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1.0.0.3 false Loan securitizations 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 Loan securitizations [Abstract] 0 jpm_LoanSecuritizationsAbstract jpm false na duration string Loan Securitizations Abstract. false false false false false true false false false 1 false false 0 0 false false Loan Securitizations Abstract. false 3 Loan securitizations 1 jpm_TransfersOfFinancialAssetsTextBlock jpm false na duration string Provides the disclosures pertaining to accounting and reporting of transfers of financial assets, interests continued to be... 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 15 – Loan securitizations</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase securitizes and sells a variety of loans, including residential mortgage, credit card, automobile, student, and commercial loans (primarily related to real estate). JPMorgan Chase-sponsored securitizations utilize SPEs as part of the securitization process. These SPEs are structured to meet the definition of a QSPE (as discussed in Note 1 on page 142 of this Annual Report); accordingly, the assets and liabilities of securitization-related QSPEs are not reflected on the Firm’s Consolidated Balance Sheets (except for retained interests, as described below). The primary purpose of these securitization vehicles is to meet investor needs and to generate liquidity for the Firm through the sale of loans to the QSPEs. These QSPEs are financed through the issuance of fixed- or floating-rate asset-backed securities. See Note 16 on pages 213-214 for further information on the new accounting guidance, effective January 1, 2010, which eliminates the concept of QSPEs and revises the criteria for the consolidation of VIEs. </div> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm records a loan securitization as a sale when the accounting criteria for a sale are met. Those criteria are: (1) the transferred assets are legally isolated from the Firm’s creditors; (2) the entity can pledge or exchange the financial assets, or if the entity is a QSPE, its investors can pledge or exchange their interests; and (3) the Firm does not maintain effective control to repurchase the transferred assets before their maturity, or have the ability to unilaterally cause the holder to return the transferred assets. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For loan securitizations that meet the accounting sales criteria, the gains or losses recorded depend, in part, on the carrying amount of the loans sold except for servicing assets which are initially recorded at fair value. At the time of sale, any retained servicing asset is initially recognized at fair value. The remaining carrying amount of the loans sold is allocated between the loans sold and the other interests retained, based on their relative fair values on the date of sale. Gains on securitizations are reported in noninterest revenue. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">When quoted market prices are not available, the Firm estimates the fair value for these retained interests by calculating the present value of future expected cash flows using modeling techniques. Such models incorporate management’s best estimates of key variables, such as expected credit losses, prepayment speeds and the discount rates appropriate for the risks involved. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm may retain interests in the securitized loans in the form of undivided seller’s interest, senior or subordinated interest-only strips, debt and equity tranches, escrow accounts and servicing rights. The classification of retained interests is dependent upon several factors, including the type of interest, whether or not the retained interest is represented by a security certificate and when it was retained. Interests retained by IB are classified as trading assets. See credit card securitizations and mortgage securitizations sections of this Note for further information on the classification of their related retained interests. Retained interests classified as AFS that are rated below “AA” by an external rating agency are subject to impairment evaluations, as discussed in Note 11 on page 189 of this Annual Report. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="8%"></td> <td width="5%"></td> <td width="87%"></td> </tr>   <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px"> </div> </td> <td></td> <td align="right" valign="bottom"> <font style="white-space: nowrap"> </font> </td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the total unpaid principal amount of assets held in JPMorgan Chase-sponsored securitization entities, for which sale accounting was achieved and to which the Firm has continuing involvement, at December 31, 2009 and 2008. Continuing involvement includes servicing the loans, holding senior or subordinated interests acquired at the time of securitization, recourse or guarantee arrangements and derivative transactions. In certain instances, the Firm’s only continuing involvement is servicing the loans. In the table below, the amount of beneficial interests held by third parties and the total retained interests held by JPMorgan Chase will not equal the assets held in QSPEs because the beneficial interests held by third party are reflected at their current outstanding par amounts and a portion of the Firm’s retained interests (trading assets, AFS securities and other assets) are reflected at their fair value. </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="23%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </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">Principal amount outstanding</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="18" style="border-bottom: 1px solid #000000">JPMorgan Chase interests in securitized assets<sup style="font-size: 85%; vertical-align: text-top">(e)(f)(g)(h)</sup></td> <td> </td> </tr> <tr> <td align="left" valign="top"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <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> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </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"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets held</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Assets held</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total retained</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">by Firm-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">in QSPEs</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">interests held</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">sponsored</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">with continuing</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">AFS</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Other</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">by JPMorgan</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">QSPEs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">involvement</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">securities</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Loans</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets<sup style="font-size: 85%; vertical-align: text-top">(i)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Chase</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Securitization related:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Credit card </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>109.6</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>109.6</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>15.5</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>16.7</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>11.6</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>43.9</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Residential mortgage: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Prime<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>183.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>171.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.1</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right"><b>50.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>47.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right"><b>42.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>42.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Commercial and other<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>155.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>24.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.4</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right"><b>1.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Auto </div></td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b><sup style="font-size: 85%; vertical-align: text-top">(c)</sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>541.4</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>396.4</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2.6</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>16.6</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>16.7</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>11.7</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>47.6</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 2px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="23%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </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">Principal amount outstanding</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="18" style="border-bottom: 1px solid #000000">JPMorgan Chase interests in securitized assets<sup style="font-size: 85%; vertical-align: text-top">(e)(f)(g)(h)</sup></td> <td> </td> </tr> <tr> <td align="left" valign="top"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total retained</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets held</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Assets held</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">interests</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">by Firm-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">in QSPEs</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">held by</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">sponsored</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">with continuing</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">AFS</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Other</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">JPMorgan</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">QSPEs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">involvement</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">securities</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Loans</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets<sup style="font-size: 85%; vertical-align: text-top">(i)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Chase</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Securitization related:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Credit card </div></td> <td> </td> <td align="left">$</td> <td align="right">121.6</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">121.6</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td align="left">$</td> <td align="right">0.5</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">5.6</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">33.3</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">5.6</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">45.0</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Residential mortgage: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Prime<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right">233.9</td> <td> </td> <td> </td> <td> </td> <td align="right">212.3</td> <td> </td> <td> </td> <td> </td> <td align="right">1.7</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2.4</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right">61.0</td> <td> </td> <td> </td> <td> </td> <td align="right">58.6</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:45px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right">48.3</td> <td> </td> <td> </td> <td> </td> <td align="right">48.3</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Commercial and other<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right">174.1</td> <td> </td> <td> </td> <td> </td> <td align="right">45.7</td> <td> </td> <td> </td> <td> </td> <td align="right">2.0</td> <td> </td> <td> </td> <td> </td> <td align="right">0.5</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2.5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Auto </div></td> <td> </td> <td> </td> <td align="right">0.8</td> <td> </td> <td> </td> <td> </td> <td align="right">0.8</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b><sup style="font-size: 85%; vertical-align: text-top">(c)</sup> </div></td> <td> </td> <td align="left">$</td> <td align="right">640.8</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">488.4</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">4.3</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">7.2</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">33.3</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">5.7</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">50.5</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 2px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <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 Alt-A loans.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Consists of securities backed by commercial loans (predominantly real estate) and non-mortgage-related consumer receivables purchased from third parties. The Firm generally does not retain a residual interest in its sponsored commercial mortgage securitization transactions. Also, includes co-sponsored commercial securitizations and, therefore, includes non–JPMorgan Chase–originated commercial mortgage loans.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Includes securitized loans where the Firm owns less than a majority of the subordinated or residual interests in the securitizations.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>Includes credit card loans, accrued interest and fees, and cash amounts on deposit.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(e)</td> <td> </td> <td>Excludes retained servicing (for a discussion of MSRs, see Note 17 on pages 214–217 of this Annual Report).</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(f)</td> <td> </td> <td>Excludes senior and subordinated securities of $875 million and $974 million at December 31, 2009 and 2008, respectively, which the Firm purchased in connection with IB’s secondary market-making activities.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(g)</td> <td> </td> <td>Includes investments acquired in the secondary market, predominantly for held-for-investment purposes, of $2.0 billion and $1.8 billion as of December 31, 2009 and 2008, respectively. This is comprised of $1.8 billion and $1.4 billion of investments classified as available-for-sale, including $1.7 billion and $172 million in credit cards, zero and $693 million of residential mortgages, and $91 million and $495 million of commercial and other; and $152 million and $452 million of investments classified as trading, including $104 million and $112 million of credit cards, $47 million and $303 million of residential mortgages, and $1 million and $37 million of commercial and other, all at December 31, 2009 and 2008, respectively.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(h)</td> <td> </td> <td>Excludes interest rate and foreign exchange derivatives primarily used to manage the interest rate and foreign exchange risks of the securitization entities. See Note 5 on pages 167–175 of this Annual Report for further information on derivatives.</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(i)</td> <td> </td> <td>Certain of the Firm’s retained interests are reflected at their fair values.</td> </tr> </table> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="92%"></td> <td width="5%"></td> <td width="1%"></td> <td width="1%"></td> <td width="1%"></td> </tr>   <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px"> <font style="white-space: nowrap"> </font> </div> </td> <td></td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td align="right" valign="bottom"></td> <td nowrap="nowrap" valign="bottom"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Securitization activity by major product type</b> </div> <div align="left" style="font-size: 10pt">The following discussion describes the nature of the Firm’s securitization activities by major product type. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Credit Card Securitizations</i> </div> <div align="left" style="font-size: 10pt">The Card Services (“CS”) business securitizes originated and purchased credit card loans, primarily through the Chase Issuance Trust (the “Trust”). In connection with the Washington Mutual transaction, the Firm acquired the seller’s interest in the Washington Mutual Master Trust (the “WMM Trust”) and also became its sponsor. The Firm’s primary continuing involvement in credit card securitizations includes servicing the receivables, retaining an undivided seller’s interest in the receivables, retaining certain senior and subordinated securities and the maintenance of escrow accounts. CS maintains servicing responsibilities for all credit card securitizations that it sponsors. As servicer and transferor, the Firm receives contractual servicing fees based on the securitized loan balance plus excess servicing fees, which are recorded in credit card income as discussed in Note 6 on page 176 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><i>Actions taken in the second quarter of 2009 </i></u> </div> <div align="left" style="font-size: 10pt">During the quarter ended June 30, 2009, the overall performance of the Firm’s credit card securitization trusts declined, primarily due to the increase in credit losses incurred on the underlying credit card receivables. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Chase Issuance Trust: The Chase Issuance Trust (the Firm’s primary issuance trust), which holds prime quality credit card receivables, maintained positive excess spread, a key metric for evaluating the performance of a card trust, through the first six months of 2009. In spite of this positive excess spread, the Firm took certain actions, as permitted by the Trust agreements, in the second quarter of 2009 to enhance the performance of the Trust due to continuing market uncertainty concerning projected credit costs in the credit card industry, and to mitigate any further deterioration in the performance of the Trust. On May 12, 2009, the Firm increased the required credit enhancement level for each tranche of outstanding notes issued by the Trust, by increasing the minimum required amount of subordinated notes and the funding requirements for the Trust’s cash escrow accounts. On June 1, 2009, the Firm began designating as “discount receivables” a percentage of new credit card receivables for inclusion in the Trust, thereby requiring collections of such discounted receivables to be applied as finance charge collections in the Trust, which increased the excess spread for the Trust. The Firm expects to discontinue designating a percentage of new receivables as discount receivables on July 1, 2010. Also, during the second quarter of 2009, the Firm exchanged $3.5 billion of its undivided seller’s interest in the Trust for $3.5 billion par value of zero-coupon subordinated securities issued by the Trust and retained by the Firm. The issuance of the zero-coupon securities by the Trust also increased the excess spread for the Trust. These actions resulted in the addition of approximately $40 billion of risk-weighted assets for regulatory capital purposes, which decreased the Firm’s Tier 1 capital ratio by approximately 40 basis points, but did not have a material impact on the Firm’s Consolidated Balance Sheets or results of operations. </div> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">WMM Trust: At the time of the acquisition of the Washington Mutual banking operations, the assets of the WMM Trust were comprised of Washington Mutual subprime credit card receivables. The quality of the assets in the WMM Trust was much lower than the quality of the credit card receivables that JPMorgan Chase has historically securitized in the public markets. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In order to more closely conform the WMM Trust to the overall quality typical of a JPMorgan Chase–sponsored credit card securitization master trust, during the fourth quarter of 2008 the Firm randomly removed $6.2 billion of credit card loans held by the WMM Trust and replaced them with $5.8 billion of higher-quality receivables from the Firm’s portfolio. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">However, as a result of continued deterioration during 2009 in the credit quality of the remaining Washington Mutual–originated assets in the WMM Trust, the performance of the portfolio indicated that an early amortization event was likely to occur unless additional actions were taken. On May 15, 2009, JPMorgan Chase, as seller and servicer, and the Bank of New York Mellon, as trustee, amended the pooling and servicing agreement to permit non-random removals of credit card accounts. On May 19, 2009, the Firm removed all remaining credit card receivables originated by Washington Mutual. Following this removal, the WMM Trust collateral was entirely composed of receivables originated by JPMorgan Chase. As a result of the actions taken by the Firm, the assets and liabilities of the WMM Trust were consolidated on the balance sheet of JPMorgan Chase; as a result, during the second quarter of 2009, the Firm recorded additional assets with an initial fair value of $6.0 billion, liabilities with an initial fair value of $6.1 billion, and a pretax loss of approximately $64 million. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><i>Retained interests in nonconsolidated credit card securitizations </i></u> </div> <div align="left" style="font-size: 10pt">The following is a description of the Firm’s retained interests in credit card securitizations that were not consolidated at the dates presented. Accordingly, the Firm’s retained interests in the WMM Trust are included in the amounts reported at December 31, 2008, but no longer included at December 31, 2009, due to the second quarter actions noted above. For further information regarding the WMM Trust assets and liabilities, see Note 16 on pages 206–214 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The agreements with the credit card securitization trusts require the Firm to maintain a minimum undivided interest in the trusts (which generally ranges from 4% to 12%). These undivided interests in the trusts represent the Firm’s undivided interests in the receivables transferred to the trust that have not been securitized; these undivided interests are not represented by security certificates, are carried at historical cost, and are classified within loans. At December 31, 2009 and 2008, the Firm had $16.7 billion and $33.3 billion, respectively, related to its undivided interests in the trusts. The Firm maintained an average undivided interest in principal receivables in the trusts of approximately 16% and 22% for the years ended December 31, 2009 and 2008, respectively. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="8%"></td> <td width="5%"></td> <td width="87%"></td> </tr>   <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px"> </div> </td> <td></td> <td align="right" valign="bottom"> <font style="white-space: nowrap"> </font> </td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm retained a subordinated interest in accrued interest and fees on the securitized receivables totaling $3.2 billion and $3.0 billion as of December 31, 2009 and 2008, respectively, which is reported at fair value in other assets. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm retained subordinated securities in its credit card securitization trusts with aggregate fair values of $6.6 billion and $2.3 billion at December 31, 2009 and 2008, respectively, and senior securities with aggregate fair values of $7.2 billion and $3.5 billion at December 31, 2009 and 2008, respectively. Of the securities retained, $13.8 billion and $5.4 billion were classified as AFS securities at December 31, 2009 and 2008, respectively. The senior AFS securities were used by the Firm as collateral for a secured financing transaction. The retained subordinated interests that were acquired in the Washington Mutual transaction and classified as trading assets had a carrying value of $389 million on December 31, 2008. These retained subordinated interests were subsequently repaid or valued at zero before the Firm consolidated the WMM Trust in the second quarter of 2009, as discussed above. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm also maintains escrow accounts up to predetermined limits for some credit card securitizations to cover deficiencies in cash flows owed to investors. The amounts available in such escrow accounts related to credit cards are recorded in other assets and amounted to $1.0 billion and $74 million as of December 31, 2009 and 2008, respectively. The increase in the balance of these escrow accounts primarily relates to the Trust actions described above that the Firm took on May 12, 2009. JPMorgan Chase has also recorded $854 million representing receivables that have been transferred to the Trust and designated as “discount receivables.” All of these residual interests are reported at fair value in other assets. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Mortgage Securitizations</i> </div> <div align="left" style="font-size: 10pt">The Firm securitizes originated and purchased residential mortgages and originated commercial mortgages. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">RFS securitizes residential mortgage loans that it originates and purchases and it generally retains servicing for all of its originated and purchased residential mortgage loans and certain commercial mortgage loans. Additionally, RFS may retain servicing for certain mortgage loans purchased by IB. As servicer, the Firm receives servicing fees based on the securitized loan balance plus ancillary fees. In a limited number of securitizations, RFS may retain an interest in addition to servicing rights. The amount of interest retained related to these securitizations totaled $537 million and $939 million at December 31, 2009 and 2008, respectively. These retained interests are accounted for as trading or AFS securities (if represented by a security certificate) or other assets (if not represented by a security certificate). </div> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">IB securitizes residential mortgage loans (including those that it purchased and certain mortgage loans originated by RFS), and commercial mortgage loans that it originated. Residential loans securitized by IB are often serviced by RFS. Upon securitization, IB may engage in underwriting and trading activities of the securities issued by the securitization trust. IB may retain unsold senior and/or subordinated interests (including residual interests) in both residential and commercial mortgage securitizations at the time of securitization. These retained interests are accounted for at fair value and classified as trading assets. The amount of residual interests retained was $24 million and $155 million at December 31, 2009 and 2008, respectively. Additionally, IB retained $2.3 billion and $2.8 billion of senior and subordinated interests as of December 31, 2009 and 2008, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the amounts reported in the securitization activity tables below, the Firm sold residential mortgage loans totaling $147.9 billion, $122.0 billion and $81.8 billion during the years ended December 31, 2009, 2008 and 2007, respectively. The majority of these loan sales were for securitization by Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”). The Firm retains the right to service these loans and they are serviced in accordance with the agency’s servicing guidelines and standards. These sales resulted in pretax gains of $92 million, $32 million and $47 million, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a limited number of loan sales, the Firm is obligated to share up to 100% of the credit risk associated with the sold loans with the purchaser. See Note 31 on page 233 of this Annual Report for additional information on loans sold with recourse and other securitization related indemnifications. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Other Securitizations</i> </div> <div align="left" style="font-size: 10pt">The Firm also securitizes automobile and student loans originated by RFS and purchased consumer loans (including automobile and student loans). The Firm retains servicing responsibilities for all originated and certain purchased student and automobile loans. It may also hold a retained interest in these securitizations; such residual interests are classified as other assets. At December 31, 2009 and 2008, the Firm held $9 million and $37 million, respectively, of retained interests in securitized automobile loan securitizations and $49 million and $52 million, respectively, of residual interests in securitized student loans. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="92%"></td> <td width="5%"></td> <td width="1%"></td> <td width="1%"></td> <td width="1%"></td> </tr>   <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px"> </div> </td> <td></td> <td nowrap="nowrap" align="right" valign="bottom"></td> <td align="right" valign="bottom"></td> <td nowrap="nowrap" valign="bottom"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Securitization activity</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The following tables provide information related to the Firm’s securitization activities for the years ended December 31, 2009, 2008 and 2007. For the periods presented, there were no cash flows from the Firm to the QSPEs related to recourse or guarantee arrangements. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="31%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </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 December 31, 2009</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Residential mortgage<sup style="font-size: 85%; vertical-align: text-top">(g)</sup></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> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except for ratios and where</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Option</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Commercial</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Student</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">otherwise noted)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Credit card</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Prime<sup style="font-size: 85%; vertical-align: text-top">(h)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Subprime</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">ARMs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">and other</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">loans</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Auto</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Principal securitized </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>26,538</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>—</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>500</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>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Pretax gains </div></td> <td> </td> <td> </td> <td align="right"><b>22</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>—</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top"><b>(i)</b></sup></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>All cash flows during the period:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from new securitizations </div></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>26,538</b></td> <td nowrap="nowrap"><b><sup style="font-size: 85%; vertical-align: text-top">(e)(f)</sup></b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>542</b></td> <td nowrap="nowrap"><b><sup style="font-size: 85%; vertical-align: text-top">(e)</sup></b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Servicing fees collected </div></td> <td> </td> <td> </td> <td align="right"><b>1,251</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>432</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>185</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>494</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>11</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other cash flows received<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>5,000</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from collections reinvested in revolving securitizations </div></td> <td> </td> <td> </td> <td align="right"><b>161,428</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Purchases of previously transferred financial assets (or the underlying collateral)<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>136</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>29</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>249</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Cash flows received on the interests that continue to be held by the Firm<sup style="font-size: 85%; vertical-align: text-top">(c)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>261</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>475</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>38</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>109</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td colspan="29" align="left"><b>Key assumptions used to measure retained interests originated during the year (rates per annum):</b></td> </tr> <tr valign="bottom" style="line-height: 4pt"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Prepayment rate<sup style="font-size: 85%; vertical-align: text-top">(d)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>16.7</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>100</b></td> <td nowrap="nowrap"><b>%</b><sup style="font-size: 85%; vertical-align: text-top"><b>(j)</b></sup></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td colspan="2" align="center"><b>PPR</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td colspan="2" align="center"><b> CPY</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average life (in years) </div></td> <td> </td> <td> </td> <td align="right"><b>0.5</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9.0</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Expected credit losses </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>8.9</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>—</b></td> <td nowrap="nowrap"><b>%<sup style="font-size: 85%; vertical-align: text-top">(j)</sup></b></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">Discount rate </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>16.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>10.7</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="31%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="3%"> </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, 2008</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Residential mortgage<sup style="font-size: 85%; vertical-align: text-top">(g)</sup></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> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except for ratios and where</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Option</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Commercial</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Student</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">otherwise noted)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Credit card</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Prime<sup style="font-size: 85%; vertical-align: text-top">(h)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Subprime</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">ARMs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">and other</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">loans</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Auto</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Principal securitized </div></td> <td> </td> <td align="left">$</td> <td align="right">21,390</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,023</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Pretax gains </div></td> <td> </td> <td> </td> <td align="right">151</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>All cash flows during the period:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from new securitizations </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">21,389</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">989</td> <td><sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Servicing fees collected </div></td> <td> </td> <td> </td> <td align="right">1,162</td> <td> </td> <td> </td> <td> </td> <td align="right">279</td> <td> </td> <td> </td> <td> </td> <td align="right">146</td> <td> </td> <td> </td> <td> </td> <td align="right">129</td> <td> </td> <td> </td> <td> </td> <td align="right">11</td> <td> </td> <td> </td> <td> </td> <td align="right">4</td> <td> </td> <td> </td> <td> </td> <td align="right">15</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other cash flows received<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right">4,985</td> <td> </td> <td> </td> <td> </td> <td align="right">23</td> <td> </td> <td> </td> <td> </td> <td align="right">16</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from collections reinvested in revolving securitizations </div></td> <td> </td> <td> </td> <td align="right">152,399</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Purchases of previously transferred financial assets (or the underlying collateral)<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">217</td> <td> </td> <td> </td> <td> </td> <td align="right">13</td> <td> </td> <td> </td> <td> </td> <td align="right">6</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">359</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Cash flows received on the interests that continue to be held by the Firm<sup style="font-size: 85%; vertical-align: text-top">(c)</sup> </div></td> <td> </td> <td> </td> <td align="right">117</td> <td> </td> <td> </td> <td> </td> <td align="right">267</td> <td> </td> <td> </td> <td> </td> <td align="right">23</td> <td> </td> <td> </td> <td> </td> <td align="right">53</td> <td> </td> <td> </td> <td> </td> <td align="right">455</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">43</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td colspan="29" align="left"><b>Key assumptions used to measure retained interests originated during the year (rates per annum):</b></td> </tr> <tr valign="bottom" style="line-height: 4pt"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Prepayment rate<sup style="font-size: 85%; vertical-align: text-top">(d)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">19.1</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">1.5</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td colspan="2" align="right">PPR</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td colspan="2" align="right">CPR</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average life (in years) </div></td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">2.1</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Expected credit losses </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">4.6</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">1.5</td> <td nowrap="nowrap">%<sup style="font-size: 85%; vertical-align: text-top">(k)</sup></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">Discount rate </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">12.5</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">25.0</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom" style="line-height: 6pt">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="23%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="4%"> </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, 2007</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Residential mortgage</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> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except for ratios and where</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Option</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Commercial</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Student</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">otherwise noted)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Credit card</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Prime<sup style="font-size: 85%; vertical-align: text-top">(h)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Subprime</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">ARMs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">and other</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">loans</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Auto</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Principal securitized </div></td> <td> </td> <td align="left">$</td> <td align="right">21,160</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">32,084</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">6,763</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">12,797</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,168</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Pretax gains </div></td> <td> </td> <td> </td> <td align="right">177</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">28</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(i)</sup></td> <td> </td> <td> </td> <td align="right">43</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">51</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>All cash flows during the period:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from new securitizations </div></td> <td> </td> <td align="left">$</td> <td align="right">21,160</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">31,791</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">6,844</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">13,038</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,168</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Servicing fees collected </div></td> <td> </td> <td> </td> <td align="right">1,005</td> <td> </td> <td> </td> <td> </td> <td align="right">124</td> <td> </td> <td> </td> <td> </td> <td align="right">246</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">7</td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right">36</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other cash flows received<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right">4,963</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Proceeds from collections reinvested in revolving securitizations </div></td> <td> </td> <td> </td> <td align="right">148,946</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Purchases of previously transferred financial assets (or the underlying collateral)<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">58</td> <td> </td> <td> </td> <td> </td> <td align="right">598</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">431</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Cash flows received on the interests that continue to be held by the <br /> Firm<sup style="font-size: 85%; vertical-align: text-top">(c)</sup> </div></td> <td> </td> <td> </td> <td align="right">18</td> <td> </td> <td> </td> <td> </td> <td align="right">140</td> <td> </td> <td> </td> <td> </td> <td align="right">278</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">256</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">89</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td colspan="29" align="left"><b>Key assumptions used to measure retained interests originated during the year (rates per annum):</b></td> </tr> <tr valign="bottom" style="line-height: 4pt"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Prepayment rate<sup style="font-size: 85%; vertical-align: text-top">(d)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">20.4</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td nowrap="nowrap" align="right">13.7-37.2</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td nowrap="nowrap" align="right">30.0-48.0</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td nowrap="nowrap" align="right">0.0-8.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td nowrap="nowrap" align="right">1.0-8.0</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">  </div></td> <td> </td> <td colspan="2" align="right">PPR</td> <td> </td> <td> </td> <td colspan="2" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" align="right">CPR</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td colspan="2" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" align="right">CPR</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average life (in years) </div></td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">1.3-5.4</td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">2.3-2.8</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right">1.3-10.2</td> <td> </td> <td> </td> <td> </td> <td align="right">9.3</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Expected credit losses </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">3.7</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td nowrap="nowrap" align="right">0.0-1.6</td> <td nowrap="nowrap">%<sup style="font-size: 85%; vertical-align: text-top">(k)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td nowrap="nowrap" align="right">1.2-2.2</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td nowrap="nowrap" align="right">0.0-1.0</td> <td nowrap="nowrap">%<sup style="font-size: 85%; vertical-align: text-top">(k)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">—</td> <td nowrap="nowrap">%<sup style="font-size: 85%; vertical-align: text-top">(k)</sup></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">Discount rate </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">12.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td nowrap="nowrap" align="right">5.8-20.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td nowrap="nowrap" align="right">12.1-26.7</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td nowrap="nowrap" align="right">10.0-14.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">9.0</td> <td nowrap="nowrap">%</td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 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 excess servicing fees and other ancillary fees received.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Includes cash paid by the Firm to reacquire assets from the QSPEs – for example, servicer clean-up calls.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Includes cash flows received on retained interests including – for example, principal repayments, and interest payments.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>PPR: principal payment rate; CPR: constant prepayment rate; CPY: constant prepayment yield.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(e)</td> <td> </td> <td>Includes $12.8 billion and $5.5 billion of securities in credit cards; and $47 million and zero of securities in commercial and other; retained by the Firm for the years ended December 31, 2009 and 2008, respectively.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(f)</td> <td> </td> <td>As required under the terms of the transaction documents, $1.6 billion of proceeds from new securitizations were deposited to cash escrow accounts during the year ended December 31, 2009.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(g)</td> <td> </td> <td>Includes securitizations sponsored by Bear Stearns and Washington Mutual as of their respective acquisition dates.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(h)</td> <td> </td> <td>Includes Alt-A loans.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(i)</td> <td> </td> <td>As of January 1, 2007, the Firm elected the fair value option for IB warehouse and the RFS prime mortgage warehouse. The carrying value of these loans accounted for at fair value approximates the proceeds received from securitization.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(j)</td> <td> </td> <td>Represents a senior interest-only security that is expected to prepay in full as soon as permitted, as such there is no expected credit loss on this security. Market convention is to utilize a 100% prepayment rate for this type of interest.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(k)</td> <td> </td> <td>Expected credit losses for consumer prime residential mortgage, and student and certain other securitizations are incorporated into other assumptions.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>JPMorgan Chase’s interest in securitized assets held at fair value</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The following table summarizes the Firm’s retained securitization interests, which are carried at fair value on the Firm’s Consolidated Balance Sheets. The risk ratings are periodically reassessed as information becomes available. As of December 31, 2009 and 2008, 59% and 55%, respectively, of the Firm’s retained securitization interests, which are carried at fair value, were risk rated “A” or better. </div> <div align="center"> <table style="font-size: 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">Ratings profile of interests held <sup style="font-size: 85%; vertical-align: text-top">(c)(d)(e)</sup></td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000"><b>2009</b><b></b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">2008</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>December 31, </b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Investment</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Noninvestment</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Retained</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Investment</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Noninvestment</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Retained</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">grade</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">grade</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">interests</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">grade</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">grade</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">interests</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">Asset types: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>15.6</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>5.0</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>20.6</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">5.8</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">3.8</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">9.6</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Residential mortgage: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Prime<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>0.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2.0</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">2.4</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:30px; text-indent:-15px">Subprime </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial and other </div></td> <td> </td> <td> </td> <td align="right"><b>2.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2.2</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">2.5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Auto </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>18.6</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>5.7</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>24.3</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">10.4</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">4.7</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">15.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 2px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <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 retained subordinated interests carried at fair value, including CS’s accrued interests and fees, escrow accounts, and other residual interests. Excludes at December 31, 2009 and 2008, undivided seller interest in the trusts of $16.7 billion and $33.3 billion, respectively, and unencumbered cash amounts and deposits of $6.6 billion and $2.1 billion, respectively, which are carried at historical cost.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Includes Alt-A loans.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>The ratings scale is presented on an S&P-equivalent basis.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>Includes $2.0 billion and $1.8 billion of investments acquired in the secondary market, but predominantly held for investment purposes, as of December 31, 2009 and 2008, respectively. Of these amounts, $2.0 billion and $1.7 billion were classified as investment-grade as of December 31, 2009 and 2008, respectively.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(e)</td> <td> </td> <td>Excludes senior and subordinated securities of $875 million and $1.0 billion at December 31, 2009 and 2008, respectively, which the Firm purchased in connection with IB’s secondary market-making activities.</td> </tr> </table> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom" style="line-height: 6pt">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The table below outlines the key economic assumptions used to determine the fair value as of December 31, 2009 and 2008, respectively, of the Firm’s retained interests, other than MSRs, that are valued using modeling techniques. The table below also outlines the sensitivities of those fair values to immediate 10% and 20% adverse changes in assumptions used to determine fair value. For a discussion of MSRs, see Note 17 on pages 215–216 of this Annual Report. </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="23%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>December 31, 2009</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Residential mortgage</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> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except rates, and where </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Option</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Commercial</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">otherwise noted)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Credit card</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Prime<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Subprime</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">ARMs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">and other</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Student</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Auto</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">JPMorgan Chase interests in securitized assets<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>4,016</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1,143</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>27</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>113</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2,361</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>51</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>9</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average life (in years) </div></td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average prepayment <br />rate<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>14.3</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>4.9</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>21.8</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>15.7</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>—</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>5.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>1.4</b></td> <td nowrap="nowrap"><b>%</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>PPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>CPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>CPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>CPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>CPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>CPR</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right"><b>ABS</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(15</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left: 15px; text-indent: -15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(31</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(3</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average loss assumption </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>6.8</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>3.2</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>2.7</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>0.7</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>1.4</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>—</b></td> <td nowrap="nowrap">%<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>0.8</b></td> <td nowrap="nowrap"><b>%</b></td> </tr> <tr valign="bottom"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(15</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(4</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(41</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> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(3</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(29</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(7</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(100</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average discount rate </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>12.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>11.4</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>23.2</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>5.4</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>12.5</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>9.0</b></td> <td nowrap="nowrap"><b>%</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>2.8</b></td> <td nowrap="nowrap"><b>%</b></td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(10</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(41</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(72</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(20</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(82</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(4</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(3</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(139</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>(4</b></td> <td nowrap="nowrap"><b>)</b></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="23%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="4%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="3%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2008</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Residential mortgage</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> <td> </td> <td nowrap="nowrap" align="center" colspan="2"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except rates, and where </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Option</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Commercial</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">otherwise noted)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Credit card</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Prime<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Subprime</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">ARMs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">and other</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Student</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Auto</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">JPMorgan Chase interests in securitized assets<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">3,463</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td align="left">$</td> <td align="right">1,420</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">77</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">436</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,966</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">55</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">40</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average life (in years) </div></td> <td> </td> <td> </td> <td align="right">0.5</td> <td> </td> <td> </td> <td> </td> <td align="right">5.3</td> <td> </td> <td> </td> <td> </td> <td align="right">1.5</td> <td> </td> <td> </td> <td> </td> <td align="right">7.3</td> <td> </td> <td> </td> <td> </td> <td align="right">3.5</td> <td> </td> <td> </td> <td> </td> <td align="right">8.2</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average prepayment<br />rate<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">16.6</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">17.7</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">25.1</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">7.6</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">0.7</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">5.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">1.3</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">  </div></td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">PPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">CPR</td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right">ABS</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(42</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(31</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(9</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(4</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(85</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(57</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(10</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(11</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average loss assumption </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">7.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">4.4</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">3.4</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">0.3</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">0.3</td> <td nowrap="nowrap">%<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">—</td> <td nowrap="nowrap">%<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">0.5</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(235</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(25</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(11</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(12</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(426</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(49</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(17</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(24</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Weighted-average discount rate </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">18.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">14.5</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">21.5</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">17.3</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">12.4</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">9.0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">4.1</td> <td nowrap="nowrap">%</td> </tr> <tr valign="bottom"> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Impact of 10% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(10</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(52</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(7</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(16</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(26</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(2</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Impact of 20% adverse change </div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(20</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(102</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(9</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(28</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(49</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(4</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 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>As of December 31, 2008, certain investments acquired in the secondary market but predominantly held for investment purposes are included.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>PPR: principal payment rate; ABS: absolute prepayment speed; CPR: constant prepayment rate.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Excludes the Firm’s retained senior and subordinated AFS securities in its credit card securitization trusts, which are discussed in Note 11 on pages 187–191 of this Annual Report.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>Includes Alt-A loans.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(e)</td> <td> </td> <td>Expected losses for student loans and certain wholesale securitizations are minimal and are incorporated into other assumptions.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The sensitivity analysis in the preceding table is hypothetical. Changes in fair value based on a 10% or 20% variation in assumptions generally cannot be extrapolated easily, because the relationship of the change in the assumptions to the change in fair value may not be linear. Also, in the table, the effect that a change in a particular assumption may have on the fair value is calculated without changing any other assumption. In reality, changes in one factor may result in changes in another, which might counteract or magnify the sensitivities. The above sensitivities also do not reflect the Firm’s risk management practices that may be undertaken to mitigate such risks. </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom" style="line-height: 6pt">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>  <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Loan delinquencies and net charge-offs</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The table below includes information about delinquencies, net charge-offs/(recoveries) and components of reported and securitized financial assets at 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="38%"> </td> <td width="3%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="3%"> </td> <td width="2%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="2%"> </td> <td width="3%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="2%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="2%"> </td> <td width="2%"> </td> <td width="2%"> </td> <td width="1%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6">90 days or more past</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6"> </td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"></td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Credit exposure</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Nonperforming loans<sup style="font-size: 85%; vertical-align: text-top">(h)(i)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">due and still accruing<sup style="font-size: 85%; vertical-align: text-top">(i)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Net loan charge-offs</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td align="left" colspan="2" nowrap="nowrap">Year ended December 31, (in millions)</td> <td nowrap="nowrap" align="center" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">2008</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="33" 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">Consumer loans – excluding purchased credit-impaired loans and loans held-for-sale: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <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">Home equity – senior lien </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>27,376</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">29,793</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>477</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">291</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>234</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">86</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Home equity – junior lien </div></td> <td> </td> <td> </td> <td align="right"><b>74,049</b></td> <td> </td> <td> </td> <td> </td> <td align="right">84,542</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,188</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,103</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,448</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,305</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Prime mortgage<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>66,892</b></td> <td> </td> <td> </td> <td> </td> <td align="right">72,266</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,355</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,895</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,894</b></td> <td> </td> <td> </td> <td> </td> <td align="right">526</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Subprime mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>12,526</b></td> <td> </td> <td> </td> <td> </td> <td align="right">15,330</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,248</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,690</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,648</b></td> <td> </td> <td> </td> <td> </td> <td align="right">933</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right"><b>8,536</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,018</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>312</b></td> <td> </td> <td> </td> <td> </td> <td align="right">10</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>63</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Auto loans </div></td> <td> </td> <td> </td> <td align="right"><b>46,031</b></td> <td> </td> <td> </td> <td> </td> <td align="right">42,603</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>177</b></td> <td> </td> <td> </td> <td> </td> <td align="right">148</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>627</b></td> <td> </td> <td> </td> <td> </td> <td align="right">568</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>78,786</b></td> <td> </td> <td> </td> <td> </td> <td align="right">104,746</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,481</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,649</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,634</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,556</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">All other loans </div></td> <td> </td> <td> </td> <td align="right"><b>31,700</b></td> <td> </td> <td> </td> <td> </td> <td align="right">33,715</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>900</b></td> <td> </td> <td> </td> <td> </td> <td align="right">430</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>542</b></td> <td> </td> <td> </td> <td> </td> <td align="right">463</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,285</b></td> <td> </td> <td> </td> <td> </td> <td align="right">459</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total consumer loans </div></td> <td> </td> <td> </td> <td align="right"><b>345,896</b></td> <td> </td> <td> </td> <td> </td> <td align="right">392,013</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,660</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,571</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,023</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,112</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19,833</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,433</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Consumer loans – purchased credit-impaired<sup style="font-size: 85%; vertical-align: text-top">(c)</sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Home equity </div></td> <td> </td> <td> </td> <td align="right"><b>26,520</b></td> <td> </td> <td> </td> <td> </td> <td align="right">28,555</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Prime mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>19,693</b></td> <td> </td> <td> </td> <td> </td> <td align="right">21,855</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Subprime mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>5,993</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,760</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right"><b>29,039</b></td> <td> </td> <td> </td> <td> </td> <td align="right">31,643</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total consumer loans – purchased credit-impaired<sup style="font-size: 85%; vertical-align: text-top">(c)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>81,245</b></td> <td> </td> <td> </td> <td> </td> <td align="right">88,813</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> <td> </td> <td colspan="2" align="right"><b>NA</b></td> <td> </td> <td> </td> <td colspan="2" align="right">NA</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" 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">Total consumer loans – retained </div></td> <td> </td> <td> </td> <td align="right"><b>427,141</b></td> <td> </td> <td> </td> <td> </td> <td align="right">480,826</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,660</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,571</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,023</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,112</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19,833</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,433</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans held-for-sale<sup style="font-size: 85%; vertical-align: text-top">(d)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>2,142</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2,028</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" 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">Total consumer loans – reported </div></td> <td> </td> <td> </td> <td align="right"><b>429,283</b></td> <td> </td> <td> </td> <td> </td> <td align="right">482,854</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,660</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,571</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,023</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,112</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19,833</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,433</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total wholesale loans </div></td> <td> </td> <td> </td> <td align="right"><b>204,175</b></td> <td> </td> <td> </td> <td> </td> <td align="right">262,044</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>6,904</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(j)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">2,382</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(j)</sup></td> <td> </td> <td> </td> <td align="right"><b>332</b></td> <td> </td> <td> </td> <td> </td> <td align="right">163</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3,132</b></td> <td> </td> <td> </td> <td> </td> <td align="right">402</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Total loans reported </div></td> <td> </td> <td> </td> <td align="right"><b>633,458</b></td> <td> </td> <td> </td> <td> </td> <td align="right">744,898</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>17,564</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8,953</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4,355</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,275</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>22,965</b></td> <td> </td> <td> </td> <td> </td> <td align="right">9,835</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Securitized loans: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <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">Residential mortgage: </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Prime mortgage<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>171,547</b></td> <td> </td> <td> </td> <td> </td> <td align="right">212,274</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>33,838</b></td> <td> </td> <td> </td> <td> </td> <td align="right">21,130</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>9,333</b></td> <td> </td> <td> </td> <td> </td> <td align="right">5,645</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:30px; text-indent:-15px">Subprime mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>47,261</b></td> <td> </td> <td> </td> <td> </td> <td align="right">58,607</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>19,505</b></td> <td> </td> <td> </td> <td> </td> <td align="right">13,301</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>7,123</b></td> <td> </td> <td> </td> <td> </td> <td align="right">4,797</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Option ARMs </div></td> <td> </td> <td> </td> <td align="right"><b>41,983</b></td> <td> </td> <td> </td> <td> </td> <td align="right">48,328</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>10,973</b></td> <td> </td> <td> </td> <td> </td> <td align="right">6,440</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,287</b></td> <td> </td> <td> </td> <td> </td> <td align="right">270</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Automobile </div></td> <td> </td> <td> </td> <td align="right"><b>218</b></td> <td> </td> <td> </td> <td> </td> <td align="right">791</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">2</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">15</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card </div></td> <td> </td> <td> </td> <td align="right"><b>84,626</b></td> <td> </td> <td> </td> <td> </td> <td align="right">85,571</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,385</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,802</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6,443</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3,612</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Student </div></td> <td> </td> <td> </td> <td align="right"><b>1,008</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,074</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>64</b></td> <td> </td> <td> </td> <td> </td> <td align="right">66</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial and other </div></td> <td> </td> <td> </td> <td align="right"><b>24,799</b></td> <td> </td> <td> </td> <td> </td> <td align="right">45,677</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1,244</b></td> <td> </td> <td> </td> <td> </td> <td align="right">166</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">28</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15</b></td> <td> </td> <td> </td> <td> </td> <td align="right">8</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Total loans securitized<sup style="font-size: 85%; vertical-align: text-top">(e)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>371,442</b></td> <td> </td> <td> </td> <td> </td> <td align="right">452,322</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>65,561</b></td> <td> </td> <td> </td> <td> </td> <td align="right">41,039</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2,449</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1,896</td> <td> </td> <td> </td> <td> </td> <td align="right"><b>25,206</b></td> <td> </td> <td> </td> <td> </td> <td align="right">14,348</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total loans reported and securitized<sup style="font-size: 85%; vertical-align: text-top">(f)</sup> </div></td> <td> </td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>1,004,900</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(g)</sup></td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">1,197,220</td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(g)</sup></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>83,125</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">49,992</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>6,804</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">5,171</td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>48,171</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">24,183</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 2px solid #000000"> </td> </tr>  </table> </div> <div style="margin-top: 3pt"> <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 Alt-A loans.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Includes billed finance charges and fees net of an allowance for uncollectible amounts, and $1.0 billion of loans at December 31, 2009, held by the Washington Mutual Master Trust, which were consolidated onto the Firm’s Consolidated Balance Sheets at fair value during the second quarter of 2009.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Purchased credit-impaired loans represent loans acquired in the Washington Mutual transaction for which a deterioration in credit quality occurred between the origination date and JPMorgan Chase’s acquisition date. These loans were initially recorded at fair value and accrete interest income over the estimated life of the loan when cash flows are reasonably estimable, even if the underlying loans are contractually past due. For additional information, see Note 13 on pages 192–196 of this Annual Report.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>Includes loans for prime mortgages and other (largely student loans) of $450 million and $1.7 billion at December 31, 2009, respectively, and $206 million and $1.8 billion at December 31, 2008, respectively.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(e)</td> <td> </td> <td>Total assets held in securitization-related SPEs were $541.4 billion and $640.8 billion at December 31, 2009 and 2008, respectively. The $371.4 billion and $452.3 billion of loans securitized at December 31, 2009 and 2008, respectively, excludes: $145.0 billion and $152.4 billion of securitized loans, in which the Firm has no continuing involvement; $16.7 billion and $33.3 billion of seller’s interests in credit card master trusts; and $8.3 billion and $2.8 billion of cash amounts on deposit and escrow accounts, all respectively.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(f)</td> <td> </td> <td>Represents both loans on the Consolidated Balance Sheets and loans that have been securitized.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(g)</td> <td> </td> <td>Includes securitized loans that were previously recorded at fair value and classified as trading assets.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(h)</td> <td> </td> <td>At December 31, 2009 and 2008, nonperforming loans excluded: (1) mortgage loans insured by U.S. government agencies of $9.0 billion and $3.0 billion, respectively; (2) student loans that were 90 days past due and still accruing, which are insured by U.S. government agencies under the Federal Family Education Loan Program, of $542 million and $437 million, respectively. These amounts are excluded, as reimbursement is proceeding normally. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance. Under guidance issued by the Federal Financial Institutions Examination Council, credit card loans are charged off by the end of the month in which the account becomes 180 days past due or within 60 days from receiving notification about a specified event (e.g., bankruptcy of the borrower), whichever is earlier.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(i)</td> <td> </td> <td>Excludes purchased credit-impaired loans that were acquired as part of the Washington Mutual transaction, which are accounted for on a pool basis. Since each pool is accounted for as a single asset with a single composite interest rate and an aggregate expectation of cash flows, the past due status of the pools, or that of individual loans within the pools, is not meaningful. Because the Firm is recognizing interest income on each pool of loans, they are all considered to be performing.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(j)</td> <td> </td> <td>Includes nonperforming loans held-for-sale and loans at fair value of $345 million and $32 million at December 31, 2009 and 2008, respectively.</td> </tr> </table> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom" style="line-height: 6pt">  <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr>  </table> </div>   </div>   <!-- Begin Block Tagged Note false false Provides the disclosures pertaining to accounting and reporting of transfers of financial assets, interests continued to be held by the transferor, including sensitivity analyses of fair value estimates. 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