31, 2009. The Firm includes gains/(losses) on the hedging derivative and the related hedged item in the same line item in the Consolidated Statements of Income. </div> <div align="center"> <table style="font-size: 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="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 nowrap="nowrap" align="left"><b>Year ended</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Gains/(losses) recorded in income</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Income statement impact due to:</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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total income</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Hedge</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Excluded</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">Derivatives</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Hedged items</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">statement impact<sup>(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">ineffectiveness<sup>(e)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">components<sup>(f)</sup></td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> <td> </td> <td colspan="7" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Contract type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate<sup>(a)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(3,830</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">4,638</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">808</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(466</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">1,274</td> <td nowrap="nowrap"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange<sup>(b)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,421</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">1,445</td> <td> </td> <td> </td> <td> </td> <td align="right">24</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">24</td> <td nowrap="nowrap"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commodity<sup>(c)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(430</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">399</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(31</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(31)</td> <td nowrap="nowrap"> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> <td> </td> <td colspan="7" nowrap="nowrap" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(5,681</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">6,482</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">801</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(466</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">1,267</td> <td nowrap="nowrap"> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div 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 consists of hedges of the benchmark (e.g., LIBOR) interest rate risk of fixed-rate long-term debt. Gains and losses were recorded in net interest income.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Primarily consists of hedges of the foreign currency risk of long-term debt and AFS securities for changes in spot foreign currency rates. Gains and losses related to the derivatives and the hedged items, due to changes in spot foreign currency rates, were recorded in principal transactions revenue.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Consists of overall fair value hedges of physical gold and base metal inventory. Gains and losses were recorded in principal transactions revenue.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>Total income statement impact for fair value hedges consists of hedge ineffectiveness and any components excluded from the assessment of hedge effectiveness. The related amounts for the years ended December 31, 2008 and 2007 were net gains of $434 million and $111 million, respectively.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(e)</td> <td> </td> <td>Hedge ineffectiveness is the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(f)</td> <td> </td> <td>Certain components of hedging derivatives and hedged items are permitted to be excluded from the assessment of hedge effectiveness. Amounts related to excluded components are recorded in current-period income and primarily consist of the impact of the passage of time on the fair value of the hedging derivative and hedged item.</td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Cash flow hedge gains and losses</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The following table presents derivative instruments, by contract type, used in cash flow hedge accounting relationships, and the pretax gains/(losses) recorded on such derivatives, for the year ended December 31, 2009. The Firm includes the gain/(loss) on the hedging derivative in the same line item as the offsetting change in cash flows on the hedged item in the Consolidated Statements of Income. </div> <div align="center"> <table style="font-size: 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="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">Gains/(losses) recorded in income and other comprehensive income/(loss) <sup>(c)</sup></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Derivatives–</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Hedge</td> <td> </td> <td> </td> <td> </td> <td> </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> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">effective portion</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">ineffectiveness</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Derivatives–</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total change</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">reclassified from</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">recorded directly</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total income</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">effective portion</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">in OCI</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">AOCI to income</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">in income<sup>(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">statement impact</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">recorded in OCI</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">for period</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Contract type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate<sup>(a)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(158</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(62</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(220</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">61</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">219</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange<sup>(b)</sup> </div></td> <td> </td> <td> </td> <td align="right">282</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">282</td> <td> </td> <td> </td> <td> </td> <td align="right">706</td> <td> </td> <td> </td> <td> </td> <td align="right">424</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="left">$</td> <td align="right">124</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(62</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">62</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">767</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">643</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="left"> <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 consists of benchmark interest rate hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Primarily consists of hedges of the foreign currency risk of non–U.S. dollar–denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily net interest income, compensation expense and other expense.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>The Firm incurred $15 million of cash flow hedging net gains/(losses) on forecasted transactions that failed to occur for the year-ended December 31, 2007. The Firm did not experience forecasted transactions that failed to occur for the years ended December 31, 2009 and 2008, respectively.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>Hedge ineffectiveness is the amount by which the cumulative gain or loss on the designated derivative instrument exceeds the present value of the cumulative expected change in cash flows on the hedged item attributable to the hedged risk. Hedge ineffectiveness recorded directly in income for cash flow hedges were net gains of $18 million and $29 million for the years ended December 31, 2008 and 2007, respectively.</td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt">Over the next 12 months, the Firm expects that $245 million (after-tax) of net losses recorded in AOCI at December 31, 2009, related to cash flow hedges will be recognized in income. The maximum length of time over which forecasted transactions are hedged is 10 years, and such transactions primarily relate to core lending and borrowing activities. </div> <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> <td align="left" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="bottom"></td> </tr> </table>   </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"><i>Net investment hedge gains and losses</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pretax gains/(losses) recorded on such derivatives for the year ended December 31, 2009. </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> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Gains/(losses) recorded in income and other comprehensive income/(loss)</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">Derivatives–excluded components</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Derivatives–effective portion</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2009 (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">recorded directly in income<sup>(a)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">recorded in OCI</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Contract type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(112</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(259</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(112</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(259</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>Certain components of derivatives used as hedging instruments are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on a futures or forwards contract. Amounts related to excluded components are recorded in current-period income. There was no ineffectiveness for net investment hedge accounting relationships during 2009.</td> </tr> </table> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Risk management derivatives gains and losses (not designated as hedging instruments)</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The following table presents nontrading derivatives, by contract type, that were not designated in hedge relationships, and the pretax gains/(losses) recorded on such derivatives for the year ended December 31, 2009. These derivatives are risk management instruments used to mitigate or transform the risk of market exposures arising from banking activities other than trading activities, which are discussed separately below. </div> <div align="center"> <table style="font-size: 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">Year ended December 31, 2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Derivatives gains/(losses)</td> <td> </td> <td> </td> <td> </td> <td> </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">recorded in income</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000">  </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Contract type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate<sup>(a)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(3,113 </td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit<sup>(b)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(3,222 </td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange<sup>(c)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(197 </td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Equity<sup>(b)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(8 </td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Commodity<sup>(b)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(50 </td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(6,590 </td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </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>Gains and losses were recorded in principal transactions revenue, mortgage fees and related income, and net interest income.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Gains and losses were recorded in principal transactions revenue.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Gains and losses were recorded in principal transactions revenue and net interest income.</td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Trading derivative gains and losses</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The Firm has elected to present derivative gains and losses related to its trading activities together with the cash instruments with which they are risk managed. All amounts are recorded in principal transactions revenue in the Consolidated Statements of Income for the year ended December 31, 2009. </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="88%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Year ended December 31, 2009</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Gains/(losses) recorded in principal</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">transactions revenue</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Type of instrument</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Interest rate </div></td> <td> </td> <td align="left">$</td> <td align="right">4,375</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit </div></td> <td> </td> <td> </td> <td align="right">5,022</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Foreign exchange </div></td> <td> </td> <td> </td> <td align="right">4,053</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Equity </div></td> <td> </td> <td> </td> <td align="right">1,475</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commodity </div></td> <td> </td> <td> </td> <td align="right">1,329</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="left">$</td> <td align="right">16,254</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="5" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Credit risk, liquidity risk and credit-related contingent features</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">In addition to the specific market risks introduced by each derivative contract type, derivatives expose JPMorgan Chase to credit risk – the risk that derivative counterparties may fail to meet their payment obligations under the derivative contracts and the collateral, if any, held by the Firm proves to be of insufficient value to cover the payment obligation. It is the policy of JPMorgan Chase to enter into legally enforceable master netting agreements as well as to actively pursue the use of collateral agreements to mitigate derivative counterparty credit risk. The amount of derivative receivables reported on the Consolidated Balance Sheets is the fair value of the derivative contracts after giving effect to legally enforceable master netting agreements and cash collateral held by the Firm. These amounts represent the cost to the Firm to replace the contracts at then-current market rates should the counterparty default. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">While derivative receivables expose the Firm to credit risk, derivative payables expose the Firm to liquidity risk, as the derivative contracts typically require the Firm to post cash or securities collateral with counterparties as the mark-to-market (“MTM”) moves in the counterparties’ favor, or upon specified downgrades in the Firm’s and its subsidiaries’ respective credit ratings. At December 31, 2009, the impact of a single-notch and six-notch ratings downgrade to JPMorgan Chase & Co. and its subsidiaries, primarily JPMorgan Chase Bank, N.A., would have required $1.2 billion and $3.6 billion, respectively, of additional collateral to be posted by the Firm. Certain derivative contracts also provide for termination of the contract, generally upon a downgrade of either the Firm or the counterparty, at the fair value of the derivative contracts. At December 31, 2009, the impact of single-notch and six-notch ratings downgrades to JPMorgan Chase & Co. and its subsidiaries, primarily JPMorgan Chase Bank, N.A., related to contracts with termination triggers would have required the Firm to settle trades with a fair value of $260 million and $4.7 billion, respectively. The aggregate fair value of net derivative payables that contain contingent collateral or termination features triggered upon a downgrade was $22.6 billion at December 31, 2009, for which the Firm has posted collateral of $22.3 billion in the normal course of business. </div> </div> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="bottom"></td> </tr> </table>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table shows the current credit risk of derivative receivables after netting adjustments, and the current liquidity risk of derivative payables after netting adjustments, as of December 31, 2009. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="76%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2009 (in millions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Derivative receivables</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Derivative payables</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Gross derivative fair value </div></td> <td> </td> <td align="left">$</td> <td align="right">1,565,518</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,519,183</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Netting adjustment – offsetting receivables/payables </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,419,840</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,419,840 </td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Netting adjustment – cash collateral received/paid </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(65,468</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(39,218 </td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Carrying value on Consolidated Balance Sheets </div></td> <td> </td> <td align="left">$</td> <td align="right">80,210</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">60,125</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the collateral amounts reflected in the table above, at December 31, 2009, the Firm had received and posted liquid securities collateral in the amount of $15.5 billion and $11.7 billion, respectively. The Firm also receives and delivers collateral at the initiation of derivative transactions, which is available as security against potential exposure that could arise should the fair value of the transactions move in the Firm’s or client’s favor, respectively. Furthermore, the Firm and its counterparties hold collateral related to contracts that have a non-daily call frequency for collateral to be posted, and collateral that the Firm or a counterparty has agreed to return but has not yet settled as of the reporting date. At December 31, 2009, the Firm had received $16.9 billion and delivered $5.8 billion of such additional collateral. These amounts were not netted against the derivative receivables and payables in the table above, because, at an individual counterparty level, the collateral exceeded the fair value exposure at December 31, 2009. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Credit derivatives</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">Credit derivatives are financial instruments whose value is derived from the credit risk associated with the debt of a third-party issuer (the reference entity) and which allow one party (the protection purchaser) to transfer that risk to another party (the protection seller). Credit derivatives expose the protection purchaser to the creditworthiness of the protection seller, as the protection seller is required to make payments under the contract when the reference entity experiences a credit event, such as a bankruptcy, a failure to pay its obligation or a restructuring. The seller of credit protection receives a premium for providing protection but has the risk that the underlying instrument referenced in the contract will be subject to a credit event. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm is both a purchaser and seller of protection in the credit derivatives market and uses these derivatives for two primary purposes. First, in its capacity as a market-maker in the dealer/client business, the Firm actively risk manages a portfolio of credit derivatives by purchasing and selling credit protection, predominantly on corporate debt obligations, to meet the needs of customers. As a seller of protection, the Firm’s exposure to a given reference entity may be offset partially, or entirely, with a contract to purchase protection from another counterparty on the same or similar reference entity. Second, the Firm uses credit derivatives to mitigate credit risk associated with its overall derivative receivables and traditional commercial credit lending exposures (loans and unfunded commitments) as well as to manage its exposure to residential and commercial mortgages. See Note 3 on pages 148—165 of this Annual Report for further information on the Firm’s mortgage-related exposures. In accomplishing the above, the Firm uses different types of credit derivatives. Following is a summary of various types of credit derivatives. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Credit default swaps</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">Credit derivatives may reference the credit of either a single reference entity (“single-name”) or a broad-based index, as described further below. The Firm purchases and sells protection on both single- name and index-reference obligations. Single-name CDS and index CDS contracts are both OTC derivative contracts. Single-name CDS are used to manage the default risk of a single reference entity, while CDS index are used to manage credit risk associated with the broader credit markets or credit market segments. Like the S&P 500 and other market indices, a CDS index is comprised of a portfolio of CDS across many reference entities. New series of CDS indices are established approximately every six months with a new underlying portfolio of reference entities to reflect changes in the credit markets. If one of the reference entities in the index experiences a credit event, then the reference entity that defaulted is removed from the index. CDS can also be referenced against specific portfolios of reference names or against customized exposure levels based on specific client demands: for example, to provide protection against the first $1 million of realized credit losses in a $10 million portfolio of exposure. Such structures are commonly known as tranche CDS. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For both single-name CDS contracts and index CDS, upon the occurrence of a credit event, under the terms of a CDS contract neither party to the CDS contract has recourse to the reference entity. The protection purchaser has recourse to the protection seller for the difference between the face value of the CDS contract and the fair value of the reference obligation at the time of settling the credit derivative contract, also known as the recovery value. The protection purchaser does not need to hold the debt instrument of the underlying reference entity in order to receive amounts due under the CDS contract when a credit event occurs. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Credit-linked notes</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">A credit linked note (“CLN”) is a funded credit derivative where the issuer of the CLN purchases credit protection on a referenced entity from the note investor. Under the contract, the investor pays the issuer par value of the note at the inception of the transaction, and in return, the issuer pays periodic payments to the investor, based on the credit risk of the referenced entity. The issuer also repays the investor the par value of the note at maturity unless the reference entity experiences a specified credit event. In that event, the issuer is not obligated to repay the par value of the note, but rather, the issuer pays the investor the difference between the par value of the note and the fair value of the defaulted reference obligation at the time of settlement. Neither party to the CLN has recourse to the defaulting reference entity. For a further discussion of CLNs, see Note 16 on pages 206–214 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents a summary of the notional amounts of credit derivatives and credit-linked notes the Firm sold and purchased as of December 31, 2009 and 2008. Upon a credit event, the Firm as seller of protection would typically pay out only a percentage of the full notional amount of net protection sold, as the amount actually required to be paid on the contracts takes into account the recovery value of the reference obligation at the time of settlement. The Firm manages the credit risk on contracts to sell protection by purchasing protection with identical or similar underlying reference entities. As such, other purchased protection referenced in the following table includes credit derivatives bought on related, but not identical, reference positions; these include indices, and portfolio coverage. The Firm does not use notional amounts as the primary measure of risk management for credit derivatives, because notional amounts do not take into account the probability of the occurrence of a credit event, recovery value of the reference obligation, or related cash instruments and economic hedges. </div> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Total credit derivatives and credit-linked notes</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="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="14" style="border-bottom: 1px solid #000000">Maximum payout/Notional amount</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> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Protection purchased with</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Other protection</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">Protection sold</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">identical underlyings<sup>(b)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Net protection (sold)/purchased<sup>(c)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">purchased<sup>(d)</sup></td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Credit derivatives</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Credit default swaps </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(2,937,442</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">2,978,044</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">40,602</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">28,064</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:30px; text-indent:-15px">Other credit derivatives<sup>(a)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(10,575</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">9,290</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,285</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">30,473</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total credit derivatives</b> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,948,017</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">2,987,334</td> <td> </td> <td> </td> <td> </td> <td align="right">39,317</td> <td> </td> <td> </td> <td> </td> <td align="right">58,537</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-linked notes </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(4,031</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(4,031</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">1,728</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(2,952,048</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">2,987,334</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">35,286</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">60,265</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 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="14" style="border-bottom: 1px solid #000000">Maximum payout/Notional amount</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Protection purchased with</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Other protection</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">Protection sold</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">identical underlyings<sup>(b)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Net protection (sold)/purchased<sup>(c)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">purchased<sup>(d)</sup></td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Credit derivatives</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Credit default swaps </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(4,099,141</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">3,973,616</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(125,525</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">288,751</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:30px; text-indent:-15px">Other credit derivatives<sup>(a)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"> (4,026</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right"> —</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(4,026</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">22,344 </td> <td nowrap="nowrap"><sup> </sup></td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total credit derivatives</b> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(4,103,167</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">3,973,616</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"> (129,551</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">311,095</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-linked notes </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(4,080</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(4,080</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">2,373</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(4,107,247</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">3,973,616</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right"> (133,631</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">313,468</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="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 consists of total return swaps and credit default swap options.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>Represents single-name and index CDS protection the Firm purchased.</td> </tr> </table> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the notional and fair value amounts of credit derivatives and credit-linked notes as of December 31, 2009, and 2008, where JPMorgan Chase is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of protection purchased are comparable to the profile reflected below. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Protection sold – credit derivatives and credit-linked notes ratings</b><sup style="font-size: 85%; vertical-align: text-top"><sup>(a)</sup></sup><b>/maturity profile</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="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 nowrap="nowrap" align="center" colspan="2">Total</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"><1 year</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">1–5 years</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">>5 years</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">notional amount</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair value<sup>(b)</sup></td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Risk rating of reference entity </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Investment-grade (AAA/Aaa to BBB-/Baa3) </div></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(215,580</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(1,140,133</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(367,015</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(1,722,728</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(16,607</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:30px; text-indent:-15px">Noninvestment-grade (BB+/Ba1 and below) </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(150,122</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(806,139</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(273,059</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1,229,320</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(90,410</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(365,702</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(1,946,272</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(640,074</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(2,952,048</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(107,017</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <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> <td align="left" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="bottom"></td> </tr> </table>   </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="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 nowrap="nowrap" align="center" colspan="2">Total</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"><1 year</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">1–5 years</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">>5 years</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">notional amount</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair value<sup>(b)</sup></td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Risk rating of reference entity </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Investment-grade (AAA/Aaa to BBB-/Baa3) </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(179,379</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,743,283</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(701,775</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(2,624,437</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(222,318</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:30px; text-indent:-15px">Noninvestment-grade (BB+/Ba1 and below) </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(118,734</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(950,619</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(413,457</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,482,810</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(253,326</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(298,113</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(2,693,902</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,115,232</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(4,107,247</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(475,644</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="21" align="left" style="border-top: 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>Ratings scale is based on the Firm’s internal ratings, which generally correspond to ratings defined by S&P and Moody’s.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral held by the Firm.</td> </tr> </table> <div style="position: relative"> </div> </div>  <!-- Begin Block Tagged Note false false No definition available. 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