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1.0.0.3 false Variable interest entities 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 Variable interest entities [Abstract] 0 jpm_VariableInterestEntitiesAbstract jpm false na duration string Variable Interest Entities. false false false false false true false false false 1 false false 0 0 false false Variable Interest Entities. false 3 Variable interest entities 1 us-gaap_ScheduleOfVariableInterestEntitiesTextBlock us-gaap true na duration string No definition available. false false false false false false false false false 1 false false 0 0   <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 12pt"><b>Note 16 – Variable interest entities</b> </div> <br style="font-size: 6pt" /> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">Refer to Note 1 on page 142 of this Annual Report for a further description of JPMorgan Chase’s policies regarding consolidation of variable interest entities. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase’s principal involvement with VIEs occurs in the following business segments: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Investment Bank: Utilizes VIEs to assist clients in accessing the financial markets in a cost-efficient manner. IB is involved with VIEs through multi-seller conduits and for investor intermediation purposes, as discussed below. IB also securitizes loans through QSPEs, to create asset-backed securities, as further discussed in Note 15 on pages 198-205 of this Annual Report.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Asset Management (“AM”): The legal entity structures for a limited number of funds sponsored and managed by asset management include certain entities within the structure which are deemed VIEs. As asset manager of the funds, AM earns a fee based on assets managed; the fee varies with each fund’s investment objective and is competitively priced. For those limited number of funds that qualify as VIEs, AM’s relationship with such funds are not considered significant variable interests under U.S. GAAP.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Treasury & Securities Services: Provides services to a number of VIEs that are similar to those provided to non-VIEs. TSS earns market-based fees for the services it provides. The relationships resulting from TSS’ services are not considered to be significant variable interests.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Commercial Banking (“CB”): Utilizes VIEs to assist clients in accessing the financial markets in a cost-efficient manner. This is often accomplished through the use of products similar to those offered in IB. CB may assist in the structuring and/or ongoing administration of these VIEs and may provide liquidity, letters of credit and/or derivative instruments in support of the VIE. The relationships resulting from CB’s services are not considered to be significant variable interests.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Corporate/Private Equity: Corporate utilizes VIEs to issue guaranteed capital debt securities. See Note 22 on pages 220-221 for further information. The Private Equity business, within Corporate/Private Equity, may be involved with entities that could be deemed VIEs. Private equity entities are typically investment companies as defined in the investment company accounting guidance and, as such, are not required to utilize the accounting guidance for the consolidation of VIEs. Had the guidance for consolidation of VIEs been applied to these entities, the impact would have been immaterial to the Firm’s Consolidated Financial Statements as of December 31, 2009.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As noted above, IB is predominantly involved with multi-seller conduits and VIEs associated with investor intermediation activities. These nonconsolidated VIEs that are sponsored by JPMorgan Chase are discussed below. The Firm considers a “sponsored” VIE to include any entity where: (1) JPMorgan Chase is the principal beneficiary of the structure; (2) the VIE is used by JPMorgan Chase to securitize Firm assets; (3) the VIE issues financial instruments associated with the JPMorgan Chase brand name; or (4) the entity is a JPMorgan Chase-administered asset-backed commercial paper (“ABCP”) conduit. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Multi-seller conduits</b><br /> <i>Funding and liquidity</i> </div> <div align="left" style="font-size: 10pt">The Firm is an active participant in the asset-backed securities business, and it helps customers meet their financing needs by providing access to the commercial paper markets through VIEs known as multi-seller conduits. Multi-seller conduit entities are separate bankruptcy remote entities that purchase interests in, and make loans secured by, pools of receivables and other financial assets pursuant to agreements with customers of the Firm. The conduits fund their purchases and loans through the issuance of highly rated commercial paper to third-party investors. The primary source of repayment of the commercial paper is the cash flow from the pools of assets. In most instances, the assets are structured with deal-specific credit enhancements provided by the customers (i.e., sellers) to the conduits or other third parties. Deal-specific credit enhancements are generally structured to cover a multiple of historical losses expected on the pool of assets, and are typically in the form of overcollateralization provided by the seller, but also may include any combination of the following: recourse to the seller or originator, cash collateral accounts, letters of credit, excess spread, retention of subordinated interests or third-party guarantees. The deal-specific credit enhancements mitigate the Firm’s potential losses on its agreements with the conduits. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase receives fees for structuring multi-seller conduit transactions and compensation from the multi-seller conduits for its role as administrative agent, liquidity provider, and provider of program-wide credit enhancement. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">To ensure timely repayment of the commercial paper, each asset pool financed by the conduits has a minimum 100% deal-specific liquidity facility associated with it. Deal-specific liquidity facilities are the primary source of liquidity support for the conduits. The deal-specific liquidity facilities are typically in the form of asset purchase agreements and generally structured so the liquidity that will be provided by the Firm as liquidity provider will be affected by the Firm purchasing, or lending against, a pool of nondefaulted, performing assets. In limited circumstances, the Firm may provide unconditional liquidity. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The conduit’s administrative agent can require the liquidity provider to perform under its asset purchase agreement with the conduit at any time. These agreements may cause the liquidity provider, including the Firm, to purchase an asset from the conduit at an amount above the asset’s then current fair value – in effect, providing a guarantee of the initial value of the reference asset as of the date of the agreement. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom" 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 style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm also provides the multi-seller conduit vehicles with program-wide liquidity facilities in the form of uncommitted short-term revolving facilities that can be accessed by the conduits to handle funding increments too small to be funded by commercial paper and in the form of uncommitted liquidity facilities that can be accessed by the conduits only in the event of short-term disruptions in the commercial paper market. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Because the majority of the deal-specific liquidity facilities will only fund nondefaulted assets, program-wide credit enhancement is required to absorb losses on defaulted receivables in excess of losses absorbed by any deal-specific credit enhancement. Program-wide credit enhancement may be provided by JPMorgan Chase in the form of standby letters of credit or by third-party surety bond providers. The amount of program-wide credit enhancement required varies by conduit and ranges between 5% and 10% of the applicable commercial paper that is outstanding. </div> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes Firm-administered multi-seller conduits. On May 31, 2009, the Firm consolidated one of these multi-seller conduits due to the redemption of the expected loss note (“ELN”). There were no consolidated Firm-administered multi-seller conduits as of December 31, 2008. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="64%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000">2008</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, (in billions)</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Consolidated</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Nonconsolidated</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Nonconsolidated</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total assets funded by conduits</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>5.1</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>17.8</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">42.9</td> <td> </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> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total commercial paper issued by conduits</b> </div></td> <td> </td> <td> </td> <td align="right"><b>5.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>17.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right">43.1</td> <td> </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> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Liquidity and credit enhancements</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Deal-specific liquidity facilities (primarily asset purchase agreements) </div></td> <td> </td> <td> </td> <td align="right"><b>8.0</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right"><b>24.2</b></td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(b)</sup></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">55.4 </td> <td nowrap="nowrap"><sup style="font-size: 85%; vertical-align: text-top">(b)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="12" align="left" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Program-wide liquidity facilities </div></td> <td> </td> <td> </td> <td align="right"><b>4.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>13.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right">17.0</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Program-wide credit enhancements </div></td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3.0</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="12" align="left" style="border-top: 1px solid #000000"> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Maximum exposure to loss</b><sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>8.0</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">56.9</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" 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>Maximum exposure to loss, calculated separately for each multi-seller conduit, includes the Firm’s exposure to both deal-specific liquidity facilities and program-wide credit enhancements. For purposes of calculating maximum exposure to loss, the Firm-provided, program-wide credit enhancement is limited to deal-specific liquidity facilities provided by third parties.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>The accounting for the guarantees reflected in these agreements is further discussed in Note 31 on pages 230-234 of this Annual Report.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Assets funded by the multi-seller conduits</i> </div> <div align="left" style="font-size: 10pt">JPMorgan Chase’s administered multi-seller conduits fund a variety of asset types for the Firm’s clients. Asset types primarily include credit card receivables, auto loans, trade receivables, student loans, commercial loans, residential mortgages, capital commitments (e.g., loans to private equity, mezzanine and real estate funds, secured by capital commitments of highly rated institutional investors), and various other asset types. It is the Firm’s intention that the assets funded by its administered multi-seller conduits be sourced only from the Firm’s clients and not originated by, or transferred from, JPMorgan Chase. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents information on the commitments and assets held by JPMorgan Chase’s administered nonconsolidated multi-seller conduits as of December 31, 2009 and 2008. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="20%"> </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> <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> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000">2008</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Unfunded</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">Liquidity</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Liquidity</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Unfunded</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">Liquidity</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Liquidity</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">commitments to</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">paper funded</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">provided by</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">provided</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">commitments to</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">paper funded</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">provided by</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">provided</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">the Firm's clients</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">third parties</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">by the Firm</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">the Firm's clients</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">third parties</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">by the Firm</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="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> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Asset types:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1.1</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>5.2</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>6.3</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">3.0</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">8.9</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">0.1</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">11.8</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Vehicle loans and leases </div></td> <td> </td> <td> </td> <td align="right"><b>1.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1.4</td> <td> </td> <td> </td> <td> </td> <td align="right">10.0</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">11.4</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trade receivables </div></td> <td> </td> <td> </td> <td align="right"><b>2.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right">3.8</td> <td> </td> <td> </td> <td> </td> <td align="right">5.5</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">9.3</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right"><b>0.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">4.6</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">5.3</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial </div></td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1.5</td> <td> </td> <td> </td> <td> </td> <td align="right">4.0</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">5.1</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Residential mortgage </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Capital commitments </div></td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right">1.3</td> <td> </td> <td> </td> <td> </td> <td align="right">3.9</td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">4.6</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Rental car finance </div></td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.2</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Equipment loans and leases </div></td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">1.6</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2.3</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Floorplan – vehicle </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">1.8</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">2.5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Consumer </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</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">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">0.8</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <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>7.0</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>17.8</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>24.2</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">14.0</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">42.9</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1.5</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">55.4</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 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: 12pt; margin-top: 0pt"> <b> </b> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="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="18" style="border-bottom: 1px solid #000000">Ratings profile of VIE assets of the nonconsolidated multi-seller conduits<sup style="font-size: 85%; vertical-align: text-top">(a)</sup></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">Wt. avg.</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="14" style="border-bottom: 1px solid #000000">Investment-grade</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000">Noninvestment-grade</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">paper funded</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">expected life</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">AAA to AAA-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">AA+ to AA-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">A+ to A-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">BBB to BBB-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">BB+ and below</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">(years)<sup style="font-size: 85%; vertical-align: text-top">(b)</sup></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"><b>Asset types:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>3.1</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2.0</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>5.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.6</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Vehicle loans and leases </div></td> <td> </td> <td> </td> <td align="right"><b>2.9</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.3</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trade receivables </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.8</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right"><b>1.3</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>1.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.8</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial </div></td> <td> </td> <td> </td> <td align="right"><b>0.6</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>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.2</b></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 align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.5</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.3</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Capital commitments </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.0</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Rental car finance </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Equipment loans and leases </div></td> <td> </td> <td> </td> <td align="right"><b>0.2</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>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.0</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Floorplan — vehicle </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Consumer </div></td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</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>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.3</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>4.9</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:30px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>8.3</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>7.0</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2.0</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>0.5</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>17.8</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.9</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 2px solid #000000"> </td> </tr> <tr valign="bottom"> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="18" style="border-bottom: 1px solid #000000">Ratings profile of VIE assets of the nonconsolidated multi-seller conduits<sup style="font-size: 85%; vertical-align: text-top">(a)</sup></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">Wt. avg.</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="14" style="border-bottom: 1px solid #000000">Investment-grade</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Noninvestment-grade</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">paper funded</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Expected life</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">AAA to AAA-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">AA+ to AA-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">A+ to A-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">BBB to BBB-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">BB+ and below</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">(years)<sup style="font-size: 85%; vertical-align: text-top">(b)</sup></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"><b>Asset types:</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card </div></td> <td> </td> <td align="left">$</td> <td align="right">4.8</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">3.9</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">0.1</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">0.1</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">8.9</td> <td> </td> <td> </td> <td> </td> <td align="right">1.5</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Vehicle loans and leases </div></td> <td> </td> <td> </td> <td align="right">4.1</td> <td> </td> <td> </td> <td> </td> <td align="right">4.1</td> <td> </td> <td> </td> <td> </td> <td align="right">1.8</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">10.0</td> <td> </td> <td> </td> <td> </td> <td align="right">2.5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trade receivables </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">4.0</td> <td> </td> <td> </td> <td> </td> <td align="right">1.5</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">5.5</td> <td> </td> <td> </td> <td> </td> <td align="right">1.0</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Student loans </div></td> <td> </td> <td> </td> <td align="right">3.6</td> <td> </td> <td> </td> <td> </td> <td align="right">0.9</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">4.6</td> <td> </td> <td> </td> <td> </td> <td align="right">1.8</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Commercial </div></td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> <td> </td> <td> </td> <td align="right">2.0</td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">4.0</td> <td> </td> <td> </td> <td> </td> <td align="right">2.7</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Residential mortgage </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">4.0</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Capital commitments </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3.6</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3.9</td> <td> </td> <td> </td> <td> </td> <td align="right">2.4</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Rental car finance </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">1.5</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Equipment loans and leases </div></td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">1.2</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1.6</td> <td> </td> <td> </td> <td> </td> <td align="right">2.2</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Floorplan — vehicle </div></td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">1.0</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1.8</td> <td> </td> <td> </td> <td> </td> <td align="right">1.1</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Consumer </div></td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">0.2</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.7</td> <td> </td> <td> </td> <td> </td> <td align="right">1.6</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">0.5</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.8</td> <td> </td> <td> </td> <td> </td> <td align="right">3.7</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="left">$</td> <td align="right">14.7</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">22.0</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">5.6</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">0.6</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">42.9</td> <td> </td> <td> </td> <td> </td> <td align="right">2.0</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 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>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">(b)</td> <td> </td> <td>Weighted average expected life for each asset type is based on the remaining term of each conduit transaction’s committed liquidity plus either the expected weighted average life of the assets should the committed liquidity expire without renewal or the expected time to sell the underlying assets.</td> </tr> </table> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The assets held by the multi-seller conduits are structured so that if they were rated, the Firm believes the majority of them would receive an “A” rating or better by external rating agencies. However, it is unusual for the assets held by the conduits to be explicitly rated by an external rating agency. Instead, the Firm’s Credit Risk group assigns each asset purchase liquidity facility an internal risk rating based on its assessment of the probability of default for the transaction. The ratings provided in the above table reflect the S&P-equivalent ratings of the internal rating grades assigned by the Firm. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The risk ratings are periodically reassessed as information becomes available. As of December 31, 2009 and 2008, 95% and 90%, respectively, of the assets in the nonconsolidated conduits were risk-rated “A” or better. </div> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Commercial paper issued by multi-seller conduits</i> </div> <div align="left" style="font-size: 10pt">The weighted-average life of commercial paper issued by nonconsolidated multi-seller conduits at December 31, 2009 and 2008, was 19 days and 27 days, respectively, and the average yield on the commercial paper was 0.2% and 0.6%, respectively. In the normal course of business, JPMorgan Chase trades and invests in commercial paper, including paper issued by the Firm-administered conduits. The percentage of commercial paper purchased by the Firm from all Firm-administered conduits during 2009, ranged from less than 1% to approximately 5.8% on any given day. The largest daily amount of commercial paper outstanding held by the Firm in any one multi-seller conduit during 2009 was approximately $852 million, or 11.6%, of the conduit’s commercial paper outstanding. The Firm is not obligated under any agreement (contractual or noncontractual) to purchase the commercial paper issued by nonconsolidated JPMorgan Chase-administered conduits. </div> </div> <div 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 style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Consolidation analysis</i> </div> <div align="left" style="font-size: 10pt">Each nonconsolidated multi-seller conduit administered by the Firm at December 31, 2009 and 2008, had issued ELNs, the holders of which are committed to absorbing the majority of the expected loss of each respective conduit. The total amounts of ELNs outstanding for nonconsolidated conduits at December 31, 2009 and 2008, were $96 million and $136 million, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm could fund purchases of assets from nonconsolidated, Firm-administered multi-seller conduits should it become necessary. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Implied support</i> </div> <div align="left" style="font-size: 10pt">The Firm did not have and continues not to have any intent to protect any ELN holders from potential losses on any of the conduits’ holdings and has no plans to remove any assets from any conduit unless required to do so in its role as administrator. Should such a transfer occur, the Firm would allocate losses on such assets between itself and the ELN holders in accordance with the terms of the applicable ELN. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Expected loss modeling</i> </div> <div align="left" style="font-size: 10pt">In determining the primary beneficiary of the conduits the Firm uses a Monte Carlo–based model to estimate the expected losses of each of the conduits and considers the relative rights and obligations of each of the variable interest holders. The Firm’s expected loss modeling treats all variable interests, other than the ELNs, as its own to determine consolidation. The variability to be considered in the modeling of expected losses is based on the design of the entity. The Firm’s traditional multi-seller conduits are designed to pass credit risk, not liquidity risk, to its variable interest holders, as the assets are intended to be held in the conduit for the longer term. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm is required to run the Monte Carlo-based expected loss model each time a reconsideration event occurs. In applying this guidance to the conduits, the following events are considered to be reconsideration events, as they could affect the determination of the primary beneficiary of the conduits: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>New deals, including the issuance of new or additional variable interests (credit support, liquidity facilities, etc.);</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Changes in usage, including the change in the level of outstanding variable interests (credit support, liquidity facilities, etc.);</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Modifications of asset purchase agreements; and</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td>Sales of interests held by the primary beneficiary.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">From an operational perspective, the Firm does not run its Monte Carlo–based expected loss model every time there is a reconsideration event due to the frequency of their occurrence. Instead, the Firm runs its expected loss model each quarter and includes a growth assumption for each conduit to ensure that a sufficient amount of ELNs exists for each conduit at any point during the quarter. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As part of its normal quarterly modeling, the Firm updates, when applicable, the inputs and assumptions used in the expected loss model. Specifically, risk ratings and loss given default assumptions are continually updated. Management has concluded that the model assumptions used were reflective of market participants’ assumptions and appropriately considered the probability of changes to risk ratings and loss given defaults. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Qualitative considerations</i> </div> <div align="left" style="font-size: 10pt">The multi-seller conduits are primarily designed to provide an efficient means for clients to access the commercial paper market. The Firm believes the conduits effectively disperse risk among all parties and that the preponderance of the economic risk in the Firm’s multi-seller conduits is not held by JPMorgan Chase. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Investor intermediation</b> </div> <div align="left" style="font-size: 10pt">As a financial intermediary, the Firm creates certain types of VIEs and also structures transactions, typically derivative structures, with these VIEs to meet investor needs. The Firm may also provide liquidity and other support. The risks inherent in the derivative instruments or liquidity commitments are managed similarly to other credit, market or liquidity risks to which the Firm is exposed. The principal types of VIEs for which the Firm is engaged in these structuring activities are municipal bond vehicles, credit-linked note vehicles, asset swap vehicles and collateralized debt obligation vehicles. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Municipal bond vehicles</i> </div> <div align="left" style="font-size: 10pt">The Firm has created a series of secondary market trusts that provide short-term investors with qualifying tax-exempt investments, and that allow investors in tax-exempt securities to finance their investments at short-term tax-exempt rates. In a typical transaction, the vehicle purchases fixed-rate longer-term highly rated municipal bonds and funds the purchase by issuing two types of securities: (1) putable floating-rate certificates and (2) inverse floating-rate residual interests (“residual interests”). The maturity of each of the putable floating-rate certificates and the residual interests is equal to the life of the vehicle, while the maturity of the underlying municipal bonds is longer. Holders of the putable floating-rate certificates may “put,” or tender, the certificates if the remarketing agent cannot successfully remarket the floating-rate certificates to another investor. A liquidity facility conditionally obligates the liquidity provider to fund the purchase of the tendered floating-rate certificates. Upon termination of the vehicle, if the proceeds from the sale of the underlying municipal bonds are not sufficient to repay the liquidity facility, the liquidity provider has recourse either to excess collateralization in the vehicle or the residual interest holders for reimbursement. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The third-party holders of the residual interests in these vehicles could experience losses if the face amount of the putable floating-rate certificates exceeds the market value of the municipal bonds upon termination of the vehicle. Certain vehicles require a smaller initial investment by the residual interest holders and thus do not result in excess collateralization. For these vehicles there exists a reimbursement obligation which requires the residual interest holders to post, during the life of the vehicle, additional collateral to the vehicle on a daily basis as the market value of the municipal bonds declines. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom" 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">JPMorgan Chase often serves as the sole liquidity provider and remarketing agent of the putable floating-rate certificates. The liquidity provider’s obligation to perform is conditional and is limited by certain termination events; which include bankruptcy or failure to pay by the municipal bond issuer or credit enhancement provider, and the immediate downgrade of the municipal bond to below investment grade. A downgrade of JPMorgan Chase Bank, N.A.’s short-term rating does not affect the Firm’s obligation under the liquidity facility. However, in the event of a downgrade in the Firm’s credit ratings, holders of the putable floating-rate instruments supported by those liquidity facility commitments might choose to sell their instruments, which could increase the likelihood that the liquidity commitments could be drawn. In vehicles in which third-party investors own the residual interests, in addition to the termination events, the Firm’s exposure as liquidity provider is further limited by the high credit quality of the underlying municipal bonds, the excess collateralization in the vehicle, or the reimbursement agreements with the residual interest holders. In the fourth quarter of 2008, a drawdown occurred on one liquidity facility as a result of a failure to remarket putable floating-rate certificates. The Firm was required to purchase $19 million of putable floating-rate certificates. Subsequently, the municipal bond vehicle was terminated and the proceeds from the sales of the municipal bonds, together with the collateral posted by the residual interest holder, were sufficient to repay the putable floating-rate certificates. In 2009, the Firm did not experience a drawdown on the liquidity facilities. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As remarketing agent, the Firm may hold putable floating-rate certificates of the municipal bond vehicles. At December 31, 2009 and 2008, respectively, the Firm held $72 million and $293 million of these certificates on its Consolidated Balance Sheets. The largest amount held by the Firm at any time during 2009 was $1.0 billion, or 6.7%, of the municipal bond vehicles’ outstanding putable floating-rate certificates. The Firm did not have and continues not to have any intent to protect any residual interest holder from potential losses on any of the municipal bond holdings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The long-term credit ratings of the putable floating-rate certificates are directly related to the credit ratings of the underlying municipal bonds, and to the credit rating of any insurer of the underlying municipal bond. A downgrade of a bond insurer would result in a downgrade of the insured municipal bonds, which would affect the rating of the putable floating-rate certificates. This could cause demand for these certificates by investors to decline or disappear, as putable floating-rate certificate holders typically require an “AA-” bond rating. At December 31, 2009 and 2008, 98% and 97%, respectively, of the municipal bonds held by vehicles to which the Firm served as liquidity provider were rated “AA-” or better, based on either the rating of the underlying municipal bond itself, or the rating including any credit enhancement. At December 31, 2009 and 2008, $2.3 billion and $2.6 billion, respectively, of the bonds were insured by monoline bond insurers. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm sometimes invests in the residual interests of municipal bond vehicles. For VIEs in which the Firm owns the residual interests, the Firm consolidates the VIEs. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The likelihood is remote that the Firm would have to consolidate VIEs in which the Firm does not own the residual interests and that are currently off-balance sheet. </div> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Exposure to nonconsolidated municipal bond VIEs at December 31, 2009 and 2008, including the ratings profile of the VIEs’ assets, were as follows. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="20%"> </td> <td width="3%"> </td> <td width="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> <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> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000"><b>2009</b><b></b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000">2008</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair value of</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair value of</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">December 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets held</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Liquidity</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Excess/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Maximum</td> <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">Liquidity</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Excess/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Maximum</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">by VIEs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">facilities<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(deficit)<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">exposure</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">by VIEs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">facilities<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(deficit)<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">exposure</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">Nonconsolidated municipal bond vehicles<sup style="font-size: 85%; vertical-align: text-top">(a)(b)</sup> </div></td> <td> </td> <td align="left"><b> </b></td> <td align="right"><b>$    13.2</b></td> <td> </td> <td> </td> <td align="left"><b> </b></td> <td align="right"><b>$    8.4</b></td> <td> </td> <td> </td> <td align="left"><b> </b></td> <td align="right"><b>$    4.8</b></td> <td> </td> <td> </td> <td align="left"><b> </b></td> <td align="right"><b>$    8.4</b></td> <td> </td> <td> </td> <td align="left"> </td> <td align="right">$    10.0</td> <td> </td> <td> </td> <td align="left"> </td> <td align="right">$    6.9</td> <td> </td> <td> </td> <td align="left"> </td> <td align="right">$    3.1</td> <td> </td> <td> </td> <td align="left"> </td> <td align="right">$    6.9</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 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> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </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">Wt. avg.</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="18" style="border-bottom: 1px solid #000000">Ratings profile of VIE assets<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Fair value of</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">expected</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left" style="border-bottom: 0px solid #000000">December 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000">Investment-grade</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 1px solid #000000">Noninvestment-grade</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets held by</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">life of assets</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">AAA to AAA-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">AA+ to AA-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">A+ to A-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">BBB to BBB-</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">BB+ and below</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 0px solid #000000">VIEs</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2" style="border-bottom: 0px solid #000000">(years)</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">Nonconsolidated municipal bond vehicles<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>2009</b> </div></td> <td> </td> <td align="left"><b> </b></td> <td align="right"><b>$    1.6</b></td> <td> </td> <td> </td> <td align="left"><b> </b></td> <td align="right"><b>$    11.4</b></td> <td> </td> <td> </td> <td align="left"><b> </b></td> <td align="right"><b>$    0.2</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>$    13.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>$    10.1</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">2008 </div></td> <td> </td> <td> </td> <td align="right">3.8</td> <td> </td> <td> </td> <td> </td> <td align="right">5.9</td> <td> </td> <td> </td> <td> </td> <td align="right">0.2</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">10.0</td> <td> </td> <td> </td> <td> </td> <td align="right">22.3</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="29" align="left" style="border-top: 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>Excluded $2.8 billion and $6.0 billion at December 31, 2009 and 2008, respectively, which were consolidated due to the Firm owning the residual interests.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Certain of the municipal bond vehicles 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 QSPEs are not reflected on the Firm’s Consolidated Balance Sheets (except for retained interests reported at fair value). At December 31, 2008, excluded collateral with a fair value of $603 million related to QSPE municipal bond vehicles in which the Firm owned the residual interests. The Firm did not own residual interests in QSPE municipal bond vehicles at December 31, 2009.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>The Firm may serve as credit enhancement provider for municipal bond vehicles for which it serves as liquidity provider. The Firm provided insurance on underlying municipal bonds, in the form of letters of credit, of $10 million at both December 31, 2009 and 2008, respectively.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>Represents the excess/(deficit) of the fair value of municipal bond assets available to repay the liquidity facilities, if drawn.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(e)</td> <td> </td> <td>The ratings scale is based on the Firm’s internal risk ratings and presented on an S&P-equivalent basis.</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 style="font-family: Helvetica,Arial,sans-serif"> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Credit-linked note vehicles</i> </div> <div align="left" style="font-size: 10pt">The Firm structures transactions with credit-linked note vehicles in which the VIE purchases highly rated assets, such as asset-backed securities, and enters into a credit derivative contract with the Firm to obtain exposure to a referenced credit which the VIE otherwise does not hold. The VIE then issues CLNs with maturities predominantly ranging from one to ten years in order to transfer the risk of the referenced credit to the VIE’s investors. Clients and investors often prefer using a CLN vehicle since the CLNs issued by the VIE generally carry a higher credit rating than such notes would if issued directly by JPMorgan Chase. The Firm’s exposure to the CLN vehicles is generally limited to its rights and obligations under the credit derivative contract with the VIE, as the Firm does not provide any additional contractual financial support to the VIE. In addition, the Firm has not historically provided any financial support to the CLN vehicles over and above its contractual obligations. Accordingly, the Firm typically does not consolidate the CLN vehicles. As a derivative counterparty in a credit-linked note structure, the Firm has a senior claim on the collateral of the VIE and reports such derivatives on its balance sheet at fair value. The collateral purchased by such VIEs is largely investment-grade, with a significant amount being rated “AAA.” The Firm divides its credit-linked note structures broadly into two types: static and managed. </div> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt">In a static credit-linked note structure, the CLNs and associated credit derivative contract either reference a single credit (e.g., a multi-national corporation), or all or part of a fixed portfolio of credits. The Firm generally buys protection from the VIE under the credit derivative. In a managed credit-linked note structure, the CLNs and associated credit derivative generally reference all or part of an actively managed portfolio of credits. An agreement exists between a portfolio manager and the VIE that gives the portfolio manager the ability to substitute each referenced credit in the portfolio for an alternative credit. By participating in a structure where a portfolio manager has the ability to substitute credits within pre-agreed terms, the investors who own the CLNs seek to reduce the risk that any single credit in the portfolio will default. The Firm does not act as portfolio manager; its involvement with the VIE is generally limited to being a derivative counterparty. As a net buyer of credit protection, in both static and managed credit-linked note structures, the Firm pays a premium to the VIE in return for the receipt of a payment (up to the notional of the derivative) if one or more of the credits within the portfolio defaults, or if the losses resulting from the default of reference credits exceed specified levels. </div> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Exposure to nonconsolidated credit-linked note VIEs at December 31, 2009 and 2008, was as follows. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="20%"> </td> <td width="3%"> </td> <td width="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> <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> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000">2008</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Par value of</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Par value of</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Derivative</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">Total</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">collateral held</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Derivative</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">Total</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">collateral held</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">receivables</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets<sup style="font-size: 85%; vertical-align: text-top">(b)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">exposure<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">by VIEs<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">receivables</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets<sup style="font-size: 85%; vertical-align: text-top">(b)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">exposure<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">by VIEs<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></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">Credit-linked notes<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Static structure </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1.9</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>0.7</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2.6</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>10.8</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">3.6</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">0.7</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">4.3</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">14.5</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:30px; text-indent:-15px">Managed structure </div></td> <td> </td> <td> </td> <td align="right"><b>5.0</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5.6</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>15.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right">7.7</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> <td> </td> <td> </td> <td align="right">8.0</td> <td> </td> <td> </td> <td> </td> <td align="right">16.6</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>6.9</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>1.3</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>8.2</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>26.0</b></td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">11.3</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1.0</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">12.3</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">31.1</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>Excluded collateral with a fair value of $1.5 billion and $2.1 billion at December 31, 2009 and 2008, respectively, which was consolidated as the Firm, in its role as secondary market maker, held a majority of the issued credit-linked notes of certain vehicles.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Trading assets principally comprise notes issued by VIEs, which from time to time are held as part of the termination of a deal or to support limited market-making.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>On-balance sheet exposure that includes derivative receivables and trading assets.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>The Firm’s maximum exposure arises through the derivatives executed with the VIEs; the exposure varies over time with changes in the fair value of the derivatives. The Firm relies on the collateral held by the VIEs to pay any amounts due under the derivatives; the vehicles are structured at inception so that the par value of the collateral is expected to be sufficient to pay amounts due under the derivative contracts.</td> </tr> </table> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Asset Swap Vehicles</i> </div> <div align="left" style="font-size: 10pt">The Firm also structures and executes transactions with asset swap vehicles on behalf of investors. In such transactions, the VIE purchases a specific asset or assets and then enters into a derivative with the Firm in order to tailor the interest rate or currency risk, or both, of the assets according to investors’ requirements. Generally, the assets are held by the VIE to maturity, and the tenor of the derivatives would match the maturity of the assets. Investors typically invest in the notes issued by such VIEs in order to obtain exposure to the credit risk of the specific assets, as well as exposure to foreign exchange and interest rate risk that is tailored to their specific needs. The derivative transaction between the Firm and the VIE may include currency swaps to hedge assets held by the VIE denominated in foreign currency into the investors’ home or investment currency or interest rate swaps to hedge the interest rate risk of assets held by the VIE; to add additional interest rate exposure into the VIE in order to increase the return on the issued notes; or to convert an interest-bearing asset into a zero-coupon bond. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm’s exposure to the asset swap vehicles is generally limited to its rights and obligations under the interest rate and/or foreign exchange derivative contracts, as the Firm does not provide any contractual financial support to the VIE. In addition, the Firm historically has not provided any financial support to the asset swap vehicles over and above its contractual obligations. Accordingly, the Firm typically does not consolidate the asset swap vehicles. As a derivative counterparty, the Firm has a senior claim on the collateral of the VIE and reports such derivatives on its balance sheet at fair value. Substantially all of the assets purchased by such VIEs are investment-grade. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr>   <tr valign="bottom" 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: 12pt; margin-top: 0pt"> <b> </b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt"> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="20%"> </td> <td width="3%"> </td> <td width="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> <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> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000"><b>2009</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000">2008</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Derivative</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">Par value of</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Derivative</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">Par value of</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31,</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">receivables/</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">Total</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">collateral held</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">receivables/</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Trading</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">collateral held</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">(payables)</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets<sup style="font-size: 85%; vertical-align: text-top">(b)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">exposure<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">by VIEs<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">(payables)</td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets<sup style="font-size: 85%; vertical-align: text-top">(b)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">exposure<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">by VIEs<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></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">Nonconsolidated asset swap vehicles<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>0.1</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>0.1</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>10.2</b></td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(0.2</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">(0.2</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">7.3</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>Excluded fair value of collateral of $623 million and $1.0 billion at December 31, 2009 and 2008, respectively, which was consolidated as the Firm, in its role as secondary market maker, held a majority of the issued notes of certain vehicles.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Trading assets principally comprise notes issued by VIEs, which from time to time are held as part of the termination of a deal or to support limited market-making.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>On-balance sheet exposure that includes derivative receivables and trading assets.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>The Firm’s maximum exposure arises through the derivatives executed with the VIEs; the exposure varies over time with changes in the fair value of the derivatives. The Firm relies upon the collateral held by the VIEs to pay any amounts due under the derivatives; the vehicles are structured at inception so that the par value of the collateral is expected to be sufficient to pay amounts due under the derivative contracts.</td> </tr> </table> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Collateralized Debt Obligations vehicles</i> </div> <div align="left" style="font-size: 10pt">A CDO typically refers to a security that is collateralized by a pool of bonds, loans, equity, derivatives or other assets. The Firm’s involvement with a particular CDO vehicle may take one or more of the following forms: arranger, warehouse funding provider, placement agent or underwriter, secondary market-maker for securities issued, or derivative counterparty. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of December 31, 2009 and 2008, the Firm had funded noninvestment-grade loans of $156 million and $405 million, respectively, to nonconsolidated CDO warehouse VIEs. The Firm’s maximum exposure to loss related to the nonconsolidated CDO warehouse VIEs was $156 million and $1.1 billion as of December 31, 2009 and 2008, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Once the CDO vehicle closes and issues securities, the Firm has no obligation to provide further support to the vehicle. At the time of closing, the Firm may hold unsold securities that it was not able to place with third-party investors. In addition, the Firm may on occasion hold some of the CDO vehicles’ securities as a secondary market-maker or as a principal investor, or it may be a derivative counterparty to the vehicles. At December 31, 2009 and 2008, these amounts were not significant. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>VIEs sponsored by third parties</b><br /> <i>Investment in a third-party credit card securitization trust</i> </div> <div align="left" style="font-size: 10pt">The Firm holds a note in a third-party-sponsored VIE, which is a credit card securitization trust that owns credit card receivables issued by a national retailer. The note is structured so that the principal amount can float up to 47% of the principal amount of the receivables held by the trust, not to exceed $4.2 billion. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm is not the primary beneficiary of the trust and accounts for its investment at fair value within AFS investment securities. At December 31, 2009 and 2008, the amortized cost of the note was $3.5 billion and $3.6 billion, respectively, and the fair value was $3.5 billion and $2.6 billion, respectively. For more information on AFS securities, see Note 11 on pages 187-191 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>VIE used in FRBNY transaction</i> </div> <div align="left" style="font-size: 10pt">In conjunction with the Bear Stearns merger, in June 2008, the Federal Reserve Bank of New York (“FRBNY”) took control, through an LLC formed for this purpose, of a portfolio of $30.0 billion in assets, based on the value of the portfolio as of March 14, 2008. The assets of the LLC were funded by a $28.85 billion term loan from the FRBNY and a $1.15 billion subordinated loan from JPMorgan Chase. The JPMorgan Chase loan is subordinated to the FRBNY loan and will bear the first $1.15 billion of any losses of the portfolio. Any remaining assets in the portfolio after repayment of the FRBNY loan, repayment of the JPMorgan Chase loan and the expense of the LLC will be for the account of the FRBNY. The extent to which the FRBNY and JPMorgan Chase loans will be repaid will depend on the value of the asset portfolio and the liquidation strategy directed by the FRBNY. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Other VIEs sponsored by third parties</i> </div> <div align="left" style="font-size: 10pt">The Firm enters into transactions with VIEs structured by other parties. These include, for example, acting as a derivative counterparty, liquidity provider, investor, underwriter, placement agent, trustee or custodian. These transactions are conducted at arm’s length, and individual credit decisions are based on the analysis of the specific VIE, taking into consideration the quality of the underlying assets. Where these activities do not cause JPMorgan Chase to absorb a majority of the expected losses, or to receive a majority of the residual returns, the Firm records and reports these positions on its Consolidated Balance Sheets, similarly to the way it would record and report positions from any other third-party transaction. These transactions are not considered significant. </div> </div> <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>Consolidated VIE assets and liabilities</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The following table presents information on assets, liabilities and commitments related to VIEs that are consolidated by the Firm. </div> <div style="position: relative"> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000">Assets</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Trading</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–debt</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 nowrap="nowrap" align="left"><b>December 31, 2009</b></td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">and equity</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> </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">instruments</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">Other<sup style="font-size: 85%; vertical-align: text-top">(b)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>VIE program type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Multi-seller conduits </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2.2</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2.9</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>5.1</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card loans<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>6.1</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>6.9</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Municipal bond vehicles </div></td> <td> </td> <td> </td> <td align="right"><b>2.8</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>2.8</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-linked notes </div></td> <td> </td> <td> </td> <td align="right"><b>1.3</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.2</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.5</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">CDO warehouses </div></td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">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>4.7</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>1.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>8.0</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>6.4</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>13.0</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>5.0</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>24.4</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="64%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Liabilities</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">Beneficial interests</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</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">in VIE assets<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Other<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">liabilities</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>VIE program type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Multi-seller conduits </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>4.8        </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>4.8</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card loans<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right"><b>3.9        </b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>3.9</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Municipal bond vehicles </div></td> <td> </td> <td> </td> <td align="right"><b>2.7        </b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.7</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-linked notes </div></td> <td> </td> <td> </td> <td align="right"><b>0.3        </b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>0.4</b></td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">CDO warehouses </div></td> <td> </td> <td> </td> <td align="right"><b>—        </b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>—</b></td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right"><b>3.5        </b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>2.1</b></td> <td> </td> <td> </td> <td> </td> <td align="right"><b>5.6</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>15.2        </b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>2.2</b></td> <td> </td> <td> </td> <td align="left"><b>$</b></td> <td align="right"><b>17.4</b></td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> </div> <div style="position: relative"> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="52%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000">Assets</td> <td> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Trading</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–debt</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 nowrap="nowrap" align="left">December 31, 2008</td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">and equity</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td> </td> </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">instruments</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">Other<sup style="font-size: 85%; vertical-align: text-top">(b)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">assets<sup style="font-size: 85%; vertical-align: text-top">(c)</sup></td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>VIE program type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Multi-seller conduits </div></td> <td> </td> <td align="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">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card loans<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Municipal bond vehicles </div></td> <td> </td> <td> </td> <td align="right">5.9</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">6.0</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-linked notes </div></td> <td> </td> <td> </td> <td align="right">1.9</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.5</td> <td> </td> <td> </td> <td> </td> <td align="right">2.4</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">CDO warehouses </div></td> <td> </td> <td> </td> <td align="right">0.2</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">0.1</td> <td> </td> <td> </td> <td> </td> <td align="right">0.3</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">2.5</td> <td> </td> <td> </td> <td> </td> <td align="right">5.3</td> <td> </td> <td> </td> <td> </td> <td align="right">2.1</td> <td> </td> <td> </td> <td> </td> <td align="right">9.9</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="left">$</td> <td align="right">10.5</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">5.3</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">2.8</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">18.6</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="17" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%">  <tr valign="bottom"> <td width="64%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Liabilities</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">Beneficial interests</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Total</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">in VIE assets<sup style="font-size: 85%; vertical-align: text-top">(d)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">Other<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td> </td> <td> </td> <td nowrap="nowrap" align="center" colspan="2">liabilities</td> <td> </td> </tr>   <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px"><b>VIE program type</b> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Multi-seller conduits </div></td> <td> </td> <td align="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> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit card loans<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td> </td> <td> </td> <td align="right">—        </td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Municipal bond vehicles </div></td> <td> </td> <td> </td> <td align="right">5.5        </td> <td> </td> <td> </td> <td> </td> <td align="right">0.4</td> <td> </td> <td> </td> <td> </td> <td align="right">5.9</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Credit-linked notes </div></td> <td> </td> <td> </td> <td align="right">1.3        </td> <td> </td> <td> </td> <td> </td> <td align="right">0.6</td> <td> </td> <td> </td> <td> </td> <td align="right">1.9</td> <td> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">CDO warehouses </div></td> <td> </td> <td> </td> <td align="right">—        </td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td> </td> <td> </td> <td align="right">3.8        </td> <td> </td> <td> </td> <td> </td> <td align="right">2.9</td> <td> </td> <td> </td> <td> </td> <td align="right">6.7</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total</b> </div></td> <td> </td> <td align="left">$</td> <td align="right">10.6        </td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">3.9</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">14.5</td> <td> </td> </tr> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000"> </td> </tr>  </table> </div> </div> <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>Represents consolidated securitized credit card loans related to the WMM Trust, as well as loans that were represented by the Firm’s undivided interest and subordinated interest and fees, which were previously recorded on the Firm’s Consolidated Balance Sheets prior to consolidation. For further discussion, see Note 15 on pages 198-205 respectively, of this Annual Report.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td> </td> <td>Included assets classified as resale agreements and other assets within the Consolidated Balance Sheets.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td> </td> <td>Assets of each consolidated VIE are generally used to satisfy the liabilities to third parties. The difference between total assets and total liabilities recognized for consolidated VIEs represents the Firm’s interest in the consolidated VIEs for each program type.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(d)</td> <td> </td> <td>The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated Balance Sheets titled, “Beneficial interests issued by consolidated variable interest entities.” The holders of these beneficial interests do not have recourse to the general credit of JPMorgan Chase. Included in beneficial interests in VIE assets are long-term beneficial interests of $10.4 billion and $10.6 billion at December 31, 2009 and 2008, respectively.</td> </tr> <tr style="font-size: 0pt"> <td> </td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(e)</td> <td> </td> <td>Included liabilities classified as other borrowed funds, long-term debt, and accounts payable and other liabilities in the Consolidated Balance Sheets.</td> </tr> </table> </div> <div style="position: relative"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>New accounting guidance for consolidation of variable interest entities (including securitization entities)</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">In June 2009, the FASB issued guidance which amends the accounting for the transfers of financial assets and the consolidation of VIEs. The guidance eliminates the concept of QSPEs and provides additional guidance with regard to accounting for transfers of financial assets. The guidance also changes the approach for determining the primary beneficiary of a VIE from a quantitative risk and reward model to a qualitative model, based on control and economics. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm adopted this guidance for VIEs on January 1, 2010, which required the consolidation of the Firm’s credit card securitization trusts, bank-administered asset-backed commercial paper conduits, and certain mortgage and other consumer securitization entities. The consolidation of these VIEs added approximately $88 billion and $92 billion of assets and liabilities, respectively, which were not previously consolidated on the Firm’s Consolidated Balance Sheets in accordance with prior accounting guidance. The net impact of adopting this new accounting guidance was a reduction in stockholders’ equity of approximately $4 billion and in Tier 1 capital ratio by approximately 30 basis points, driven predominantly by the establishment of an allowance for loan losses of approximately $7 billion (pre-tax) related to the receivables held in the credit card securitization trusts that were consolidated at the adoption date. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The U.S. GAAP consolidation of these entities did not have a significant impact on risk-weighted assets on the adoption date; this was due to the consolidation, for regulatory capital purposes, of the Chase Issuance Trust (the Firm’s primary credit card securitization trust) in the second quarter of 2009, which added approximately $40 billion of risk-weighted assets. For further discussion, see Note 15 on pages 198-205 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">     In addition, the banking regulatory agencies issued regulatory capital rules relating to the adoption of this guidance for VIEs that permitted an optional two-quarter implementation delay, which defers the effect of this accounting guidance on risk-weighted assets and risk-based capital requirements. The Firm elected this regulatory implementation delay, as permitted under these new regulatory capital rules, for its bank-administered asset-backed commercial paper conduits and certain mortgage and other securitization entities. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In February 2010, the FASB finalized an amendment that defers the requirements of the consolidation guidance for certain investment funds, including mutual funds, private equity funds, and hedge funds. For the funds included in the deferral, the Firm will continue to analyze consolidation under other existing authoritative guidance; these funds are not included in the impact noted above. </div> </div> </div>  <!-- Begin Block Tagged Note false false No definition available. No authoritative reference available. false false 1 2 false UnKnown UnKnown UnKnown false true