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align="left" style="font-size: 12pt; margin-top: 0pt"><b></b> </div> <div> <div align="left" style="font-size: 12pt; margin-top: 6pt"><b>Note 1 &#8211; Basis of presentation</b> </div> <div align="left" style="font-size: 10pt">JPMorgan Chase &#038; Co. (&#8220;JPMorgan Chase&#8221; or the &#8220;Firm&#8221;), a financial holding company incorporated under Delaware law in 1968, is a leading global financial services firm and one of the largest banking institutions in the United States of America (&#8220;U.S.&#8221;), with operations worldwide. The Firm is a leader in investment banking, financial services for consumers, small business and commercial banking, financial transaction processing, asset management and private equity. For a discussion of the Firm&#8217;s business segment information, see Note 34 on pages 290&#8211;293 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The accounting and financial reporting policies of JPMorgan Chase and its subsidiaries conform to accounting principles generally accepted in the United States of America (&#8220;U.S. GAAP&#8221;). Additionally, where applicable, the policies conform to the accounting and reporting guidelines prescribed by bank regulatory authorities. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Certain amounts in prior periods have been reclassified to conform to the current presentation. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Consolidation</b> </div> <div align="left" style="font-size: 10pt">The Consolidated Financial Statements include the accounts of JPMorgan Chase and other entities in which the Firm has a controlling financial interest. All material intercompany balances and transactions have been eliminated. The Firm determines whether it has a controlling financial interest in an entity by first evaluating whether the entity is a voting interest entity or a variable interest entity (&#8220;VIE&#8221;). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Voting Interest Entities</i> </div> <div align="left" style="font-size: 10pt">Voting interest entities are entities that have sufficient equity and provide the equity investors voting rights that enable them to make significant decisions relating to the entity&#8217;s operations. For these types of entities, the Firm&#8217;s determination of whether it has a controlling interest is primarily based on the amount of voting equity interests held. Entities in which the Firm has a controlling financial interest, through ownership of the majority of the entities&#8217; voting equity interests, or through other contractual rights that give the Firm control, are consolidated by the Firm. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Investments in companies in which the Firm has significant influence over operating and financing decisions (but does not own a majority of the voting equity interests) are accounted for (i)&#160;in accordance with the equity method of accounting (which requires the Firm to recognize its proportionate share of the entity&#8217;s net earnings), or (ii)&#160;at fair value if the fair value option was elected at the inception of the Firm&#8217;s investment. These investments are generally included in other assets, with income or loss included in other income. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm-sponsored asset management funds are generally structured as limited partnerships or limited liability companies, which are typically considered voting interest entities. For the significant majority of these entities, the Firm is the general partner or managing member, but the non-affiliated partners or members have the ability to remove the Firm as the general partner or managing member without cause (i.e., kick-out rights), based on a simple majority vote, or the non-affiliated partners or members have rights to participate in important decisions. Accordingly, the Firm does not consolidate these funds. In the limited cases where the non-affiliated partners or members do not have substantive kick-out or participating rights, the Firm consolidates the funds. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm&#8217;s investment companies make investments in both public and private entities, including investments in buyouts, growth equity and venture opportunities. 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SPEs are commonly used in securitization transactions in order to isolate certain assets and distribute the cash flows from those assets to investors. SPEs are an important part of the financial markets, including the mortgage- and asset-backed securities and commercial paper markets, as they provide market liquidity by facilitating investors&#8217; access to specific portfolios of assets and risks. SPEs may be organized as trusts, partnerships or corporations and are typically established for a single, discrete purpose. SPEs are not typically operating entities and usually have a limited life and no employees. The basic SPE structure involves a company selling assets to the SPE; the SPE funds the purchase of those assets by issuing securities to investors. The legal documents that govern the transaction specify how the cash earned on the assets must be allocated to the SPE&#8217;s investors and other parties that have rights to those cash flows. SPEs are generally structured to insulate investors from claims on the SPE&#8217;s assets by creditors of other entities, including the creditors of the seller of the assets. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On January&#160;1, 2010, the Firm implemented new consolidation accounting guidance related to VIEs. The new guidance eliminates the concept of qualified special purpose entities (&#8220;QSPEs&#8221;) that were previously exempt from consolidation, and introduces a new framework for consolidation of VIEs. The primary beneficiary of a VIE is required to consolidate the assets and liabilities of the VIE. Under the new guidance, the primary beneficiary is the party that has both (1)&#160;the power to direct the activities of an entity that most significantly impact the VIE&#8217;s economic performance; and (2) through its interests in the VIE, the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">To assess whether the Firm has the power to direct the activities of a VIE that most significantly impact the VIE&#8217;s economic performance, the Firm considers all the facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes, first, identifying the activities that most significantly impact the VIE&#8217;s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE (such as asset managers, collateral managers, servicers, or owners of call options or liquidation rights over the VIE&#8217;s assets) or have the right to unilaterally remove those decision-makers are deemed to have the power to direct the activities of a VIE. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="50%"></td> <td width="5%"></td> <td width="45%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px"> </div> </td> <td></td> <td align="right" valign="bottom"></td> </tr> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">To assess whether the Firm has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Firm considers all of its economic interests, including debt and equity investments, servicing fees, and derivative or other arrangements deemed to be variable interests in the VIE. This assessment requires that the Firm apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE&#8217;s capital structure; and the reasons why the interests are held by the Firm. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm performs on-going reassessments of: (1)&#160;whether entities previously evaluated under the majority voting-interest framework have become VIEs, based on certain events, and therefore subject to the VIE consolidation framework; and (2)&#160;whether changes in the facts and circumstances regarding the Firm&#8217;s involvement with a VIE cause the Firm&#8217;s consolidation conclusion to change. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For further details regarding the Firm&#8217;s application of the accounting guidance effective January 1, 2010, see Note 16 on pages 244&#8211;259 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Financial Accounting Standards Board (&#8220;FASB&#8221;) issued an amendment which deferred the requirements of the accounting guidance for certain investment funds, including mutual funds, private equity funds and hedge funds. 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The QSPE framework was applicable when an entity sold financial assets to an SPE meeting certain defined criteria that were designed to ensure that the activities of the entity were essentially predetermined at the inception of the vehicle and that the transferor of the financial assets could not exercise control over the entity and the assets therein. QSPEs were not consolidated by the transferor or other counterparties as long as they did not have the unilateral ability to liquidate or to cause the entity to no longer meet the QSPE criteria. The Firm&#8217;s securitizations of residential and commercial mortgages, credit card, automobile and student loans generally were evaluated using the QSPE framework. 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margin-top: 12pt"><b>Acquisition of the banking operations of Washington<br /> Mutual Bank<br /></b> On September&#160;25, 2008, JPMorgan Chase acquired the banking operations of Washington Mutual Bank (&#8220;Washington Mutual&#8221;) from the FDIC for $1.9&#160;billion. The acquisition expanded JPMorgan Chase&#8217;s consumer branch network into several states, including California, Florida Washington, Georgia, Idaho, Nevada and Oregon and created the third largest branch network in the U.S. The acquisition also extended the reach of the Firm&#8217;s business banking, commercial banking, credit card, consumer lending and wealth management businesses. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The acquisition was accounted for under the purchase method of accounting, which requires that the assets and liabilities of Washington Mutual be initially reported at fair value. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In 2008, the $1.9&#160;billion purchase price was preliminarily allocated to the Washington Mutual assets acquired and liabilities assumed, which resulted in negative goodwill. 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(&#8220;Bear Stearns&#8221;) pursuant to the Agreement and Plan of Merger, dated as of March&#160;16, 2008, as amended March&#160;24, 2008, and Bear Stearns became a wholly owned subsidiary of JPMorgan Chase. The merger provided the Firm with a leading global prime brokerage platform; strengthened the Firm&#8217;s equities and asset management businesses; enhanced capabilities in mortgage origination, securitization and servicing; and expanded the platform of the Firm&#8217;s energy business. The merger was accounted for under the purchase method of accounting, which requires that the assets and liabilities of Bear Stearns be fair valued. The final total purchase price to complete the merger was $1.5&#160;billion. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"> The merger with Bear Stearns was accomplished through a series of transactions that were reflected as step acquisitions. 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Included in the unaudited pro forma combined financial information for the year ended December&#160;31, 2008, were pro forma adjustments to reflect the results of operations of Bear Stearns and Washington Mutual&#8217;s banking operations, considering the purchase accounting, valuation and accounting conformity adjustments. For the Washington Mutual transaction, the amortization of purchase accounting adjustments to report interest-earning assets acquired and interest-bearing liabilities assumed at current interest rates is reflected for the year ended December&#160;31, 2008. Valuation adjustments and the adjustment to conform allowance methodologies in the Washington Mutual transaction, and valuation and accounting conformity adjustments related to the Bear Stearns merger are reflected in the results for the year ended December&#160;31, 2008. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Internal reorganization related to the Bear Stearns merger</b> </div> <div align="left" style="font-size: 10pt">On June&#160;30, 2008, JPMorgan Chase fully and unconditionally guaranteed each series of outstanding preferred stock of Bear Stearns, as well as all of Bear Stearns&#8217; outstanding U.S. Securities and Exchange Commission (&#8220;SEC&#8221;) registered U.S. debt securities and obligations relating to trust preferred capital debt securities. Subsequently, on July&#160;15, 2008, JPMorgan Chase completed an internal merger transaction, which resulted in each series of outstanding preferred stock of Bear Stearns being automatically exchanged into newly-issued shares of JPMorgan Chase preferred stock having substantially identical terms. In addition, pursuant to internal transactions in July&#160;2008 and the first quarter of 2009, JPMorgan Chase assumed or guaranteed the remaining outstanding securities of Bear Stearns and its subsidiaries, in each case in accordance with the indentures and other agreements governing those securities. 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The methodology to determine the adjustment is consistent with CVA and incorporates JPMorgan Chase&#8217;s credit spread as observed through the credit default swap market.</td> </tr> </table> </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <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>&#8226;</b></td> <td width="1%">&#160;</td> <td>Liquidity valuation adjustments are necessary when the Firm may not be able to observe a recent market price for a financial instrument that trades in inactive (or less active) markets or to reflect the cost of exiting larger-than-normal market-size risk positions (liquidity adjustments are not taken for positions classified within level 1 of the fair value hierarchy; see below). The Firm estimates the amount of uncertainty in the initial valuation based on the degree of liquidity in the market in which the financial instrument trades and makes liquidity adjustments to the carrying value of the financial instrument. The Firm measures the liquidity adjustment based on the following factors: (1)&#160;the amount of time since the last relevant pricing point; (2)&#160;whether there was an actual trade or relevant external quote; and (3)&#160;the volatility of the principal risk component of the financial instrument. Costs to exit larger-than-normal market-size risk positions are determined based on the size of the adverse market move that is likely to occur during the period required to bring a position down to a nonconcentrated level.</td> </tr> <tr> <td style="font-size: 6pt">&#160;</td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Unobservable parameter valuation adjustments are necessary when positions are valued using internally developed models that use as their basis unobservable parameters &#8211; that is, parameters that must be estimated and are, therefore, subject to management judgment. Such positions are normally traded less actively. Examples include certain credit products where parameters such as correlation and recovery rates are unobservable. Unobservable parameter valuation adjustments are applied to mitigate the possibility of error and revision in the estimate of the market price provided by the model.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm has numerous controls in place intended to ensure that its fair values are appropriate. An independent model review group reviews the Firm&#8217;s valuation models and approves them for use for specific products. All valuation models within the Firm are subject to this review process. A price verification group, independent from the risk-taking function, ensures observable market prices and market-based parameters are used for valuation wherever possible. For those products with material parameter risk for which observable market levels do not exist, an independent review of the assumptions made on pricing is performed. Additional review includes deconstruction of the model valuations for certain structured instruments into their components and benchmarking valuations, where possible, to similar products; validating valuation estimates through actual cash settlement; and detailed review and explanation of recorded gains and losses, which are analyzed daily and over time. Valuation adjustments, which are also determined by the independent price verification group, are based on established policies and applied consistently over time. Any changes to the valuation methodology are reviewed by management to confirm that the changes are justified. As markets and products develop and the pricing for certain products becomes more or less transparent, the Firm continues to refine its valuation methodologies. During 2010, no changes were made to the Firm&#8217;s valuation models that had, or are expected to have, a material impact on the Firm&#8217;s Consolidated Balance Sheets or results of operations. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The methods described above to estimate fair value may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Firm believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Valuation Hierarchy</b> </div> <div align="left" style="font-size: 10pt">A three-level valuation hierarchy has been established under U.S. GAAP for disclosure of fair value measurements. The valuation hierarchy is based on the transparency of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows. </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Level 1 &#8211; inputs to the valuation methodology are quoted prices (unadjusted)&#160;for identical assets or liabilities in active markets.</td> </tr> <tr> <td style="font-size: 6pt">&#160;</td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Level 2 &#8211; inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.</td> </tr> <tr> <td style="font-size: 6pt">&#160;</td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Level 3 &#8211; one or more inputs to the valuation methodology are unobservable and significant to the fair value measurement.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">A financial instrument&#8217;s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Following is a description of the valuation methodologies used by the Firm to measure instruments at fair value, including the general classification of such instruments pursuant to the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Assets</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Securities purchased under resale agreements (&#8220;resale agreements&#8221;) and securities borrowed</b> </div> <div align="left" style="font-size: 10pt">To estimate the fair value of resale agreements and securities borrowed transactions, cash flows are first evaluated taking into consideration any derivative features of the resale agreement and are then discounted using the appropriate market rates for the applicable maturity. As the inputs into the valuation are primarily based on readily observable pricing information, such resale agreements are classified within level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Loans and unfunded lending-related commitments</b> </div> <div align="left" style="font-size: 10pt">The majority of the Firm&#8217;s loans and lending-related commitments are not carried at fair value on a recurring basis on the Consolidated Balance Sheets, nor are they actively traded. <font style="font-size: 10pt">The fair value of such loans and lending-related commitments is included in the additional disclosures of fair value of certain financial instruments required by U.S. GAAP on pages 185&#8211;186 of this Note. Loans</font> <font style="font-size: 10pt">carried at fair value on a recurring and nonrecurring basis are included in the applicable tables that follow.</font> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Wholesale</i> </div> <div align="left" style="font-size: 10pt">There is no liquid secondary market for most loans and lending-related commitments in the Firm&#8217;s wholesale portfolio. In the limited circumstances where direct secondary market information &#8211; including pricing of actual market transactions, broker quotations or quoted market prices for similar instruments &#8211; is available (principally for loans in the Firm&#8217;s secondary trading portfolio), such information is used in the determination of fair value. For the remainder of the portfolio, fair value is estimated using a discounted cash flow (&#8220;DCF&#8221;) model. In addition to the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees), key inputs to the model include interest rates, prepayment rates and credit spreads. The credit spread input is derived from the cost of credit default swaps (&#8220;CDS&#8221;) and, as a result, also incorporates the effects of secondary market liquidity. As many of the Firm&#8217;s clients do not have bonds traded with sufficient liquidity in the public markets to have observable CDS spreads, the Firm principally develops benchmark credit curves by industry and credit rating to estimate fair value. Also incorporated into the valuation process are additional adjustments to account for the difference in loss severity rates between bonds, on which the cost of credit derivatives is based, and loans as well as loan equivalents (which represent the portion of an unused commitment expected, based on the Firm&#8217;s average portfolio historical experience, to become outstanding prior to an obligor default). Certain floating rate loans that are not carried on the balance sheet at fair value are carried at amounts that approximate fair value due to their short term nature and negligible credit risk (e.g. based on historical experience or collateralization). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm&#8217;s loans and unfunded lending-related commitments carried at fair value are classified within level 2 or 3 of the valuation hierarchy, depending on the level of liquidity and activity in the markets for a particular product. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Consumer</i> </div> <div align="left" style="font-size: 10pt">The only products in the Firm&#8217;s consumer loan portfolio with a meaningful level of secondary market activity in the current economic environment are certain conforming residential mortgages. These loans are classified as trading assets and carried at fair value on the Consolidated Balance Sheets. They are predominantly classified within level 2 of the valuation hierarchy based on the level of market liquidity and activity. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The fair value of the Firm&#8217;s other consumer loans (except for credit card receivables) is generally determined by discounting the loan principal and interest cash flows expected to be collected at a market observable discount rate, when available. Portfolio-specific factors that a market participant would consider in determining fair value (e.g., expected lifetime credit losses, estimated prepayments, servicing costs and market liquidity) are either modeled into the cash flow projections or incorporated as an adjustment to the discount rate. For products that continue to be offered in the market, discount rates are derived from market-observable primary origination rates. Where primary origination rates are not available (i.e., subprime mortgages, subprime home equity and option adjustable-rate mortgages (&#8220;option ARMs&#8221;)) the valuation is based on the Firm&#8217;s estimate of a market participant&#8217;s required return on equity for similar products (i.e., a hypothetical origination spread). Estimated lifetime credit losses consider expected and current default rates for existing portfolios, collateral prices (where applicable) and expectations about changes in the economic environment (e.g., unemployment rates). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The fair value of credit card receivables is determined using a discounted expected cash flow methodology. Key estimates and assumptions include: projected interest income and late fee revenue, funding, servicing, credit costs, and loan payment rates. The projected loan payment rates are used to determine the estimated life of the credit card loan receivables, which are then discounted using a risk-appropriate discount rate. The discount rate is derived from the Firm&#8217;s estimate of a market participant&#8217;s expected return on credit card receivables. As the credit card portfolio has a short-term life, an amount equal to the allowance for loan losses is considered a reasonable proxy for the credit cost component. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Loans that are not carried on the Consolidated Balance Sheets at fair value are not classified within the fair value hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Mortgage loans carried at fair value</i> </div> <div align="left" style="font-size: 10pt">For certain loans that are expected to be securitized, fair value is estimated using a combination of observed transaction prices, independent pricing services and relevant broker quotes. Consideration is given to the nature of the quotes (e.g., indicative or firm) and the relationship of recently evidenced market activity to the prices provided from independent pricing services. When relevant market activity is not occurring or is limited, fair value is estimated by projecting the expected cash flows and discounting those cash flows at a rate reflective of current market liquidity. To estimate the projected cash flows of a residential mortgage loan (inclusive of assumptions of prepayment, default rates and loss severity), specific consideration is given to both borrower-specific and other market factors, including, but not limited to: the borrower&#8217;s FICO score; the type of collateral supporting the loans; the level of documentation for the loan; and market-derived expectations for home price appreciation or depreciation in the respective geography of the borrower. For commercial mortgages, consideration is given to both borrower-specific and other market factors, including but not limited to: the borrower&#8217;s debt-to-service coverage ratio; the type of commercial property (e.g., retail, office, lodging, multi-family, etc.); an estimate of the current loan-to-value ratio; and market-derived expectations for property price appreciation or depreciation in the respective geographic location. In addition, commercial mortgage loans typically have lock-out periods where the borrower is restricted from prepaying the loan due to prepayment penalties. These features reduce prepayment risk for commercial mortgages relative to that of residential mortgages. These loans are classified within level 2 or 3 of the valuation hierarchy, depending on the level of liquidity and activity in the markets for the particular product. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Securities</b> </div> <div align="left" style="font-size: 10pt">Where quoted prices for identical securities are available in an active market, securities are classified in level 1 of the valuation hierarchy. Level 1 securities include highly liquid government bonds; mortgage products for which there are quoted prices in active markets such as U.S. government agency or U.S. government-sponsored enterprise (collectively, &#8220;U.S. government agencies&#8221;) markets; pass-through mortgage-backed securities (&#8220;MBS&#8221;); and exchange-traded equities (e.g., common and preferred stocks). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">If quoted market prices are not available for the specific security, the Firm may estimate the value of such instruments using a combination of observed transaction prices, independent pricing services and relevant broker quotes. Consideration is given to the nature of the quotes (e.g., indicative or firm) and the relationship of recently evidenced market activity to the prices provided from independent pricing services. The Firm may also use pricing models or discounted cash flows. The majority of such instruments are classified within level 2 of the valuation hierarchy; however, in cases where there is limited activity or less transparency around inputs to the valuation, securities are classified within level 3 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For mortgage-backed securities, where market activity is not occurring or is limited, fair value is estimated considering the value of the collateral and the specific attributes of the securities held by the Firm. The value of the collateral pool supporting the securities is analyzed using the same techniques and factors described above for residential mortgage loans, albeit in a more aggregated manner across the pool. For example, for residential MBS, factors evaluated may include average FICO scores, average delinquency rates, average loss severities and prepayment rates, among other metrics. For commercial MBS, factors evaluated may include average delinquencies, loan or geographic concentrations, and average debt-service coverage ratios, among other metrics. In addition, as each securitization vehicle distributes cash in a manner or order that is predetermined at the inception of the vehicle, the priority in which each particular MBS is allocated cash flows, and the level of credit enhancement in place to support those cash flows, are key considerations in deriving the value of MBS. Finally, the risk premium that investors demand for securitized products in the current market is factored into the valuation. To benchmark its valuations, the Firm looks to transactions for similar instruments and uses independent pricing provided by third-party vendors, broker quotes and relevant market indices, such as the ABX index, as applicable. While none of those sources are solely indicative of fair value, they serve as directional indicators for the appropriateness of the Firm&#8217;s estimates. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For certain collateralized mortgage and debt obligations, asset-backed securities (&#8220;ABS&#8221;) and high-yield debt securities, the determination of fair value may require benchmarking to similar instruments or analyzing default and recovery rates. For cash collateralized debt obligations (&#8220;CDOs&#8221;), external price information is not available. Therefore, cash CDOs are valued using market-standard models, such as Intex, to model the specific collateral composition and cash flow structure of each deal; key inputs to the model are market spread data for each credit rating, collateral type and other relevant contractual features. Asset-backed securities are valued based on external prices or market spread data, using current market assumptions on prepayments and defaults. For ABS where the external price data is not observable or the limited available data is opaque, the collateral performance is monitored and considered in the valuation of the security. To benchmark its valuations, the Firm looks to transactions for similar instruments and uses independent prices provided by third-party vendors, broker quotes and relevant market indices, such as the ABX index, as applicable. While none of those sources are solely indicative of fair value, they serve as directional indicators for the appropriateness of the Firm&#8217;s estimates. The majority of collateralized mortgage and debt obligations, high-yield debt securities and ABS are currently classified in level 3 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Collateralized loan obligations (&#8220;CLOs&#8221;) are securities backed by corporate loans, and they are predominantly held in the Firm&#8217;s available-for-sale (&#8220;AFS&#8221;) securities portfolio. For these securities, external pricing information is not readily available. They are therefore valued using market-standard models to model the specific collateral composition and cash flow structure of each deal; key inputs to the model are market spread data for each credit rating, collateral type and other relevant contractual features. For further discussion, see Note 12 on pages 214&#8211;218 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Commodities</b> </div> <div align="left" style="font-size: 10pt">Commodities inventory is generally carried at the lower of cost or fair value. The fair value of commodities inventory is determined primarily using pricing and data derived from the markets on which the commodities are traded. The majority of commodities inventory is classified within level 1 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"> The Firm also has positions in commodities-based derivatives that can be traded on an exchange or over-the-counter (&#8220;OTC&#8221;) and carried at fair value. <font style="font-size: 10pt">The pricing inputs to these derivatives include forward curves of underlying commodities, basis curves, volatilities, correlations, and occasionally other model parameters. The valuation of these derivatives is based on calibrating to market transactions, as well as to independent pricing information from sources such as brokers and consensus pricing services. Where inputs are historical time series data, they are adjusted for uncertainty where appropriate. The majority of commodities-based derivatives are classified within level 2 of the valuation hierarchy.</font> </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Derivatives</b> </div> <div align="left" style="font-size: 10pt">Exchange-traded derivatives valued using quoted prices are classified within level 1 of the valuation hierarchy. However, few classes of derivative contracts are listed on an exchange; thus, the majority of the Firm&#8217;s derivative positions are valued using internally developed models that use as their basis readily observable market parameters &#8211; that is, parameters that are actively quoted and can be validated to external sources, including industry pricing services. Depending on the types and contractual terms of derivatives, fair value can be modeled using a series of techniques, such as the Black-Scholes option pricing model, simulation models or a combination of various models, which are consistently applied. Where derivative products have been established for some time, the Firm uses models that are widely accepted in the financial services industry. These models reflect the contractual terms of the derivatives, including the period to maturity, and market-based parameters such as interest rates, volatility, and the credit quality of the counterparty. Further, many of these models do not contain a high level of subjectivity, as the methodologies used in the models do not require significant judgment, and inputs to the models are readily observable from actively quoted markets, as is the case for &#8220;plain vanilla&#8221; interest rate swaps, option contracts and CDS. Such instruments are generally classified within level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Derivatives that are valued based on models with significant unobservable market parameters and that are normally traded less actively, have trade activity that is one way, and/or are traded in less-developed markets are classified within level 3 of the valuation hierarchy. Level 3 derivatives include, for example, CDS referenced to certain MBS, certain types of CDO transactions, options on baskets of single-name stocks, and callable exotic interest rate options. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Other complex products, such as those sensitive to correlation between two or more underlying parameters, also fall within level 3 of the valuation hierarchy, and include structured credit derivatives which are illiquid and non-standard in nature (e.g., synthetic CDOs collateralized by a portfolio of credit default swaps &#8220;CDS&#8221;). For most CDO transactions, while inputs such as CDS spreads may be observable, the correlation between the underlying debt instruments is unobservable. Correlation levels are modeled on a transaction basis and calibrated to liquid benchmark tranche indices. For all structured credit derivatives, actual transactions, where available, are used regularly to recalibrate all unobservable parameters. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Correlation sensitivity is also material to the overall valuation of options on baskets of single-name stocks; the valuation of these baskets is typically not observable due to their non-standardized structuring. Correlation for products such as these is typically estimated based on an observable basket of stocks and then adjusted to reflect the differences between the underlying equities. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For callable exotic interest rate options, while most of the assumptions in the valuation can be observed in active markets (e.g., interest rates and volatility), the callable option transaction flow is essentially one-way, and as such, price observability is limited. As pricing information is limited, assumptions are based on the dynamics of the underlying markets (e.g., the interest rate markets) including the range and possible outcomes of the applicable inputs. In addition, the models used are calibrated, as relevant, to liquid benchmarks, and valuation is tested against monthly independent pricing services and actual transactions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Mortgage servicing rights and certain retained interests in securitizations</b> </div> <div align="left" style="font-size: 10pt">Mortgage servicing rights (&#8220;MSRs&#8221;) and certain retained interests from securitization activities do not trade in an active, open market with readily observable prices. Accordingly, the Firm estimates the fair value of MSRs and certain other retained interests in securitizations using DCF models. </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="2%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>For MSRs, the Firm uses an option-adjusted spread (&#8220;OAS&#8221;) valuation model in conjunction with the Firm&#8217;s proprietary prepayment model to project MSR cash flows over multiple interest rate scenarios; these scenarios are then discounted at risk-adjusted rates to estimate the fair value of the MSRs. The OAS model considers portfolio characteristics, contractually specified servicing fees, prepayment assumptions, delinquency rates, late charges, other ancillary revenue, costs to service and other economic factors. The Firm reassesses and periodically adjusts the underlying inputs and assumptions used in the OAS model to reflect market conditions and assumptions that a market participant would consider in valuing the MSR asset. Due to the nature of the valuation inputs, MSRs are classified within level 3 of the valuation hierarchy.</td> </tr> <tr> <td style="font-size: 6pt">&#160;</td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="2%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>For certain retained interests in securitizations, the Firm estimates the fair value for those retained interests by calculating the present value of future expected cash flows using modeling techniques. Such models incorporate management&#8217;s best estimates of key variables, such as expected credit losses, prepayment speeds and the appropriate discount rates, considering the risk involved. Changes in the assumptions used may have a significant impact on the Firm&#8217;s valuation of retained interests, and such interests are therefore typically classified within level 3 of the valuation hierarchy.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For both MSRs and certain other retained interests in securitizations, the Firm compares its fair value estimates and assumptions to observable market data where available and to recent market activity and actual portfolio experience. For further discussion of the most significant assumptions used to value retained interests and MSRs, as well as the applicable stress tests for those assumptions, see Note 16 on pages 244&#8211;259, and Note 17 on pages 260&#8211;263 of this Annual Report. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Private equity investments</b> </div> <div align="left" style="font-size: 10pt">The valuation of nonpublic private equity investments, which are held primarily by the Private Equity business within the Corporate/Private Equity line of business, requires significant management judgment due to the absence of quoted market prices, the inherent lack of liquidity and the long-term nature of such assets. As such, nonpublic private equity investments are valued initially based on cost. Each quarter, valuations are reviewed using available and relevant market data to determine if the carrying value of these investments should be adjusted. Such market data primarily include observations of the trading multiples of public companies considered comparable to the private companies being valued and the operating performance of the underlying portfolio company, including its historical and projected net income and its earnings before interest, taxes, depreciation and amortization (&#8220;EBITDA&#8221;). Valuations are adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment, and the fact that comparable public companies are not identical to the companies being valued. In addition, a variety of additional factors are reviewed by management, including, but not limited to, financing and sales transactions with third parties, future expectations of the particular investment, changes in market outlook and the third-party financing environment. Nonpublic private equity investments are included in level 3 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"> Private equity investments also include publicly held equity investments, generally obtained through the initial public offering of privately held equity investments. Investments in securities of publicly held companies that trade in liquid markets are marked to market at the quoted public value less adjustments for regulatory or contractual sales restrictions. Discounts for restrictions are quantified by analyzing the length of the restriction period and the volatility of the equity security. Publicly held investments are predominantly classified in level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Other fund investments</b> </div> <div align="left" style="font-size: 10pt">The Firm holds investments in mutual/collective investment funds, private equity funds, hedge funds and real estate funds. Where the funds produce a daily net asset value (&#8220;NAV&#8221;) that is validated by a sufficient level of observable activity (purchases and sales at NAV), the NAV is used to value the fund investment and it is classified in level 1 of the valuation hierarchy. Where adjustments to the NAV are required, for example, with respect to interests in funds subject to restrictions on redemption (such as lock-up periods or withdrawal limitations) and/or observable activity for the fund investment is limited, investments are classified within level 2 or 3 of the valuation hierarchy. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Liabilities</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Securities sold under repurchase agreements (&#8220;repurchase agreements&#8221;)</b> </div> <div align="left" style="font-size: 10pt">To estimate the fair value of repurchase agreements, cash flows are first evaluated taking into consideration any derivative features of the repurchase agreements and are then discounted using the appropriate market rates for the applicable maturity. Generally, for these types of agreements, there is a requirement that collateral be maintained with a market value equal to, or in excess of, the principal amount loaned; as a result, there would be no adjustment, or an immaterial adjustment, to reflect the credit quality of the Firm (i.e., DVA) related to these agreements. As the inputs into the valuation are primarily based on observable pricing information, repurchase agreements are classified within level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Beneficial interests issued by consolidated VIEs</b> </div> <div align="left" style="font-size: 10pt">The fair value of beneficial interests issued by consolidated VIEs (&#8220;beneficial interests&#8221;) is estimated based on the fair value of the underlying assets held by the VIEs. The valuation of beneficial interests does not include an adjustment to reflect the credit quality of the Firm, as the holders of these beneficial interests do not have recourse to the general credit of JPMorgan Chase. Where the inputs into the valuation are based on observable market pricing information, the beneficial interests are classified within level 2 of the valuation hierarchy. Where significant inputs into the valuation are unobservable, the beneficial interests are classified within level 3 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Deposits, other borrowed funds and long-term debt</b> </div> <div align="left" style="font-size: 10pt">To estimate the fair value of long-term debt, cash flows are discounted using the appropriate market rates for the applicable maturities, with an adjustment to reflect the credit quality of the Firm (i.e., the DVA). Included within deposits, other borrowed funds and long-term debt are structured notes issued by the Firm that are financial instruments containing embedded derivatives. In addition to the above, the estimation of the fair value of structured notes takes into consideration any derivative features. Where the inputs into the valuation are primarily based on observable market prices, the structured notes are classified within level 2 of the valuation hierarchy. 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When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable parameters to the overall fair value measurement. However, level 3 financial instruments typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. 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style="font-size: 8pt" valign="bottom"> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">gains/</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="center" colspan="2">(losses)</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="18" style="border-bottom: 1px solid #000000">Fair value measurements using significant unobservable inputs</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">related to</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Total</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Fair</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">financial</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Value</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">realized/</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Purchases,</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Transfers</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">value</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">instruments</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Year ended</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">at</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">unrealized</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">issuances</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">into and/or</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">at</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">held at</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>December 31, 2010</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">January 1,</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">gains/</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">settlements,</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">out of</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">December 31,</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">2010</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">(losses)</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">net</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">level 3<sup style="font-size: 85%; vertical-align: text-top">(e)</sup></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">2010</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">2010</td> <td>&#160;</td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets:</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">Debt instruments: </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage-backed securities: </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">U.S. government agencies </div></td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>260</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>24</b></td> <td>&#160;</td> 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<td>&#160;</td> <td>&#160;</td> <td align="right"><b>142</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>142</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,257</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(30</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>734</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(132</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>140</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(45</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>697</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(105</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">Corporate debt securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>5,241</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(325</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>115</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(85</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>4,946</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>28</b></td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td>&#160;</td> <td>&#160;</td> <td 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<td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">Debt instruments: </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage-backed securities: </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">U.S. government agencies </div></td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>163</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(38</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>62</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>73</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>260</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(38</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Residential &#8211; nonagency </div></td> 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nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(325</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(150</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,770</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(313</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total mortgage-backed securities</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>5,989</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,062</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(508</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,274</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>3,145</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,222</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,641</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(22</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(648</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,971</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(123</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>707</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>38</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(75</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>64</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>734</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>34</b></td> <td>&#160;</td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; 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align="right"><b>7,975</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>734</b></td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total debt instruments</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>38,814</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(443</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(8,522</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,435</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>32,284</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,816</b></td> <td 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style="font-size: 85%; vertical-align: text-top">(a)</sup></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(9,287</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>3,704</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>35,166</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,986</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top">(a)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total net derivative receivables </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>9,507</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(11,406</b></td> <td 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However, certain financial instruments and all nonfinancial instruments are excluded from the scope of these disclosure requirements. Accordingly, the fair value disclosures provided in the following table include only a partial estimate of the fair value of JPMorgan Chase&#8217;s assets and liabilities. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For example, the Firm has developed long-term relationships with its customers through its deposit base and credit card accounts, commonly referred to as core deposit intangibles and credit card relationships. In the opinion of management, these items, in the aggregate, add significant value to JPMorgan Chase, but their fair value is not disclosed in this Note. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Financial instruments for which carrying value approximates fair value</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">Certain financial instruments that are not carried at fair value on the Consolidated Balance Sheets are carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. These instruments include cash and due from banks; deposits with banks; federal funds sold; securities purchased under resale agreements and securities borrowed with short-dated maturities; short-term receivables and accrued interest receivable; commercial paper; federal funds purchased; securities loaned and sold under repurchase agreements with short-dated maturities; other borrowed funds (excluding advances from the Federal Home Loan Banks (&#8220;FHLBs&#8221;)); accounts payable; and accrued liabilities. 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Counterparties to a derivative contract seek to obtain risks and rewards similar to those that could be obtained from purchasing or selling a related cash instrument without having to exchange upfront the full purchase or sales price. JPMorgan Chase makes markets in derivatives for customers and also uses derivatives to hedge or manage its own market risk exposures. The majority of the Firm&#8217;s derivatives are entered into for market-making purposes. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Trading derivatives</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The Firm makes markets in a variety of derivatives in its trading portfolios to meet the needs of customers (both dealers and clients) and to generate revenue through this trading activity (&#8220;client derivatives&#8221;). Customers use derivatives to mitigate or modify interest rate, credit, foreign exchange, equity and commodity risks. The Firm actively manages the risks from its exposure to these derivatives by entering into other derivative transactions or by purchasing or selling other financial instruments that partially or fully offset the exposure from client derivatives. The Firm also seeks to earn a spread between the client derivatives and offsetting positions, and from the remaining open risk positions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Risk management derivatives</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The Firm manages its market risk exposures using various derivative instruments. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Interest rate contracts are used to minimize fluctuations in earnings that are caused by changes in interest rates. Fixed-rate assets and liabilities appreciate or depreciate in market value as interest rates change. Similarly, interest income and expense increase or decrease as a result of variable-rate assets and liabilities resetting to current market rates, and as a result of the repayment and subsequent origination or issuance of fixed-rate assets and liabilities at current market rates. Gains or losses on the derivative instruments that are related to such assets and liabilities are expected to substantially offset this variability in earnings. The Firm generally uses interest rate swaps, forwards and futures to manage the impact of interest rate fluctuations on earnings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Foreign currency forward contracts are used to manage the foreign exchange risk associated with certain foreign currency&#8211;denominated (i.e., non-U.S.) assets and liabilities and forecasted transactions, as well as the Firm&#8217;s net investments in certain non-U.S. subsidiaries or branches whose functional currencies are not the U.S. dollar. As a result of fluctuations in foreign currencies, the U.S. dollar&#8211;equivalent values of the foreign currency&#8211;denominated assets and liabilities or forecasted revenue or expense increase or decrease. Gains or losses on the derivative instruments related to these foreign currency&#8211;denominated assets or liabilities, or forecasted transactions, are expected to substantially offset this variability. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Commodities based forward and futures contracts are used to manage the price risk of certain inventory, including gold and base metals, in the Firm&#8217;s commodities portfolio. Gains or losses on the forwards and futures are expected to substantially offset the depreciation or appreciation of the related inventory. Also in the commodities portfolio, electricity and natural gas futures and forwards contracts are used to manage price risk associated with energy-related tolling and load-serving contracts and investments. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm uses credit derivatives to manage the counterparty credit risk associated with loans and lending-related commitments. Credit derivatives compensate the purchaser when the entity referenced in the contract experiences a credit event, such as bankruptcy or a failure to pay an obligation when due. For a further discussion of credit derivatives, see the discussion in the Credit derivatives section on pages 197&#8211;199 of this Note. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For more information about risk management derivatives, see the risk management derivatives gains and losses table on page 196 of this Annual Report, and the hedge accounting gains and losses tables on pages 194&#8211;195 of this Note. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Accounting for derivatives</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt"> All free-standing derivatives are required to be recorded on the Consolidated Balance Sheets at fair value. As permitted under U.S. GAAP, the Firm nets derivative assets and liabilities, and the related cash collateral received and paid, when a legally enforceable master netting agreement exists between the Firm and the derivative counterparty. The accounting for changes in value of a derivative depends on whether or not the transaction has been designated and qualifies for hedge accounting. Derivatives that are not designated as hedges are marked to market through earnings. The tabular disclosures on pages 192&#8211;199 of this Note provide additional information on the amount of, and reporting for, derivative assets, liabilities, gains and losses. For further discussion of derivatives embedded in structured notes, see Notes 3 and 4 on pages 170&#8211;187 and 187&#8211;189, respectively, of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Derivatives designated as hedges</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt"> The Firm applies hedge accounting to certain derivatives executed for risk management purposes &#8211; generally interest rate, foreign exchange and gold and base metal derivatives. However, JPMorgan Chase does not seek to apply hedge accounting to all of the derivatives involved in the Firm&#8217;s risk management activities. For example, the Firm does not apply hedge accounting to purchased credit default swaps used to manage the credit risk of loans and commitments, because of the difficulties in qualifying such contracts as hedges. For the same reason, the Firm does not apply hedge accounting to certain interest rate and commodity derivatives used for risk management purposes. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"> To qualify for hedge accounting, a derivative must be highly effective at reducing the risk associated with the exposure being hedged. In addition, for a derivative to be designated as a hedge, the risk management objective and strategy must be documented. Hedge documentation must identify the derivative hedging instrument, the asset or liability or forecasted transaction and type of risk to be hedged, and how the effectiveness of the derivative is assessed prospectively and retrospectively. To assess effectiveness, the Firm uses statistical methods such as regression analysis, as well as nonstatistical methods including dollar-value comparisons of the change in the fair value of the derivative to the change in the fair value or cash flows of the hedged item. <font style="font-size: 10pt;">The extent to which a derivative has been, and is expected to continue to be, effective at offsetting changes in the fair value or cash flows of the hedged item must be assessed and documented at least quarterly. Any hedge ineffectiveness (i.e., the amount by which the gain or loss on the designated derivative instrument does not exactly offset the change in the hedged item attributable to the hedged risk) must be reported in current-period earnings. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued. </font> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">There are three types of hedge accounting designations: fair value hedges, cash flow hedges and net investment hedges. JPMorgan Chase uses fair value hedges primarily to hedge fixed-rate long-term debt, AFS securities and gold and base metal inventory. For qualifying fair value hedges, the changes in the fair value of the derivative, and in the value of the hedged item, for the risk being hedged, are recognized in earnings. If the hedge relationship is terminated, then the fair value adjustment to the hedged item continues to be reported as part of the basis of the hedged item and for interest-bearing instruments is amortized to earnings as a yield adjustment. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item &#8211; primarily net interest income and principal transactions revenue. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase uses cash flow hedges to hedge the exposure to variability in cash flows from floating-rate financial instruments and forecasted transactions, primarily the rollover of short-term assets and liabilities, and foreign currency&#8211;denominated revenue and expense. For qualifying cash flow hedges, the effective portion of the change in the fair value of the derivative is recorded in other comprehensive income/(loss) (&#8220;OCI&#8221;) and recognized in the Consolidated Statements of Income when the hedged cash flows affect earnings. 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margin-top: 6pt"><b> Free-standing derivatives<sup style="font-size: 85%; vertical-align: text-top">(a)</sup></b> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="28%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Derivative receivables</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="10" style="border-bottom: 1px solid #000000">Derivative payables</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Not</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">&#160;</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b> December 31, 2010 </b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Not designated</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Designated</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Total derivative</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">designated</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Designated</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">Total derivative</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">as hedges</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">as hedges</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">receivables</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">as hedges</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">as hedges</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">payables</td> <td>&#160;</td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; 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The amount of derivative receivables reported on the Consolidated Balance Sheets is the fair value of the derivative contracts after giving effect to legally enforceable master netting agreements and cash collateral held by the Firm. These amounts represent the cost to the Firm to replace the contracts at then-current market rates should the counterparty default. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">While derivative receivables expose the Firm to credit risk, derivative payables expose the Firm to liquidity risk, as the derivative contracts typically require the Firm to post cash or securities collateral with counterparties as the mark-to-market (&#8220;MTM&#8221;) of the contracts moves in the counterparties&#8217; favor, or upon specified downgrades in the Firm&#8217;s and its subsidiaries&#8217; respective credit ratings. 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The Firm also receives and delivers collateral at the initiation of derivative transactions, which is available as security against potential exposure that could arise should the fair value of the transactions move in the Firm&#8217;s or client&#8217;s favor, respectively. Furthermore, the Firm and its counterparties hold collateral related to contracts that have a non-daily call frequency for collateral to be posted, and collateral that the Firm or a counterparty has agreed to return but has not yet settled as of the reporting date. At December&#160;31, 2010 and 2009, the Firm had received $18.0&#160;billion and $16.9&#160;billion, respectively, and delivered $8.4&#160;billion and $5.8 billion, respectively, of such additional collateral. These amounts were not netted against the derivative receivables and payables in the table above, because, at an individual counterparty level, the collateral exceeded the fair value exposure at December&#160;31, 2010 and 2009. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Credit derivatives</i><br /> Credit derivatives are financial instruments whose value is derived from the credit risk associated with the debt of a third-party issuer (the reference entity) and which allow one party (the protection purchaser) to transfer that risk to another party (the protection seller). Credit derivatives expose the protection purchaser to the creditworthiness of the protection seller, as the protection seller is required to make payments under the contract when the reference entity experiences a credit event, such as a bankruptcy, a failure to pay its obligation or a restructuring. The seller of credit protection receives a premium for providing protection but has the risk that the underlying instrument referenced in the contract will be subject to a credit event. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm is both a purchaser and seller of protection in the credit derivatives market and uses these derivatives for two primary purposes. First, in its capacity as a market-maker in the dealer/client business, the Firm actively risk manages a portfolio of credit derivatives by purchasing and selling credit protection, predominantly on corporate debt obligations, to meet the needs of customers. As a seller of protection, the Firm&#8217;s exposure to a given reference entity may be offset partially, or entirely, with a contract to purchase protection from another counterparty on the same or similar reference entity. Second, the Firm uses credit derivatives to mitigate credit risk associated with its overall derivative receivables and traditional commercial credit lending exposures (loans and unfunded commitments) as well as to manage its exposure to residential and commercial mortgages. See Note 3 on pages 170&#8211;187 of this Annual Report for further information on the Firm&#8217;s mortgage-related exposures. In accomplishing the above, the Firm uses different types of credit derivatives. Following is a summary of various types of credit derivatives. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Credit default swaps</i><br /> Credit derivatives may reference the credit of either a single reference entity (&#8220;single-name&#8221;) or a broad-based index. The Firm purchases and sells protection on both single- name and index-reference obligations. Single-name CDS and index CDS contracts are OTC derivative contracts. Single-name CDS are used to manage the default risk of a single reference entity, while index CDS contracts are used to manage the credit risk associated with the broader credit markets or credit market segments. Like the S&#038;P 500 and other market indices, a CDS index comprises a portfolio of CDS across many reference entities. New series of CDS indices are periodically established with a new underlying portfolio of reference entities to reflect changes in the credit markets. If one of the reference entities in the index experiences a credit event, then the reference entity that defaulted is removed from the index. CDS can also be referenced against specific portfolios of reference names or against customized exposure levels based on specific client demands: for example, to provide protection against the first $1&#160;million of realized credit losses in a $10 million portfolio of exposure. 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If a credit event occurs, the issuer is not obligated to repay the par value of the note, but rather, the issuer pays the investor the difference between the par value of the note and the fair value of the defaulted reference obligation at the time of settlement. Neither party to the credit-related note has recourse to the defaulting reference entity. For a further discussion of credit-related notes, see Note 16 on pages 244&#8211;259 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Effective July&#160;1, 2010, the Firm adopted new accounting guidance prospectively related to credit derivatives embedded in beneficial interests in securitized financial assets, which resulted in the election of the fair value option for certain instruments in the AFS securities portfolio. 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This revenue category also includes gains and losses on sales and lower of cost or fair value adjustments for mortgage loans held-for-sale, as well as changes in fair value for mortgage loans originated with the intent to sell and measured at fair value under the fair value option. Changes in the fair value of RFS mortgage servicing rights are reported in mortgage fees and related income. Net interest income from mortgage loans, and securities gains and losses on AFS securities used in mortgage-related risk management activities, are recorded in interest income and securities gains/(losses), respectively. For a further discussion of MSRs, see Note 17 on pages 260&#8211;263 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Credit card income</b><br /> This revenue category includes interchange income from credit and debit cards. Prior to 2010, this revenue category included servicing fees earned in connection with securitization activities. Effective January&#160;1, 2010, the Firm consolidated its Firm-sponsored credit card securitization trusts (see Note 16 on pages&#160;244&#8211;259 of this Annual Report) and, as a result, the servicing fees were eliminated in consolidation. Volume-related payments to partners and expense for rewards programs are netted against interchange income; expense related to rewards programs are recorded when the rewards are earned by the customer. Other fee revenue is recognized as earned, except for annual fees, which are deferred and recognized on a straight-line basis over the 12-month period to which they pertain. Direct loan origination costs are also deferred and recognized over a 12-month period. In addition, due to the consolidation of Chase Paymentech Solutions in the fourth quarter of 2008, this category now includes net fees earned for processing card transactions for merchants. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Credit card revenue sharing agreements</i><br /> The Firm has contractual agreements with numerous affinity organizations and co-brand partners, which grant the Firm exclusive rights to market to the members or customers of such organizations and partners. These organizations and partners endorse the credit card programs and provide their mailing lists to the Firm, and they may also conduct marketing activities and provide awards under the various credit card programs. The terms of these agreements generally range from three to 10 years. 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The U.S. plan employs a cash balance formula in the form of pay and interest credits to determine the benefits to be provided at retirement, based on eligible compensation and years of service. Employees begin to accrue plan benefits after completing one year of service, and benefits generally vest after three years of service. In November&#160;2009, the Firm announced certain changes to the pay credit schedule and amount of eligible compensation recognized under the U.S. plan effective February&#160;1, 2010. The Firm also offers benefits through defined benefit pension plans to qualifying employees in certain non-U.S. locations based on factors such as eligible compensation, age and/or years of service. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">It is the Firm&#8217;s policy to fund the pension plans in amounts sufficient to meet the requirements under applicable laws. On January&#160;15, 2009, and August&#160;28, 2009, the Firm made discretionary cash contributions to its U.S. defined benefit pension plan of $1.3&#160;billion and $1.5&#160;billion, respectively. The amount of potential 2011 contributions to the U.S. defined benefit pension plans, if any, is not determinable at this time. The expected amount of 2011 contributions to the non-U.S. defined benefit pension plans is $166&#160;million of which $154&#160;million is contractually required. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase also has a number of defined benefit pension plans not subject to Title IV of the Employee Retirement Income Security Act. The most significant of these plans is the Excess Retirement Plan, pursuant to which certain employees earn pay and interest credits on compensation amounts above the maximum stipulated by law under a qualified plan. The Firm announced that, effective May&#160;1, 2009, pay credits would no longer be provided on compensation amounts above the maximum stipulated by law. The Excess Retirement Plan had an unfunded projected benefit obligation in the amount of $266&#160;million and $267&#160;million, at December&#160;31, 2010 and 2009, respectively. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Defined contribution plans</i><br /> JPMorgan Chase currently provides two qualified defined contribution plans in the U.S. and other similar arrangements in certain non-U.S. locations, all of which are administered in accordance with applicable local laws and regulations. The most significant of these plans is The JPMorgan Chase 401(k) Savings Plan (the &#8220;401(k) Savings Plan&#8221;), which covers substantially all U.S. employees. The 401(k) Savings Plan allows employees to make pretax and Roth 401(k) contributions to tax-deferred investment portfolios. The JPMorgan Chase Common Stock Fund, which is an investment option under the 401(k) Savings Plan, is a nonleveraged employee stock ownership plan. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm matched eligible employee contributions up to 5% of benefits-eligible compensation (e.g., base pay) on a per pay period basis through April&#160;30, 2009, and then amended the plan to provide that thereafter matching contributions would be made annually. Employees begin to receive matching contributions after completing a one-year-of-service requirement. Employees with total annual cash compensation of $250,000 or more are not eligible for matching contributions. Matching contributions are immediately vested for employees hired before May&#160;1, 2009, and will vest after three years of service for employees hired on or after May&#160;1, 2009. 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Postretirement medical benefits also are offered to qualifying U.K. employees. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase&#8217;s U.S. OPEB obligation is funded with corporate-owned life insurance (&#8220;COLI&#8221;) purchased on the lives of eligible employees and retirees. While the Firm owns the COLI policies, COLI proceeds (death benefits, withdrawals and other distributions) may be used only to reimburse the Firm for its net postretirement benefit claim payments and related administrative expense. 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text-indent:-15px">Curtailment (gain)/loss </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">5</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">4</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Settlement (gain)/loss </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Special termination benefits </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">3</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net periodic benefit cost</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>138</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">551</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">52</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>90</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">81</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">47</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(53</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(38</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(31 </td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other defined benefit pension plans<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>14</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">15</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">11</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>11</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">12</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">14</td> <td>&#160;</td> <td>&#160;</td> <td colspan="2" align="right"><b>NA</b></td> <td>&#160;</td> <td>&#160;</td> <td colspan="2" align="right">NA</td> <td>&#160;</td> <td>&#160;</td> <td colspan="2" align="right">NA</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total defined benefit plans</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>152</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">566</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">63</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>101</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">93</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">61</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(53</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(38</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(31 </td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total defined contribution plans </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>332</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">359</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">263</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>251</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">226</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">286</td> <td>&#160;</td> <td>&#160;</td> <td colspan="2" align="right"><b>NA</b></td> <td>&#160;</td> <td>&#160;</td> <td colspan="2" align="right">NA</td> <td>&#160;</td> <td>&#160;</td> <td colspan="2" align="right">NA</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total pension and OPEB cost included in compensation expense</b> </div></td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>484</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">925</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">326</td> <td>&#160;</td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>352</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">319</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">347</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(53</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">$</td> <td align="right">(38</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">$</td> <td align="right">(31 </td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 2px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Changes in plan assets and benefit obligations recognized in other comprehensive income</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Net (gain)/loss arising during the year </div></td> <td>&#160;</td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(187</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">$</td> <td align="right">(168</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td align="left">$</td> <td align="right">3,243</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(21</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td align="left">$</td> <td align="right">183</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">235</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(54</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">$</td> <td align="right">(176</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td align="left">$</td> <td align="right">248</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Prior service credit arising during the year </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(384</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(10</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Amortization of net loss </div></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(225</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(304</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(56</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(44</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(27</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Amortization of prior service (cost)/credit </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>43</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(6</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(5</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>13</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">15</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">15</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Curtailment (gain)/loss </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">2</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">3</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; 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margin-top: 0pt"> <b> </b> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Plan assumptions</b><br /> JPMorgan Chase&#8217;s expected long-term rate of return for U.S. defined benefit pension and OPEB plan assets is a blended average of the investment advisor&#8217;s projected long-term (10&#160;years or more) returns for the various asset classes, weighted by the asset allocation. Returns on asset classes are developed using a forward-looking building-block approach and are not strictly based on historical returns. Equity returns are generally developed as the sum of inflation, expected real earnings growth and expected long-term dividend yield. Bond returns are generally developed as the sum of inflation, real bond yield and risk spread (as appropriate), adjusted for the expected effect on returns from changing yields. Other asset-class returns are derived from their relationship to the equity and bond markets. Consideration is also given to current market conditions and the short-term portfolio mix of each plan; as a result, in 2010 the Firm generally maintained the same expected return on assets as in the prior year. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For the U.K. defined benefit pension plans, which represent the most significant of the non-U.S. defined benefit pension plans, procedures similar to those in the U.S. are used to develop the expected long-term rate of return on defined benefit pension plan assets, taking into consideration local market conditions and the specific allocation of plan assets. The expected long-term rate of return on U.K. plan assets is an average of projected long-term returns for each asset class. The return on equities has been selected by reference to the yield on long-term U.K. government bonds plus an equity risk premium above the risk-free rate. The return on &#8220;AA&#8221;-rated long-term corporate bonds has been taken as the average yield on such bonds. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The discount rate used in determining the benefit obligation under the U.S. defined benefit pension and OPEB plans was selected by reference to the yields on portfolios of bonds with maturity dates and coupons that closely match each of the plan&#8217;s projected cash flows; such portfolios are derived from a broad-based universe of high-quality corporate bonds as of the measurement date. In years in which these hypothetical bond portfolios generate excess cash, such excess is assumed to be reinvested at the one-year forward rates implied by the Citigroup Pension Discount Curve published as of the measurement date. 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margin-top: 6pt">The following table presents the effect of a one-percentage-point change in the assumed health care cost trend rate on JPMorgan Chase&#8217;s total service and interest cost and accumulated postretirement benefit obligation. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="72%">&#160;</td> <td width="5%">&#160;</td> <td width="3%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="3%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">1-Percentage-</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">1-Percentage-</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left"><b>Year ended December 31, 2010</b></td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">point</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">point</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">increase</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">decrease</td> <td>&#160;</td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Effect on total service and interest cost </div></td> <td>&#160;</td> <td align="right">$</td> <td align="right">2</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right">$</td> <td align="right">(2</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Effect on accumulated postretirement benefit obligation </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">36</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(31</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="9" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <!-- End Table Body --> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">At December&#160;31, 2010, the Firm decreased the discount rates used to determine its benefit obligations for the U.S. defined benefit pension and OPEB plans in light of current market interest rates, which will result in an increase in expense of approximately $21&#160;million for 2011. The 2011 expected long-term rate of return on U.S. defined benefit pension plan assets and U.S. OPEB plan assets are 7.50% and 6.25%, respectively, as compared to 7.50% and 7.00% in 2010<b>. </b>The initial health care benefit obligation trend assumption declined from 7.75% in 2010 to 7.00% in 2011. The ultimate health care trend assumption will remain at 5.00% in 2011, but the year to ultimate was adjusted from 2014 to 2017. As of December&#160;31, 2010, the interest crediting rate assumption and the assumed rate of compensation increase remained at 5.25% and 4.00%, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase&#8217;s U.S. defined benefit pension and OPEB plan expense is sensitive to the expected long-term rate of return on plan assets and the discount rate. With all other assumptions held constant, a 25-basis point decline in the expected long-term rate of return on U.S. plan assets would result in an increase of approximately an aggregate $30&#160;million in 2011 U.S. defined benefit pension and OPEB plan expense. A 25-basis point decline in the discount rate for the U.S. plans would result in an increase in 2011 U.S. defined benefit pension and OPEB plan expense of approximately an aggregate $11&#160;million and an increase in the related benefit obligations of approximately an aggregate $169&#160;million. A 25-basis point increase in the interest crediting rate for the U.S. defined benefit pension plan would result in an increase in 2011 U.S. defined benefit pension expense of approximately $19&#160;million and an increase in the related projected benefit obligations of approximately $76&#160;million. A 25-basis point decline in the discount rates for the non-U.S. plans would result in an increase in the 2011 non-U.S. defined benefit pension plan expense of approximately $11&#160;million. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Investment strategy and asset allocation</b><br /> The Firm&#8217;s U.S. defined benefit pension plan assets are held in trust and are invested in a well-diversified portfolio of equity and fixed income securities, real estate, cash and cash equivalents, and alternative investments (e.g., hedge funds, private equity funds, and real estate funds). Non-U.S. defined benefit pension plan assets are held in various trusts and are also invested in well-diversified portfolios of equity, fixed income and other securities. Assets of the Firm&#8217;s COLI policies, which are used to partially fund the U.S. OPEB plan, are held in separate accounts with an insurance company and are invested in equity and fixed income index funds. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The investment policy for the Firm&#8217;s U.S. defined benefit pension plan assets is to optimize the risk-return relationship as appropriate to the needs and goals using a global portfolio of various asset classes diversified by market segment, economic sector, and issuer. Periodically the Firm performs a comprehensive analysis on the U.S. defined benefit pension plan asset allocations, incorporating projected asset and liability data, which focuses on the short-and long-term impact of the asset allocation on cumulative pension expense, economic cost, present value of contributions and funded status. Currently, approved asset allocation ranges are: U.S. equity 15&#8211;35%, international equity 15&#8211;25%, debt securities 10&#8211;30%, hedge funds 10&#8211;30%, real estate 5&#8211;20%, and private equity 5&#8211;20%. Asset allocations are not managed to a specific target but seek to shift asset class allocations within these stated ranges. Assets are managed by a combination of internal and external investment managers. Asset allocation decisions also incorporate the economic outlook and anticipated implications of the macroeconomic environment on the various asset classes and managers. Maintaining an appropriate level of liquidity, which takes into consideration forecasted requirements for cash is a major consideration in the asset allocation process. The Firm regularly reviews the asset allocations and all factors that continuously impact the portfolio, which is rebalanced when deemed necessary. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For the U.K. defined benefit pension plans, which represent the most significant of the non-U.S. defined benefit pension plans, the assets are invested to maximize returns subject to an appropriate level of risk relative to the plans&#8217; liabilities. In order to reduce the volatility in returns relative to the plan&#8217;s liability profiles, the U.K. defined benefit pension plans&#8217; largest asset allocations are to debt securities of appropriate durations. Other assets, mainly equity securities, are then invested for capital appreciation, to provide long-term investment growth. Similar to the U.S. defined benefit pension plan, asset allocations for the U.K. plans are reviewed and rebalanced on a regular basis. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Investments held by the Plans include financial instruments which are exposed to various risks such as interest rate, market and credit risks. Exposure to a concentration of credit risk is mitigated by the broad diversification of both U.S. and non-U.S. investment instruments. Additionally, the investments in each of the common/ collective trust funds and registered investment companies are further diversified into various financial instruments. As of December&#160;31, 2010, assets held by the Firm&#8217;s U.S. and non-U.S. defined benefit pension and OPEB plans do not include JPMorgan Chase common stock, except in connection with investments in third-party stock-index funds. 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margin-top: 3pt; width: 18%; border-top: 0px solid #000000">&#160; </div> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96%"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(a)</td> <td>&#160;</td> <td>Debt securities primarily include corporate debt, U.S. federal, state, local and non-U.S. government, and mortgage-backed securities.</td> </tr> <tr style="font-size: 0pt"> <td>&#160;</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td>&#160;</td> <td>Alternatives primarily include limited partnerships.</td> </tr> <tr style="font-size: 0pt"> <td>&#160;</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td>&#160;</td> <td>Represents the U.S. OPEB plan only, as the U.K. OPEB plan is unfunded.</td> </tr> </table> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Fair value measurement of the plans&#8217; 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Due to the highly liquid nature of these assets, they are classified within level 1 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Equity securities</i><br /> Common and preferred stocks are valued at the closing price reported on the major market on which the individual securities are traded and are generally classified within level 1 of the valuation hierarchy. If quoted exchange prices are not available for the specific security, other independent pricing or broker quotes are consulted for valuation purposes. Consideration is given to the nature of the quotes (e.g., indicative or firm) and the relationship of recently evidenced market activity to the prices provided from independent pricing services. Common and preferred stock that do not have quoted exchange prices are generally classified within level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Common/collective trust funds</i><br /> These investments are public investment vehicles valued based on the calculated NAV of the fund. Where the funds produce a daily NAV that is validated by a sufficient level of observable activity (purchases and sales at NAV), the NAV is used to value the fund investment and it is classified in level 1 of the valuation hierarchy. Where adjustments to the NAV are required, for example, with respect to interests in funds subject to restrictions on redemption (such as withdrawal limitations) and/or observable activity for the fund investment is limited, investments are classified within level 2 of the valuation hierarchy. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Limited partnerships</i><br /> Limited partnerships include investments in hedge funds, private equity funds and real estate funds. Hedge funds are valued based on quoted NAV and are classified within level 2 or 3 of the valuation hierarchy depending on the level of liquidity and activity in the markets for each investment. Certain of these hedge fund investments are subject to restrictions on redemption (such as initial lock-up periods, withdrawal limitations and illiquid assets) and are therefore classified within level 3 of the valuation hierarchy. The valuation of private equity investments and real estate funds require significant management judgment due to the absence of quoted market prices, the inherent lack of liquidity and the long-term nature of such assets and therefore, they are generally classified within level 3 of the valuation hierarchy. Unfunded commitments to purchase limited partnership investments for the Plans were $1.1&#160;billion and $1.3&#160;billion for 2010 and 2009, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Corporate debt securities and U.S. federal, state, local and non-government debt securities</i><br /> The Firm estimates the value of debt instruments using a combination of observed transaction prices, independent pricing services and relevant broker quotes. Consideration is given to the nature of the quotes (e.g., indicative or firm) and the relationship of recently evidenced market activity to the prices provided from independent pricing services. The Firm may also use pricing models or discounted cash flows. Such securities are generally classified within level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Mortgage-backed securities</i><br /> MBS include both U.S. government agency and U.S. government-sponsored enterprise (collectively, &#8220;U.S. government agencies&#8221;) securities, and nonagency pass-through securities. U.S. government agency securities are valued based on quoted prices in active markets and are therefore classified in level 1 of the valuation hierarchy. Nonagency securities are primarily &#8220;AAA&#8221; rated residential and commercial MBS valued using a combination of observed transaction prices, independent pricing services and relevant broker quotes. Consideration is given to the nature of the quotes and the relationships of recently evidenced market activity to the prices provided from independent pricing services. Such securities are generally classified within level 2 of the valuation hierarchy. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Derivative receivables and derivative payables</i><br /> In the normal course of business, foreign exchange, credit, interest rate and equity derivative contracts are used to minimize fluctuations in the value of plan assets caused by exposure to credit or market risks. These instruments may also be used in lieu of investing in cash instruments. Exchange traded derivatives valued using quoted prices are classified within level 1 of the valuation hierarchy. However, a majority of the derivative instruments are valued using internally developed models that use as their basis readily observable market parameters and are therefore classified within level 2 of the valuation hierarchy. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Other</i><br /> Other consists of exchange traded funds (&#8220;ETFs&#8221;), mutual fund investments, and participating and non-participating annuity contracts (&#8220;Annuity Contracts&#8221;). ETFs are valued at the closing price reported on the major market on which the individual securities are traded and are generally classified within level 1 of the valuation hierarchy. Mutual fund investments are valued using NAV. Those fund investments with a daily NAV that are validated by a sufficient level of observable activity (purchases and sales at NAV) are classified in level 1 of the valuation hierarchy. Where adjustments to the NAV are required, for example, for fund investments subject to restrictions on redemption (such as lock-up periods or withdrawal limitations), and/or observable activity for the fund investment is limited, the mutual fund investments are classified in level 2 or 3 of the valuation hierarchy. Annuity Contracts are valued at the amount by which the fair value of the assets held in the separate account exceeds the actuarially determined guaranteed benefit obligation covered under the Annuity Contracts. 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text-indent:-15px">Energy </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">188</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">188</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">45</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">13</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">58</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Materials </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">186</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">186</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">35</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">3</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">38</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Real estate </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">19</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">19</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">571</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">572</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">171</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">171</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total equity securities</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">2,772</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">14</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">2,786</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">493</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">75</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">568</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Common/collective trust funds<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">1,868</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">610</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">2,478</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">23</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">185</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">208</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Limited partnerships: </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Hedge funds </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">912</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">627</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1,539</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Private equity funds </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">874</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">874</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Real estate </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">196</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">196</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; 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margin-top: 12pt"><b>Note 10 &#8211; Employee stock-based incentives</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Employee stock-based awards</b><br /> In 2010, 2009, and 2008, JPMorgan Chase granted long-term stock-based awards to certain key employees under the 2005 Long-Term Incentive Plan (the &#8220;2005 Plan&#8221;). The 2005 Plan became effective on May&#160;17, 2005, and was amended in May&#160;2008. Under the terms of the amended 2005 plan, as of December&#160;31, 2010, 113&#160;million shares of common stock are available for issuance through May&#160;2013. The amended 2005 Plan is the only active plan under which the Firm is currently granting stock-based incentive awards. In the following discussion, the 2005 Plan, plus prior Firm plans and plans assumed as the result of acquisitions, are referred to collectively as the &#8220;LTI Plans,&#8221; and such plans constitute the Firm&#8217;s stock-based incentive plans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Restricted stock units (&#8220;RSUs&#8221;) are awarded at no cost to the recipient upon their grant. RSUs are generally granted annually and generally vest at a rate of 50% after two years and 50% after three years and convert into shares of common stock at the vesting date. In addition, RSUs typically include full-career eligibility provisions, which allow employees to continue to vest upon voluntary termination, subject to post-employment and other restrictions based on age or service-related requirements. All of these awards are subject to forfeiture until vested. An RSU entitles the recipient to receive cash payments equivalent to any dividends paid on the underlying common stock during the period the RSU is outstanding and, as such, are considered participating securities as discussed in Note 25 on page 269 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Under the LTI Plans, stock options and stock appreciation rights (&#8220;SARs&#8221;) have generally been granted with an exercise price equal to the fair value of JPMorgan Chase&#8217;s common stock on the grant date. The Firm typically awards SARs to certain key employees once per year, and it also periodically grants discretionary stock-based incentive awards to individual employees, primarily in the form of both employee stock options and SARs. The 2010, 2009 and 2008 grants of SARs to key employees vest ratably over five years (i.e., 20% per year). The 2010 grants of SARs contain full-career eligibility provisions; the 2009 and 2008 grants of SARs do not include any full-career eligibility provisions. SARs generally expire 10&#160;years after the grant date. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm separately recognizes compensation expense for each tranche of each award as if it were a separate award with its own vesting date. Generally, for each tranche granted, compensation expense is recognized on a straight-line basis from the grant date until the vesting date of the respective tranche, provided that the employees will not become full-career eligible during the vesting period. For awards with full-career eligibility provisions and awards granted with no future substantive service requirement, the Firm accrues the estimated value of awards expected to be awarded to employees as of the grant date without giving consideration to the impact of post-employment restrictions. For each tranche granted to employees who will become full-career eligible during the vesting period, compensation expense is recognized on a straight-line basis from the grant date until the earlier of the employee&#8217;s full-career eligibility date or the vesting date of the respective tranche. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm&#8217;s policy for issuing shares upon settlement of employee stock-based incentive awards is to issue either new shares of common stock or treasury shares. During 2010, 2009 and 2008, the Firm settled all of its employee stock-based awards by issuing treasury shares. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In January&#160;2008, the Firm awarded to its Chairman and Chief Executive Officer up to 2&#160;million SARs. The terms of this award are distinct from, and more restrictive than, other equity grants regularly awarded by the Firm. 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The Firm recognized $4&#160;million, $9&#160;million and $1&#160;million in compensation expense in 2010, 2009 and 2008, respectively, for this award. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In connection with the Bear Stearns merger, 46&#160;million Bear Stearns employee stock awards, principally RSUs, capital appreciation plan units and stock options, were exchanged for equivalent JPMorgan Chase awards using the merger exchange ratio of 0.21753. The fair value of these employee stock awards was included in the Bear Stearns purchase price, since substantially all of the awards were fully vested immediately after the merger date under provisions that provided for accelerated vesting upon a change of control of Bear Stearns. However, Bear Stearns vested employee stock options had no impact on the purchase price; since the employee stock options were significantly out of the money at the merger date, the fair value of these awards was equal to zero upon their conversion into JPMorgan Chase options. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm also exchanged 6&#160;million shares of its common stock for 27&#160;million shares of Bear Stearns common stock held in an irrevocable grantor trust (the &#8220;RSU Trust&#8221;), using the merger exchange ratio of 0.21753. The RSU Trust was established to hold common stock underlying awards granted to selected employees and key executives under certain Bear Stearns employee stock plans. The RSU Trust was consolidated on JPMorgan Chase&#8217;s Consolidated Balance Sheets as of June&#160;30, 2008, and the shares held in the RSU Trust were recorded in &#8220;Shares held in RSU Trust,&#8221; which reduced stockholders&#8217; equity, similar to the treatment for treasury stock. The related obligation to issue stock under these employee stock plans is reported in capital surplus. The issuance of shares held in the RSU Trust to employees has no effect on the Firm&#8217;s total stockholders&#8217; equity, net income or earnings per share. Shares held in the RSU Trust were distributed in 2008, 2009 and 2010, with a majority of the shares in the RSU Trust having been distributed through December&#160;2010. There were 1&#160;million shares in the RSU Trust as of December&#160;31, 2010. 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text-align: left"> <tr> <td width="3%"></td> <td width="1%"></td> <td width="96%"></td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(a)</td> <td>&#160;</td> <td>There were no merger costs for 2010.</td> </tr> </table> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <!-- Blank Space --> <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> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div> </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 12 - jpm:SecuritiesTextBlock--> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 12pt; margin-top: 12pt"><b>Note 12 &#8211; Securities</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Securities are classified as AFS, held-to-maturity (&#8220;HTM&#8221;) or trading. Trading securities are discussed in Note 3 on pages 170&#8211;187 of this Annual Report. Securities are classified primarily as AFS when used to manage the Firm&#8217;s exposure to interest rate movements or used for longer-term strategic purposes. AFS securities are carried at fair value on the Consolidated Balance Sheets. Unrealized gains and losses, after any applicable hedge accounting adjustments, are reported as net increases or decreases to accumulated other comprehensive income/(loss). The specific identification method is used to determine realized gains and losses on AFS securities, which are included in securities gains/(losses) on the Consolidated Statements of Income. Securities that the Firm has the positive intent and ability to hold to maturity are classified as HTM and are carried at amortized cost on the Consolidated Balance Sheets. The Firm has not classified new purchases of securities as HTM for the past several years. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Other-than-temporary impairment</b> </div> <div align="left" style="font-size: 10pt">AFS debt and equity securities in unrealized loss positions are analyzed as part of the Firm&#8217;s ongoing assessment of other-than-temporary impairment (&#8220;OTTI&#8221;). For debt securities, the Firm considers a decline in fair value to be other-than-temporary when the Firm does not expect to recover the entire amortized cost basis of the security. The Firm also considers an OTTI to have occurred when there is an adverse change in cash flows to beneficial interests in securitizations that are rated below &#8220;AA&#8221; at their acquisition, or that can be contractually prepaid or otherwise settled in such a way that the Firm would not recover substantially all of its recorded investment. For AFS equity securities, the Firm considers a decline in fair value to be other-than-temporary if it is probable that the Firm will not recover its amortized cost basis. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For debt securities, OTTI losses must be recognized in earnings if an investor has the intent to sell the debt security, or if it is more likely than not that the investor will be required to sell the debt security before recovery of its amortized cost basis. However, even if an investor does not expect to sell a debt security, it must evaluate the expected cash flows to be received and determine if a credit loss exists. In the event of a credit loss, only the amount of impairment associated with the credit loss is recognized in income. Amounts relating to factors other than credit losses are recorded in OCI. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">When the Firm intends to sell AFS debt or equity securities, it recognizes an impairment loss equal to the full difference between the amortized cost basis and the fair value of those securities. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">When the Firm does not intend to sell AFS debt or equity securities in an unrealized loss position, potential OTTI is considered using a variety of factors, including the length of time and extent to which the market value has been less than cost; adverse conditions specifically related to the industry, geographic area or financial condition of the issuer or underlying collateral of a security; payment structure of the security; changes to the rating of the security by a rating agency; the volatility of the fair value changes; and changes in fair value of the security after the balance sheet date. For debt securities, the Firm estimates cash flows over the remaining lives of the underlying collateral to assess whether credit losses exist and, where applicable for purchased or retained beneficial interests in securitized assets, to determine if any adverse changes in cash flows have occurred. The Firm&#8217;s cash flow estimates take into account expectations of relevant market and economic data as of the end of the reporting period. For securities issued in a securitization, the Firm also takes into consideration underlying loan-level data, and structural features of the securitization, such as subordination, excess spread, overcollateralization or other forms of credit enhancement, and compares the losses projected for the underlying collateral (&#8220;pool losses&#8221;) against the level of credit enhancement in the securitization structure to determine whether these features are sufficient to absorb the pool losses, or whether a credit loss on the AFS debt security exists. 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However, gross unrealized losses on certain securities have increased, including on certain corporate debt securities, which are primarily government-guaranteed positions that experienced credit spread widening. As of December&#160;31, 2010, the Firm does not intend to sell the securities with a loss position in AOCI, and it is not likely that the Firm will be required to sell these securities before recovery of their amortized cost basis. Except for the securities reported in the table above for which credit losses have been recognized in income, the Firm believes that the securities with an unrealized loss in AOCI are not other-than-temporarily impaired as of December&#160;31, 2010. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Following is a description of the Firm&#8217;s principal security investments with the most significant unrealized losses as of December&#160;31, 2010, and the key assumptions used in the Firm&#8217;s estimate of the present value of the cash flows most likely to be collected from these investments. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Mortgage-backed securities &#8211; Prime and Alt-A nonagency</i> </div> <div align="left" style="font-size: 10pt">As of December&#160;31, 2010, gross unrealized losses related to prime and Alt-A residential mortgage-backed securities issued by private issuers were $250&#160;million, all of which have been in an unrealized loss position for 12&#160;months or more. Approximately 70% of the total portfolio (by amortized cost) are currently rated below investment-grade; the Firm has recorded other-than-temporary impairment losses on 55% of the below investment-grade positions. In analyzing prime and Alt-A residential mortgage-backed securities for potential credit losses, the Firm utilizes a methodology that focuses on loan-level detail to estimate future cash flows, which are then allocated to the various tranches of the securities. The loan-level analysis primarily considers current home value, loan-to-value (&#8220;LTV&#8221;) ratio, loan type and geographical location of the underlying property to forecast prepayment, home price, default rate and loss severity. The forecasted weighted average underlying default rate on the positions was 21% and the related weighted average loss severity was 50%. Based on this analysis, an OTTI loss of $6&#160;million was recognized in 2010 related to securities that experienced increased delinquency rates associated with specific collateral types and origination dates. Overall losses have decreased since December 31, 2009, with the recovery in security prices resulting from increased demand for higher-yielding asset classes and a deceleration in the pace of home price declines due in part to the U.S. government programs to facilitate financing and to spur home purchases. The unrealized loss of $250 million is considered temporary, based on management&#8217;s assessment that the estimated future cash flows together with the credit enhancement levels for those securities remain sufficient to support the Firm&#8217;s investment. The credit enhancements associated with the below investment-grade and investment-grade positions are 9% and 24%, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Asset-backed securities &#8211; Collateralized loan obligations</i> </div> <div align="left" style="font-size: 10pt">As of December&#160;31, 2010, gross unrealized losses related to CLOs were $210&#160;million, of which $200 million related to securities that were in an unrealized loss position for 12&#160;months or more. Overall losses have decreased since December&#160;31, 2009, mainly as a result of lower default forecasts and spread tightening across various asset classes. Substantially all of these securities are rated &#8220;AAA,&#8221; &#8220;AA&#8221; and &#8220;A&#8221; and have an average credit enhancement of 30%. Credit enhancement in CLOs is primarily in the form of subordination, which is a form of structural credit enhancement where realized losses associated with assets held by an issuing vehicle are allocated to issued tranches considering their relative seniority. The key assumptions considered in analyzing potential credit losses were underlying loan and debt security defaults and loss severity. Based on current default trends, the Firm assumed collateral default rates of 2.1% for 2010 and 5% thereafter. Further, loss severities were assumed to be 48% for loans and 78% for debt securities. 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The Firm accounts for loans based on the following categories: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Originated or purchased loans held-for-investment (other than purchased credit-impaired (&#8220;PCI&#8221;) loans);</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Loans held-for-sale;</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Fair value loans;</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>PCI loans held-for-investment</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following provides a detailed accounting discussion of these loan categories: </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><i>Loans held-for-investment (other than PCI loans) </i></u> </div> <div align="left" style="font-size: 10pt">Originated or purchased loans held-for-investment, other than PCI loans, are measured at the principal amount outstanding, net of the following: allowance for loan losses; net charge-offs; interest applied to principal (for loans accounted for on the cost recovery method); unamortized discounts and premiums; and deferred loan fees or cost. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Interest income</i> </div> <div align="left" style="font-size: 10pt">Interest income on performing loans held-for-investment, other than PCI loans, is accrued and recognized as interest income at the contractual rate of interest. Purchase price discounts or premiums, as well as net deferred loan fees or costs, are amortized into interest income over the life of the loan to produce a level rate of return. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Nonaccrual loans</i> </div> <div align="left" style="font-size: 10pt">Nonaccrual loans are those on which the accrual of interest has been suspended. Loans (other than credit card loans and certain consumer loans insured by U.S. government agencies) are placed on nonaccrual status and considered nonperforming when full payment of principal and interest is in doubt, which is generally determined when principal or interest is 90&#160;days or more past due and collateral, if any, is insufficient to cover principal and interest. A loan is determined to be past due when the minimum payment is not received from the borrower by the contractually specified due date or for certain loans (e.g., residential real estate loans), when a monthly payment is due and unpaid for 30&#160;days or more. All interest accrued but not collected is reversed against interest income at the date a loan is placed on nonaccrual status. In addition, the amortization of deferred amounts is suspended. In certain cases, interest income on nonaccrual loans may be recognized to the extent cash is received (i.e., cash basis) when the recorded loan balance is deemed fully collectible; however, if there is doubt regarding the ultimate collectability of the recorded loan balance, all interest cash receipts are applied to reduce the carrying value of the loan (the cost recovery method). </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 12pt">A loan may be returned to accrual status when repayment is reasonably assured and there has been demonstrated performance under the terms of the loan or, if applicable, the terms of the restructured loan. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As permitted by regulatory guidance, credit card loans are generally exempt from being placed on nonaccrual status; accordingly, interest and fees related to credit card loans continue to accrue until the loan is charged off or paid in full. However, the Firm separately establishes an allowance for the estimated uncollectible portion of billed and accrued interest and fee income on credit card loans. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Allowance for loan losses</i> </div> <div align="left" style="font-size: 10pt">The allowance for loan losses represents the estimated probable losses on held-for-investment loans. Changes in the allowance for loan losses are recorded in the Provision for credit losses on the Firm&#8217;s Consolidated Statements of Income. <font style="font-size: 10pt">See Note 15 on pages 239&#8211;243 for further information on the Firm&#8217;s accounting polices for the allowance for loan losses.</font> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Charge-offs</i> </div> <div align="left" style="font-size: 10pt">Wholesale loans and risk-rated business banking and auto loans are charged off against the allowance for loan losses when it is highly certain that a loss has been realized. This determination includes many factors, including the prioritization of the Firm&#8217;s claim in bankruptcy, expectations of the workout/restructuring of the loan and valuation of the borrower&#8217;s equity. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Consumer loans, other than risk-rated business banking and auto loans and PCI loans, are generally charged off to the allowance for loan losses upon reaching specified stages of delinquency, in accordance with the Federal Financial Institutions Examination Council (&#8220;FFIEC&#8221;) policy. Residential mortgage loans and scored business banking loans are generally charged down to estimated net realizable value at no later than 180&#160;days past due. Certain consumer loans, including auto loans and non-government guaranteed student loans, are generally charged down to estimated net realizable value at 120&#160;days past due. The Firm regularly assesses the assumptions that it uses to estimate these net realizable values, and updates the underlying assumptions as necessary to further refine its estimates. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Credit card loans are charged off by the end of the month in which the account becomes 180&#160;days past due, or within 60&#160;days from receiving notification about a specified event (e.g., bankruptcy of the borrower), whichever is earlier. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Certain impaired loans are deemed collateral-dependent because repayment of the loan is expected to be provided solely by the underlying collateral, rather than by cash flows from the borrower&#8217;s operations, income or other resources. Impaired collateral-dependent loans are charged-off to the fair value of the collateral, less costs to sell. See Note 15 on pages 239&#8211;243 for information on the Firm&#8217;s charge-off and valuation policies for collateral-dependent loans. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <!-- Blank Space --> <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> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><i>Loans held-for-sale</i></u> </div> <div align="left" style="font-size: 10pt">Held-for-sale loans are measured at the lower of cost or fair value, with valuation changes recorded in noninterest revenue. For wholesale loans, the valuation is performed on an individual loan basis. For consumer loans, the valuation is performed on a portfolio basis. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Interest income on loans held-for-sale is accrued and recognized based on the contractual rate of interest. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Loan origination fees or costs and purchase price discounts or premiums are deferred in a contra loan account until the related loan is sold. The deferred fees and discounts or premiums are an adjustment to the basis of the loan and therefore are included in the periodic determination of the lower of cost or fair value adjustments and/or the gain or losses recognized at the time of sale. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Held-for-sale loans are subject to the nonaccrual policies described above. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Because held-for-sale loans are recognized at the lower of cost or fair value, the Firm&#8217;s allowance for loan losses and charge-off policies do not apply to these loans. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><i>Fair value loans</i></u> </div> <div align="left" style="font-size: 10pt">Loans used in a trading strategy or risk managed on a fair value basis are measured at fair value, with changes in fair value recorded in noninterest revenue. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For these loans, the earned current contractual interest payment is recognized in interest income. Changes in fair value are recognized in noninterest revenue. Loan origination fees are recognized upfront in noninterest revenue. Loan origination costs are recognized in the associated expense category as incurred. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Because these loans are recognized at fair value, the Firm&#8217;s nonaccrual, allowance for loan losses, and charge-off policies do not apply to these loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">See Note 4 on pages 187&#8211;189 of this Annual Report for further information on the Firm&#8217;s elections of fair value accounting under the fair value option. See Note 3 and Note 4 on pages 170&#8211;187 and 187&#8211;189 of this Annual Report for further information on loans carried at fair value and classified as trading assets. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><i>PCI loans</i></u> </div> <div align="left" style="font-size: 10pt">PCI loans held-for-investment are initially measured at fair value. PCI loans have evidence of credit deterioration since the loan&#8217;s origination date and therefore it is probable, at acquisition, that all contractually required payments will not be collected. Because PCI loans are initially measured at fair value, which includes an estimate of future credit losses, no allowance for loan losses related to PCI loans is recorded at the acquisition date. <font style="font-size: 10pt">See page 233 of this Note for information on accounting for PCI loans subsequent to their acquisition.</font> </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Loan classification changes</b> </div> <div align="left" style="font-size: 10pt">Loans in the held-for-investment portfolio that management decides to sell are transferred to the held-for-sale portfolio at the lower of cost or fair value on the date of transfer. Credit-related losses are charged against the allowance for loan losses; losses due to changes in interest rates or foreign currency exchange rates are recognized in noninterest revenue. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In certain limited cases, loans in the held-for-sale portfolio that management decides to retain are transferred to the held-for-investment portfolio at the lower of cost or fair value on the date of transfer. These loans are subsequently assessed for impairment based on the Firm&#8217;s allowance methodology. <font style="font-size: 10pt">For a further discussion of the methodologies used in establishing the Firm&#8217;s allowance for loan losses, see Note 15 on pages 239&#8211;243 of this Annual Report.</font> </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Loan modifications</b> </div> <div align="left" style="font-size: 10pt">The Firm seeks to modify certain loans in conjunction with its loss-mitigation activities. Through the modification, JPMorgan Chase grants one or more concessions to a borrower who is experiencing financial difficulty in order to minimize the Firm&#8217;s economic loss, avoid foreclosure or repossession of the collateral and to ultimately maximize payments received by the Firm from the borrower. The concessions granted vary by program and by borrower-specific characteristics, and may include interest rate reductions, term extensions, payment deferrals, or the acceptance of equity or other assets in lieu of payments. In certain limited circumstances, loan modifications include principal forgiveness. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Such modifications are accounted for and reported as troubled debt restructurings (&#8220;TDRs&#8221;). A loan that has been modified in a TDR is generally considered to be impaired until it matures, is repaid, or is otherwise liquidated, regardless of whether the borrower performs under the modified terms. In certain limited cases, the effective interest rate applicable to the modified loan is at or above the current market rate at the time of the restructuring. In such circumstances, and assuming that the loan subsequently performs under its modified terms and the Firm expects to collect all contractual principal and interest cash flows, the loan is disclosed as impaired and as a TDR only during the year of the modification; in subsequent years, the loan is not disclosed as an impaired loan or as a TDR so long as repayment of the restructured loan under its modified terms is reasonably assured. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Loans, except for credit card loans, modified in a TDR are generally placed on nonaccrual status, although in most cases such loans were already on nonaccrual status prior to modification. 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margin-top: 0pt"> <b> </b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Wholesale impaired loans and loan modifications</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">Wholesale impaired loans include loans that have been placed on nonaccrual status and/or that have been modified in a TDR. 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This typically occurs when the impaired loans have been partially charged-off and/or there have been interest payments received and applied to the loan balance.</td> </tr> <tr style="font-size: 0pt"> <td>&#160;</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(b)</td> <td>&#160;</td> <td>The allowance for impaired loans is included in JPMorgan Chase&#8217;s asset-specific allowance for loan losses.</td> </tr> <tr style="font-size: 0pt"> <td>&#160;</td> </tr> <tr valign="top"> <td nowrap="nowrap" align="left">(c)</td> <td>&#160;</td> <td>Represents the contractual amount of principal owed at December&#160;31, 2010 and 2009. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the carrying value; net deferred loan fees or costs; and discount or premiums on purchased loans.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the Firm&#8217;s average impaired loans for the years ended 2010, 2009 and 2008. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="64%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">For the year ended</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="10">&#160;</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left" style="border-bottom: 0px solid #000000">December 31,</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="11" style="border-bottom: 1px solid #000000">Impaired loans (average)</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2"><b>2010</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2">2009</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2">2008</td> <td>&#160;</td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td> <div style="margin-left:15px; 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text-indent:-15px">&#160; </div></td> </tr> <tr valign="bottom"> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>6.68</b></td> <td valign="top" nowrap="nowrap"><b>%</b></td> <td>&#160;</td> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right">7.91</td> <td valign="top" nowrap="nowrap">%</td> <td>&#160;</td> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>24.90</b></td> <td valign="top" nowrap="nowrap"><b>%</b></td> <td>&#160;</td> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right">33.79</td> <td valign="top" nowrap="nowrap">%</td> <td>&#160;</td> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>5.88</b></td> <td valign="top" nowrap="nowrap"><b>%</b></td> <td>&#160;</td> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right">7.15</td> <td valign="top" nowrap="nowrap">%</td> <td>&#160;</td> <td> <div style="margin-left:15px; 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text-indent:-15px">&#160; </div></td> </tr> <tr style="font-size: 1px"> <td colspan="23" valign="top" align="left" style="border-top: 1px solid #000000">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left"><b>$</b></td> <td valign="top" align="right"><b>3,039</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">$</td> <td valign="top" align="right">2,435</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left"><b>$</b></td> <td valign="top" align="right"><b>338</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">$</td> <td valign="top" align="right">335</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left"><b>$</b></td> <td valign="top" align="right"><b>10,833</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">$</td> <td valign="top" align="right">10,030</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; 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margin-top: 12pt"><b>Residential real estate impaired loans and loan</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt"><b>modifications &#8211; excluding PCI loans</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The Firm is participating in the U.S. Treasury&#8217;s Making Home Affordable (&#8220;MHA&#8221;) programs and is continuing to expand its other loss-mitigation efforts for financially distressed borrowers who do not qualify for the MHA programs. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">MHA, as well as the Firm&#8217;s other loss-mitigation programs, generally provide various concessions to financially troubled borrowers including, but not limited to, interest rate reductions, term or payment extensions and deferral of principal payments that would otherwise have been required under the terms of the original agreement. Principal forgiveness has been limited to a specific modification program for option ARMs. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Generally, borrowers must make at least three payments under the revised contractual terms during a trial modification and be successfully re-underwritten with income verification before a mortgage or home equity loan can be permanently modified. When the Firm modifies home equity lines of credit in troubled debt restructurings, future lending commitments related to the modified loans are canceled as part of the terms of the modification. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Modifications of residential real estate loans other than PCI loans are generally accounted for and reported as TDRs. For further discussion of the accounting for loan modifications and TDRs, see Loan modifications on pages 221&#8211;222 of this Note. </div> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The tables below set forth information about the Firm&#8217;s residential real estate impaired loans, excluding PCI. These loans are considered to be impaired as they have been modified in a TDR. 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margin-top: 12pt"><b>Purchased credit-impaired (&#8220;PCI&#8221;) loans</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">PCI loans were determined to be credit-impaired upon acquisition based on specific risk characteristics of the loan, including product type, loan-to-value ratios, FICO scores, and past-due status. Upon acquisition, credit-impaired loans acquired in the same fiscal quarter may be aggregated into one or more pools, provided that the loans have common risk characteristics. A pool is then accounted for as a single asset with a single composite interest rate and an aggregate expectation of cash flows. With respect to the Washington Mutual transaction, all of the consumer loans were aggregated into pools of loans with common risk characteristics. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">PCI loans are initially recorded at fair value upon acquisition. For each PCI loan, or pool of loans, the Firm is required to estimate the total cash flows (both principal and interest) expected to be collected over the remaining life of the loan or pool. These estimates incorporate assumptions regarding default rates, loss severities, the amounts and timing of prepayments and other factors that reflect then-current market conditions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The excess of cash flows expected to be collected over the carrying value of the underlying loans is referred to as the accretable yield. This amount is not reported on the Firm&#8217;s Consolidated Balance Sheets but is accreted into interest income at a level rate of return over the remaining estimated lives of the underlying pools of loans. For variable-rate loans, expected future cash flows were initially based on the rate in effect at acquisition; expected future cash flows are recalculated as rates change over the lives of the loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On a quarterly basis, the Firm updates the amount of loan principal and interest cash flows expected to be collected. Probable decreases in expected loan principal cash flows trigger the recognition of impairment, which is then measured as the present value of the expected principal loss plus any related foregone interest cash flows, discounted at the pool&#8217;s effective interest rate. Impairments are recognized through the provision and allowance for loan losses. Probable and significant increases in expected cash flows (e.g., decreased principal credit losses, the net benefit of modifications) would first reverse any previously recorded allowance for loan losses with any remaining increases recognized prospectively as a yield adjustment over the remaining estimated lives of the underlying loans. The impacts of (i)&#160;prepayments, (ii)&#160;changes in variable interest rates, and (iii)&#160;any other changes in the timing of expected cash flows are recognized prospectively as adjustments to interest income. Disposals of loans &#8211; which may include sales of loans, receipt of payments in full by the borrower, or foreclosure &#8211; result in removal of the loan from the PCI portfolio. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">If the timing and/or amounts of expected cash flows on PCI loans were determined not to be reasonably estimable, no interest would be accreted and the loans would be reported as nonaccrual loans; however, since the timing and amounts of expected cash flows for the Firm&#8217;s PCI consumer loans are reasonably estimable, interest is being accreted and the loans are being reported as performing loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Charge-offs are not recorded on PCI loans until actual losses exceed the estimated losses that were recorded as purchase accounting adjustments at acquisition date. To date, no charge-offs have been recorded for these consumer loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The PCI portfolio affects the Firm&#8217;s results of operations primarily through: (i)&#160;contribution to net interest margin; (ii)&#160;expense related to defaults and servicing resulting from the liquidation of the loans; and (iii)&#160;any provision for loan losses. The PCI loans acquired in the Washington Mutual transaction were funded based on the interest rate characteristics of the loans. For example, variable-rate loans were funded with variable-rate liabilities and fixed-rate loans were funded with fixed-rate liabilities with a similar maturity profile. A net spread will be earned on the declining balance of the portfolio, which is estimated as of December&#160;31, 2010, to have a remaining weighted-average life of 7.0&#160;years. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm continues to modify certain PCI loans. The impact of these modifications is incorporated into the Firm&#8217;s quarterly assessment of whether a probable and significant change in expected cash flows has occurred, and the loans continue to be accounted for and reported as PCI loans. The impact of modifications on expected cash flows is estimated using the Firm&#8217;s experience with previously modified loans and other relevant data. Additionally, the Firm monitors the performance of modifications and updates and/or refines assumptions as experience and changes in circumstances or data warrant. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <!-- Blank Space --> <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> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <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: 12pt"><b>Residential real estate &#8211; 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align="left"><b>$</b></td> <td valign="top" align="right"><b>86,073</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">$</td> <td valign="top" align="right">101,330</td> <td valign="top">&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="23" valign="top" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"><!-- Blank Space --> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>46.38</b></td> <td valign="top" nowrap="nowrap"><b>%</b></td> <td>&#160;</td> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right">49.77</td> <td valign="top" nowrap="nowrap">%</td> <td>&#160;</td> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>39.36</b></td> <td valign="top" nowrap="nowrap"><b>%</b></td> <td>&#160;</td> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right">36.57</td> <td valign="top" nowrap="nowrap">%</td> <td>&#160;</td> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>28.20</b></td> <td valign="top" nowrap="nowrap"><b>%</b></td> <td>&#160;</td> <td nowrap="nowrap" valign="top" align="left">&#160;</td> <td valign="top" align="right">27.62</td> <td valign="top" nowrap="nowrap">%</td> </tr> <tr valign="bottom"><!-- Blank Space --> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td>&#160;</td> <td valign="top" align="left"><b>$</b></td> <td valign="top" align="right"><b>432</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">$</td> <td valign="top" align="right">409</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left"><b>$</b></td> <td valign="top" align="right"><b>2,681</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">$</td> <td valign="top" align="right">4,081</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left"><b>$</b></td> <td valign="top" align="right"><b>11,837</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">$</td> <td valign="top" align="right">12,564</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>2,129</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">2,084</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>6,330</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">6,761</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>15,255</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">15,490</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"><!-- Blank Space --> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>424</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">481</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>4,292</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">5,518</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>14,628</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">17,440</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>1,663</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">1,877</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>5,005</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">6,291</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>12,380</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">14,522</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"><!-- Blank Space --> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>374</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">497</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>4,152</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">4,925</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>10,515</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">14,499</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>1,477</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">1,917</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>3,551</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">4,213</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>8,368</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">10,654</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"><!-- Blank Space --> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>186</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">179</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>2,281</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">2,549</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>6,449</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">7,890</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>1,357</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">1,577</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>2,499</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">3,041</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>6,641</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">8,271</td> <td valign="top">&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="23" valign="top" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td valign="top" align="left"><b>$</b></td> <td valign="top" align="right"><b>8,042</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">$</td> <td valign="top" align="right">9,021</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left"><b>$</b></td> <td valign="top" align="right"><b>30,791</b></td> <td 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periodically updates model assumptions. For the years ended December&#160;31, 2010 and 2009, other changes in expected cash flows were principally driven by changes in prepayment assumptions, as well as reclassification to the nonaccretable difference. Such changes are expected to have an insignificant impact on the accretable yield percentage.</td> </tr> </table> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The factors that most significantly affect estimates of gross cash flows expected to be collected, and accordingly the accretable yield balance, include: (i)&#160;changes in the benchmark interest rate indices for variable rate products such as option ARM and home equity loans; and (ii)&#160;changes in prepayment assumptions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">To date, the decrease in the accretable yield percentage has been primarily related to a decrease in interest rates on variable-rate loans and, to a lesser extent, extended loan liquidation periods. Certain events, such as extended loan liquidation periods, affect the timing of expected cash flows but not the amount of cash expected to be received (i.e., the accretable yield balance). Extended loan liquidation periods reduce the accretable yield percentage because the same accretable yield balance is recognized against a higher-than-expected loan balance over a longer-than-expected period of time. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <!-- Blank Space --> <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> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Credit card loans</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">The credit card portfolio segment includes credit card loans originated and purchased by the Firm, including those acquired in the Washington Mutual transaction. Delinquency rates are the primary credit quality indicator for credit card loans as they provide an early warning that borrowers may be experiencing difficulties (30-days past due), as well as information on those borrowers that have been delinquent for a longer period of time (90-days past due). In addition to delinquency rates, the geographic distribution of the loans provides insight as to the credit quality of the portfolio based on the regional economy. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The borrower&#8217;s credit score is another general indicator of credit quality. Because the borrower&#8217;s credit score tends to be a lagging indicator of credit quality, the Firm does not use credit scores as a primary indicator of credit quality. However, the distribution of such scores provides a general indicator of credit quality trends within the portfolio. Refreshed FICO score information for a random sample of the credit card portfolio is indicated in the table below, as FICO is considered to be the industry benchmark for credit scores. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm generally originates new card accounts to prime consumer borrowers. However, certain cardholders&#8217; refreshed FICO scores may change over time, depending on the performance of the cardholder and changes in credit score technology. </div> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The table below sets forth information about the Firm&#8217;s Credit card loans. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="28%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">As of or for the year ended December 31,</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="6">Chase, excluding</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="6">Washington Mutual</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="8">&#160;</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left" style="border-bottom: 0px solid #000000">(in millions, except ratios)</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Washington Mutual portfolio<sup style="font-size: 85%; 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Management also computes an allowance for wholesale and consumer lending-related commitments using methodologies similar to those used to compute the allowance on the underlying loans. During 2010, the Firm did not make any significant changes to the methodologies or policies used to determine its allowance for credit losses, which policies are described in the following paragraphs. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The allowance for loan losses includes an asset-specific component, a formula-based component and a component related to PCI loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The asset-specific component relates to loans considered to be impaired, which includes loans that have been modified in a troubled debt restructuring as well as risk-rated loans that have been placed on nonaccrual status. An asset-specific allowance for impaired loans is established when the loan&#8217;s discounted cash flows (or, in certain cases, the loan&#8217;s observable market price) is lower than the recorded investment in the loan. To compute the asset-specific component of the allowance, larger loans are evaluated individually, while smaller loans are evaluated as pools using historical loss experience for the respective class of assets. Risk-rated loans (primarily wholesale loans) are pooled by risk rating, while scored loans (i.e., consumer loans) are pooled by product type. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm generally measures the asset-specific allowance as the difference between the recorded investment in the loan and the present value of the cash flows expected to be collected, discounted at the loan&#8217;s original effective interest rate. Subsequent changes in impairment due to the impact of discounting are reported as an adjustment to the provision for loan losses, not as an adjustment to interest income. An asset-specific allowance for an impaired loan that is determined using an observable market price is measured as the difference between the recorded investment in the loan and the loan&#8217;s fair value. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Certain loans are deemed collateral-dependent because repayment of the loan is expected to be provided solely by the underlying collateral, rather than by cash flows from the borrower&#8217;s operations, income or other resources. Impaired collateral-dependent loans are charged-off to the fair value of the collateral, less costs to sell, rather than being subject to an asset-specific reserve as for other impaired loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The determination of the fair value of the collateral depends on the type of collateral (e.g., securities, real estate). In cases where the collateral is in the form of liquid securities, the fair value is based on quoted market prices or broker quotes. For illiquid securities or other financial assets, the fair value of the collateral is estimated using a discounted cash flow model. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For residential real estate loans, collateral values are based upon external valuation sources. When it becomes likely that a borrower is either unable or unwilling to pay, the Firm obtains a broker's price opinion of the home based on an exterior-only valuation (&#8220;exterior opinions&#8221;). As soon as practicable after taking physical possession of the property through foreclosure, the Firm obtains an appraisal based on an inspection that includes the interior of the home (&#8220;interior appraisals&#8221;). Exterior opinions and interior appraisals are discounted based upon the Firm's experience with actual liquidation values as compared to the estimated values provided by exterior opinions and interior appraisals, considering state- and product-specific factors. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For commercial real estate loans, the collateral value is generally based on appraisals from internal and external valuation sources. Collateral values are typically updated every six to twelve months, either by obtaining a new appraisal or by performing an internal analysis, in accordance with the Firm&#8217;s policies. The Firm also considers both borrower- and market-specific factors, which may result in obtaining appraisal updates or broker price opinions at more frequent intervals. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">See Note 3 on pages 170&#8211;187 of this Annual Report for further information on the fair value hierarchy for impaired collateral-dependent loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The formula-based component is based on a statistical calculation to provide for probable principal losses inherent in performing risk-rated loans and consumer loans, except for loans restructured in troubled debt restructurings and PCI loans. See Note 14 on pages 220&#8211;238 of this Annual Report for more information on PCI loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For risk-rated loans, the statistical calculation is the product of an estimated probability of default and an estimated loss given default. These factors are differentiated by risk rating and expected maturity. In assessing the risk rating of a particular loan, among the factors considered are the obligor&#8217;s debt capacity and financial flexibility, the level of the obligor&#8217;s earnings, the amount and sources for repayment, the level and nature of contingencies, management strength, and the industry and geography in which the obligor operates. These factors are based on an evaluation of historical and current information, and involve subjective assessment and interpretation. Emphasizing one factor over another or considering additional factors could impact the risk rating assigned by the Firm to that loan. PD estimates are based on observable external through-the-cycle data, using credit-rating agency default statistics. LGD estimates are based on the Firm&#8217;s history of actual credit losses over more than one credit cycle. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For scored loans, the statistical calculation is performed on pools of loans with similar risk characteristics (e.g., product type) and generally computed as the product of actual outstandings, an expected-loss factor and an estimated-loss coverage period. Expected-loss factors are statistically derived and consider historical factors such as loss frequency and severity. In developing loss frequency and severity assumptions, the Firm considers known and anticipated changes in the economic environment, including changes in housing prices, unemployment rates and other risk indicators. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">A nationally recognized home price index measure is used to develop loss severity estimates on defaulted residential real estate loans at the metropolitan statistical areas (&#8220;MSA&#8221;) level. These loss severity estimates are regularly validated by comparison to actual losses recognized on defaulted loans, market-specific real estate appraisals and property sales activity. Real estate broker price opinions are obtained when the loan is being evaluated for charge-off and at least every six months thereafter. When foreclosure is determined to be probable, a third-party appraisal is obtained as soon as practicable. Forecasting methods are used to estimate expected-loss factors, including credit loss forecasting models and vintage-based loss forecasting. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The economic impact of potential modifications of residential real estate loans is not included in the formula-based allowance because of the uncertainty regarding the type and results of such modifications. As discussed in Note 14 on pages 220&#8211;238 of this Annual Report, modified residential real estate loans are generally accounted for as troubled debt restructurings upon contractual modification and are evaluated for an asset-specific allowance at and subsequent to modification. Assumptions regarding the loans&#8217; expected re-default rates are incorporated into the measurement of the asset-specific allowance. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Management applies judgment within an established framework to adjust the results of applying the statistical calculation described above. The determination of the appropriate adjustment is based on management&#8217;s view of uncertainties that have occurred but are not yet reflected in the loss factors and that relate to current macroeconomic and political conditions, the quality of underwriting standards and other relevant internal and external factors affecting the credit quality of the portfolio. In addition, for the risk-rated portfolios, any adjustments made to the statistical calculation also consider concentrated and deteriorating industries. 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margin-top: 6pt">Determining the appropriateness of the allowance is complex and requires judgment by management about the effect of matters that are inherently uncertain. Subsequent evaluations of the loan portfolio, in light of the factors then prevailing, may result in significant changes in the allowances for loan losses and lending-related commitments in future periods. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">At least quarterly, the allowance for credit losses is reviewed by the Chief Risk Officer, the Chief Financial Officer and the Controller of the Firm and discussed with the Risk Policy and Audit Committees of the Board of Directors of the Firm. 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<td>&#160;</td> <td align="right">280</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(209</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(49</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(258</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="33" nowrap="nowrap" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#8212;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">66</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">66</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">3</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(3</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">8</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(7</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">$</td> <td valign="top" align="right">927</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td align="left">$</td> <td align="right">12</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">939</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">634</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">25</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">659</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"><!-- Blank Space --> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">$</td> <td valign="top" align="right">297</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">297</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">29</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">29</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">630</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">12</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">642</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">605</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">25</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">630</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">$</td> <td valign="top" align="right">927</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td align="left">$</td> <td align="right">12</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">939</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">634</td> <td>&#160;</td> 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<!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 16 - jpm:VariableInterestEntitiesAndTransfersOfFinancialAssetsTextBlock--> <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 6pt"><b>Note 16 &#8211; Variable interest entities</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For a further description of JPMorgan Chase&#8217;s accounting policies regarding consolidation of VIEs, see Note 1 on pages 164&#8211;165 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the most significant types of Firm-sponsored VIEs by business segment. 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In addition, the Firm previously consolidated certain other student loan securitizations in accordance with the accounting treatment under prior accounting guidance. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents the total unpaid principal amount of assets held in JPMorgan Chase&#8211;sponsored securitization entities in which the Firm has continuing involvement, including those that are consolidated by the Firm and those that are not consolidated by the Firm. Continuing involvement includes servicing the loans; holding senior interests or subordinated interests; recourse or guarantee arrangements; and derivative transactions. In certain instances, the Firm&#8217;s only continuing involvement is servicing the loans. 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RFS generally retains servicing for all residential mortgage loans originated or purchased by RFS, and for certain mortgage loans purchased by IB. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For securitizations serviced by RFS, the Firm has the power to direct the significant activities of the VIE because it is responsible for decisions related to loan modifications and workouts. In a limited number of these securitizations, RFS also retains an interest in the VIE that could potentially be significant to the VIE. In these instances, the Firm is deemed to be the primary beneficiary. At December&#160;31, 2010, approximately $2.9&#160;billion of assets and $3.0&#160;billion of liabilities of Firm-sponsored residential mortgage securitization trusts were consolidated on balance sheet. For Firm-sponsored securitizations serviced by unrelated third parties, the Firm does not consolidate the VIE as the power to direct the significant activities resides with the third party servicer. At December&#160;31, 2009, RFS did not consolidate any VIEs in accordance with the accounting treatment under prior accounting rules. RFS held retained interests of approximately $205&#160;million and $537 million as of December&#160;31, 2010 and 2009, respectively, in nonconsolidated residential mortgage securitization entities. See pages 257&#8211;258 of this Note for further information on retained interests held in nonconsolidated VIEs; these retained interests are classified as trading assets or AFS securities. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm&#8217;s mortgage loan sales are primarily nonrecourse, thereby effectively transferring the risk of future credit losses to the purchaser of the mortgage-backed securities issued by the trust. However, for a limited number of loan sales, the Firm is obligated to share a portion of the credit risk associated with the sold loans with the purchaser. See Note 30 on pages 275&#8211;280 of this Annual Report for additional information on loans sold with recourse, as well as information on indemnification liability for breaches of representations and warranties. See page 257 of this Note for further information on loans sold to U.S. government agencies. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">IB engages in underwriting and trading activities involving securities issued by Firm-sponsored securitization trusts. As a result, IB at times retains senior and/or subordinated interests (including residual interests) in residential mortgage securitizations upon securitization, and/or reacquires positions in the secondary market in the normal course of business. In certain instances, as a result of the positions retained or reacquired by IB, when considered together with the servicing arrangements entered into by RFS, the Firm is deemed to be the primary beneficiary of certain securitization trusts. At December&#160;31, 2010, $1.2&#160;billion of VIE assets and $702&#160;million of liabilities were consolidated due to IB&#8217;s involvement with such trusts. IB did not consolidate any residential securitization VIEs at December&#160;31, 2009, in accordance with the accounting treatment under prior accounting rules. IB held approximately $461&#160;million, and $479&#160;million of senior and subordinated interests at December&#160;31, 2010 and 2009, respectively, in nonconsolidated residential mortgage securitization entities. This includes approximately $1&#160;million and $2&#160;million of residual interests at December 31, 2010 and 2009, respectively. See pages 257&#8211;258 of this Note for further information on interests held in nonconsolidated securitizations. These retained interests are accounted for at fair value and classified as trading assets. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Commercial mortgages and other consumer securitizations</i> </div> <div align="left" style="font-size: 10pt">IB originates and securitizes commercial mortgage loans, and engages in underwriting and trading activities involving the securities issued by securitization trusts. IB may retain unsold senior and/or subordinated interests in commercial mortgage securitizations at the time of securitization but, generally, the Firm does not service commercial loan securitizations. For commercial mortgage securitizations the power to direct the significant activities of the VIE generally is held by the servicer or investors in a specified class of securities (&#8220;controlling class&#8221;). At December&#160;31, 2010, approximately $84 million of VIE assets and $82&#160;million of VIE liabilities of commercial mortgage securitization trusts were consolidated due to the Firm holding certain subordinated interests that give the Firm the power to direct the activities of these entities as well as a significant interest. IB did not consolidate any commercial mortgage securitization VIEs at December&#160;31, 2009, in accordance with the accounting treatment under prior accounting rules. At December&#160;31, 2010 and 2009, the Firm held $2.0&#160;billion and $1.6&#160;billion, respectively, of retained interests in nonconsolidated commercial mortgage securitizations. This included approximately zero and $22&#160;million of residual interests as of December&#160;31, 2010 and 2009, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm also securitizes automobile and student loans originated by RFS, and consumer loans (including automobile and student loans) purchased by IB. The Firm retains servicing responsibilities for all originated and certain purchased student and automobile loans and has the power to direct the activities of these VIEs through these servicing responsibilities. At December 31, 2010, $4.5&#160;billion of assets and $3.2&#160;billion of liabilities of student loan securitizations were consolidated due to the combination of retained interests held by the Firm and servicing responsibilities. Auto loans previously securitized were repurchased by the Firm during 2010 as these securitization entities were terminated. As of December&#160;31, 2009, the Firm held $9&#160;million and $49&#160;million of retained interests in securitized automobile and student loan securitizations, respectively, which were not consolidated in accordance with the accounting treatment under prior accounting rules. These retained interests were reported in other assets. In addition, at December 31, 2009, the Firm held interests in other student loans which resulted in $3.8&#160;billion of other student loans being consolidated on the balance sheet in accordance with the accounting treatment under prior accounting rules. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Re-securitizations</i> </div> <div align="left" style="font-size: 10pt">The Firm engages in re-securitization transactions in which securities are transferred to a VIE in exchange for new beneficial interests. Re-securitizations involve the repackaging of securities previously issued by both agency sponsored (Fannie Mae, Freddie Mac and Ginnie Mae) and nonagency (private-label) VIEs that are generally backed by either residential or commercial mortgages. A re-securitization entity receives principal and interest payments from the securities held in the entity and passes them to the beneficial interest holders. These entities are not actively managed and are passive in nature. Re-securitization entities are often established to the specifications of the investors. In a re-securitization entity, the most significant power is in the design of the entity (i.e., the decision as to the specific security or securities to be repackaged and the terms of the beneficial interests issued). The power over a re-securitization entity is often considered to be shared between the sponsor and investor(s) that are significantly involved in the creation and design of the re-securitization entity. At December&#160;31, 2010, the Firm did not consolidate any agency re-securitizations, as it did not have the unilateral power to direct the significant activities of the re-securitization entity. At December&#160;31, 2010, the Firm consolidated $477 million of assets and $230&#160;million of liabilities of private-label re-securitizations, as the Firm had both the unilateral power to direct the significant activities of, and retained a significant interest in, these re-securitization entities. As of December&#160;31, 2009, the Firm did not consolidate any re-securitization entities (agency or private-label) in accordance with the accounting treatment under prior accounting rules. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">During the years ended December&#160;31, 2010, 2009, and 2008, the Firm transferred $33.9&#160;billion, $19.1 billion and $16.8&#160;billion, respectively, of securities to agency re-securitization entities and $1.3&#160;billion, $4.0&#160;billion and $2.7&#160;billion to private-label re-securitization entities. At December&#160;31, 2010 and 2009, the Firm held approximately $3.5&#160;billion and $1.6&#160;billion of both senior and subordinated interests in nonconsolidated agency re-securitization entities and $46&#160;million and $220&#160;million of both senior and subordinated interests, in nonconsolidated private-label re-securitization entities. See pages 257&#8211;258 of this Note for further information on interests held in nonconsolidated securitization VIEs. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Multi-seller conduits</b> </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 flows 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&#8217;s potential losses on its agreements with the conduits. </div> </div> <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 and are typically in the form of asset purchase agreements. They are generally structured so the liquidity that will be provided by the Firm (as liquidity provider) will be effected 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&#8217;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, which is generally the Firm, to purchase an asset from the conduit at an amount above the asset&#8217;s then current fair value &#8211; in effect, providing a guarantee of the asset&#8217;s initial value. </div> <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 established to handle funding increments too small to be funded by commercial paper and 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. The Firm provided $2.0 billion and $2.4&#160;billion of program-wide credit enhancement at December&#160;31, 2010 and 2009, respectively. </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">Effective January&#160;1, 2010, the Firm consolidated its Firm-administered multi-seller conduits, as the Firm has both the power to direct the significant activities of the conduits and a potentially significant economic interest in the conduits. The Firm directs the economic performance of the conduits as administrative agent and in its role in structuring transactions for the conduits. In these roles, the Firm makes decisions regarding concentration of asset types and credit quality of transactions, and is responsible for managing the commercial paper funding needs of the conduits. 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Additionally, the Firm provided program-wide liquidity facilities of $13.0&#160;billion and program-wide credit enhancements of $2.0&#160;billion.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm&#8217;s maximum exposure to loss on nonconsolidated Firm-administered multi-seller conduits was $24.8&#160;billion at December&#160;31, 2009. The maximum exposure to loss, calculated separately for each multi-seller conduit, included the Firm&#8217;s exposure to both deal-specific liquidity facilities and program wide credit enhancements. For purposes of calculating maximum exposure to loss, Firm-provided program-wide credit enhancement was limited to deal-specific liquidity facilities provided to third parties. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>VIEs associated with investor intermediation activities</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 using derivatives, 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 on behalf of clients are municipal bond vehicles, credit-related note vehicles and asset swap vehicles. </div> </div> <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 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)&#160;putable floating-rate certificates and (2)&#160;inverse floating-rate residual interests (&#8220;residual interests&#8221;). 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 &#8220;put,&#8221; 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. If funded, the liquidity facility would be repaid by the proceeds from the sale of the underlying municipal bonds upon termination of the vehicle. In certain transactions, if the proceeds from the sale of the underlying municipal bonds are not sufficient to repay the liquidity facility, the liquidity provider has recourse to the residual interest holders for reimbursement. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The 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 Firm, as liquidity provider, on a daily basis should the market value of the municipal bonds decline. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase Bank, N.A. often serves as the sole liquidity provider, and J.P. Morgan Securities LLC as remarketing agent, of the putable floating-rate certificates. The liquidity provider&#8217;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, an event of taxability on the municipal bonds or the immediate downgrade of the municipal bond to below investment grade. A downgrade of JPMorgan Chase Bank, N.A.&#8217;s short-term rating does not affect the Firm&#8217;s obligation under the liquidity facility. However, in the event of a downgrade in the Firm&#8217;s credit ratings, holders of the putable floating-rate certificates 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&#8217;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 in certain transactions the reimbursement agreements with the residual interest holders. </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. 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The VIE then issues credit-linked notes (&#8220;CLNs&#8221;) with maturities predominantly ranging from one to 10 years in order to transfer the risk of the referenced credit to the VIE&#8217;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&#8217;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. 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Changes in fair value based on a 10% or 20% variation in assumptions generally cannot be extrapolated easily, because the relationship of the change in the assumptions to the change in fair value may not be linear. Also, in the table, the effect that a change in a particular assumption may have on the fair value is calculated without changing any other assumption. In reality, changes in one factor may result in changes in another, which might counteract or magnify the sensitivities. The above sensitivities also do not reflect risk management practices the Firm may undertake to mitigate such risks. </div> <div style="margin-top:10pt"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <tr> <td align="left" width="50%"></td> <td align="right" width="50%"></td> </tr> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Loan delinquencies and net charge-offs</b> </div> <div align="left" style="font-size: 10pt">The table below includes information about delinquencies, net charge-offs and components of off&#8211;balance sheet securitized financial assets as of December&#160;31, 2010 and 2009. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="20%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="3%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="6">90 days past due</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="6">&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="6">&#160;</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td>As of or for the year ended</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Credit exposure</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">and still accruing</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Nonaccrual loans</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="6" style="border-bottom: 1px solid #000000">Net loan charge-offs<sup style="font-size: 85%; 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margin-top: 6pt">The increase in goodwill during 2010 was largely due to the acquisition of the RBS Sempra Commodities business in IB, and the purchase of a majority interest in G&#225;vea Investimentos, a leading alternative asset management company in Brazil, by AM. The increase in goodwill during 2009 was primarily due to final purchase accounting adjustments related to the Bear Stearns merger and the acquisition of a commodities business (each primarily allocated to IB), and foreign currency translation adjustments related to the Firm&#8217;s credit card business, partially offset by accounting adjustments associated with the Bear Stearns and Bank One mergers. The increase in goodwill during 2008 was primarily due to the dissolution of the Chase Paymentech Solutions joint venture (allocated to Card Services), the merger with Bear Stearns, the purchase of an additional equity interest in Highbridge and tax-related purchase accounting adjustments associated with the Bank One merger (which were primarily attributed to IB). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Impairment Testing</i><br /> Goodwill was not impaired at December&#160;31, 2010 or 2009, nor was any goodwill written off due to impairment during 2010, 2009 or 2008. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The goodwill impairment test is performed in two steps. In the first step, the current fair value of each reporting unit is compared with its carrying value, including goodwill. If the fair value is in excess of the carrying value (including goodwill), then the reporting unit&#8217;s goodwill is considered not to be impaired. If the fair value is less than the carrying value (including goodwill), then a second step is performed. In the second step, the implied current fair value of the reporting unit&#8217;s goodwill is determined by comparing the fair value of the reporting unit (as determined in step one) to the fair value of the net assets of the reporting unit, as if the reporting unit were being acquired in a business combination. The resulting implied current fair value of goodwill is then compared with the carrying value of the reporting unit&#8217;s goodwill. If the carrying value of the goodwill exceeds its implied current fair value, then an impairment charge is recognized for the excess. If the carrying value of goodwill is less than its implied current fair value, then no goodwill impairment is recognized. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The primary method the Firm uses to estimate the fair value of its reporting units is the income approach. <font style="font-size: 10pt">The models project cash flows for the forecast period and use the perpetuity growth method to calculate terminal values. These cash flows and terminal values are then discounted using an appropriate discount rate. Projections of cash flows are based on the reporting units&#8217; earnings forecasts, which include the estimated effects of regulatory and legislative changes (including, but not limited to the Dodd-Frank Act, the CARD Act, and limitations on non-sufficient funds and overdraft fees). These forecasts are also reviewed with the Operating Committee of the Firm. The Firm&#8217;s cost of equity is determined using the Capital Asset Pricing Model, which is consistent with methodologies and assumptions the Firm uses when advising clients in third party transactions. The discount rate used for each reporting unit represents an estimate of the cost of equity capital for that reporting unit and is determined based on the Firm&#8217;s overall cost of equity, as adjusted for the risk characteristics specific to each reporting unit (for example, for higher levels of risk or uncertainty associated with the business or management&#8217;s forecasts and assumptions). To assess the reasonableness of the discount rates used for each reporting unit, management compares the discount rate to the estimated cost of equity for publicly traded institutions with similar businesses and risk characteristics. In addition, the weighted average cost of equity (aggregating the various reporting units) is compared with the Firms&#8217; overall cost of equity to ensure reasonableness.</font> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The valuations derived from the discounted cash flow models are then compared with market-based trading and transaction multiples for relevant competitors. Precise conclusions generally can not be drawn from these comparisons due to the differences that naturally exist between the Firm&#8217;s businesses and competitor institutions. However, trading and transaction comparables are used as general indicators to assess the general reasonableness of the estimated fair values. Management also takes into consideration a comparison between the aggregate fair value of the Firm&#8217;s reporting units and JPMorgan Chase&#8217;s market capitalization. In evaluating this comparison, management considers several factors, including (a)&#160;a control premium that would exist in a market transaction, (b)&#160;factors related to the level of execution risk that would exist at the firm-wide level that do not exist at the reporting unit level and (c)&#160;short-term market volatility and other factors that do not directly affect the value of individual reporting units. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">While no impairment of goodwill was recognized during 2010, the Firm&#8217;s consumer lending businesses in RFS and CS remain at elevated risk of goodwill impairment due to their exposure to U.S. consumer credit risk and the effects of regulatory and legislative changes. The valuation of these businesses is particularly dependent upon economic conditions (including new unemployment claims and home prices), and regulatory and legislative changes that may affect consumer credit card use. The assumptions used in the discounted cash flow model were determined using management&#8217;s best estimates. The cost of equity reflected the related risk and uncertainty, and was evaluated in comparison to relevant market peers. Deterioration in these assumptions could cause the estimated fair values of these reporting units and their associated goodwill to decline, which may result in a material impairment charge to earnings in a future period related to some portion of the associated goodwill. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Mortgage servicing rights</b><br /> Mortgage servicing rights represent the fair value of future cash flows for performing specified mortgage servicing activities (predominantly with respect to residential mortgage) for others. MSRs are either purchased from third parties or retained upon sale or securitization of mortgage loans. 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The Firm estimates the fair value of MSRs using an option-adjusted spread model (&#8220;OAS&#8221;), which projects MSR cash flows over multiple interest rate scenarios in conjunction with the Firm&#8217;s prepayment model, and then discounts these cash flows at risk-adjusted rates. The model considers portfolio characteristics, contractually specified servicing fees, prepayment assumptions, delinquency rates, late charges, other ancillary revenue and costs to service, and other economic factors. The Firm reassesses and periodically adjusts the underlying inputs and assumptions used in the OAS model to reflect market conditions and assumptions that a market participant would consider in valuing the MSR asset. During 2010 and 2009, the Firm continued to refine its proprietary prepayment model based on a number of market-related factors, including a downward trend in home prices, general tightening of credit underwriting standards and the associated impact on refinancing activity. 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margin-top: 6pt"><b>Note 22 &#8211; Long-term debt</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase issues long-term debt denominated in various currencies, although predominantly U.S. dollars, with both fixed and variable interest rates. Included in senior and subordinated debt below are various equity-linked or other indexed instruments, which the Firm has elected to measure at fair value. These hybrid securities are classified in the line item of the host contract on the Consolidated Balance Sheets. Changes in fair value are recorded in principal transactions revenue in the Consolidated Statements of Income. <font style="font-size: 10pt">The following table is a summary of long-term debt carrying values (including unamortized original issue discount, valuation adjustments and fair value adjustments, where applicable) by remaining contractual maturity as of December&#160;31, 2010.</font> </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="28%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left" style="border-bottom: 0px solid #000000">By remaining maturity at</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="14" style="border-bottom: 1px solid #000000"><b>2010</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">&#160;</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">December 31, 2010</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2">Under</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2">After</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2">2009</td> <td>&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">(in millions, except rates)</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2">1 year</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2">1-5 years</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2">5 years</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2"><b>Total</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2">Total</td> <td>&#160;</td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; 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Dividends on Series&#160;I shares are payable semiannually at a fixed annual dividend rate of 7.90% through April&#160;2018, and then become payable quarterly at an annual dividend rate of three-month LIBOR plus 3.47%. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On July&#160;15, 2008, each series of Bear Stearns preferred stock then issued and outstanding was exchanged into a series of JPMorgan Chase preferred stock with substantially identical terms (6.15% Cumulative Preferred Stock, Series&#160;E (&#8220;Series&#160;E&#8221;); 5.72% Cumulative Preferred Stock, Series&#160;F (&#8220;Series&#160;F&#8221;); and 5.49% Cumulative Preferred Stock, Series&#160;G (&#8220;Series&#160;G&#8221;)). As a result of the exchange, these series ranked equally with other series of the Firm&#8217;s preferred stock. On August 20, 2010, the Firm redeemed all of the outstanding shares of its Series&#160;E, Series&#160;F and Series&#160;G preferred stock at their stated redemption value. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On August&#160;21, 2008, the Firm issued 180,000 shares of 8.625% Non-Cumulative Preferred Stock, Series J (&#8220;Series&#160;J&#8221;), for total proceeds of $1.8&#160;billion. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On October&#160;28, 2008, pursuant to the U.S. Treasury&#8217;s Capital Purchase Program, the Firm issued to the U.S. Treasury, for total proceeds of $25.0&#160;billion, (i)&#160;2.5&#160;million shares of the Firm&#8217;s Fixed Rate Cumulative Perpetual Preferred Stock, Series&#160;K, par value $1 per share and liquidation preference $10,000 per share (the &#8220;Series&#160;K Preferred Stock&#8221;); and (ii)&#160;a warrant to purchase up to 88,401,697 shares of the Firm&#8217;s common stock at an exercise price of $42.42 per share (the &#8220;Warrant&#8221;), subject to certain antidilution and other adjustments. 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The U.S. Treasury exchanged the Warrant for 88,401,697 warrants, each of which was a warrant to purchase a share of the Firm&#8217;s common stock at an exercise price of $42.42 per share and, on December&#160;11, 2009, sold the warrants in a secondary public offering for $950&#160;million. The warrants are exercisable, in whole or in part, at any time and from time to time until October&#160;28, 2018. The Firm did not purchase any of the warrants sold by the U.S. Treasury. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Under the stock repurchase program authorized by the Firm&#8217;s Board of Directors, the Firm is authorized to repurchase up to $10.0&#160;billion of the Firm&#8217;s common stock plus 88&#160;million warrants sold by the U.S. Treasury in 2009. During 2009, the Firm did not repurchase any shares of its common stock or warrants. In the second quarter of 2010, the Firm resumed common stock repurchases, and during the year repurchased an aggregate of 78&#160;million shares for $3.0&#160;billion at an average price per share of $38.49. The Firm&#8217;s share repurchase activities in 2010 were intended to offset sharecount increases resulting from employee stock-based incentive awards and were consistent with the Firm&#8217;s goal of maintaining an appropriate sharecount. The Firm did not repurchase any of the warrants during 2010. As of December&#160;31, 2010, $3.2&#160;billion of authorized repurchase capacity remained with respect to the common stock, and all of the authorized repurchase capacity remained with respect to the warrants. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm may, from time to time, enter into written trading plans under Rule&#160;10b5-1 of the Securities Exchange Act of 1934 to facilitate the repurchase of common stock and warrants in accordance with the repurchase program. 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margin-top: 12pt"><b>Note 27 &#8211; Income taxes</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase and its eligible subsidiaries file a consolidated U.S. federal income tax return. JPMorgan Chase uses the asset and liability method to provide income taxes on all transactions recorded in the Consolidated Financial Statements. This method requires that income taxes reflect the expected future tax consequences of temporary differences between the carrying amounts of assets or liabilities for book and tax purposes. Accordingly, a deferred tax asset or liability for each temporary difference is determined based on the tax rates that the Firm expects to be in effect when the underlying items of income and expense are realized. JPMorgan Chase&#8217;s expense for income taxes includes the current and deferred portions of that expense. A valuation allowance is established to reduce deferred tax assets to the amount the Firm expects to realize. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Due to the inherent complexities arising from the nature of the Firm&#8217;s businesses, and from conducting business and being taxed in a substantial number of jurisdictions, significant judgments and estimates are required to be made. Agreement of tax liabilities between JPMorgan Chase and the many tax jurisdictions in which the Firm files tax returns may not be finalized for several years. Thus, the Firm&#8217;s final tax-related assets and liabilities may ultimately be different from those currently reported. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The components of income tax expense/(benefit) included in the Consolidated Statements of Income were as follows for each of the years ended December&#160;31, 2010, 2009 and 2008. </div> <div align="center"> <table style="font-size: 8pt; text-align: left" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="64%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> <td width="5%">&#160;</td> <td width="1%">&#160;</td> </tr> <tr style="font-size: 8pt" valign="bottom"> <td nowrap="nowrap" align="left">Year ended December 31, (in millions)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2"><b>2010</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2">2009</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" colspan="2">2008</td> <td>&#160;</td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr style="font-size: 1px"> <td colspan="13" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; 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For 2002 and prior years, refund claims relating to income and credit adjustments, and to tax attribute carrybacks, for JPMorgan Chase have been filed. Refund claims have been filed for Bank One for the period January&#160;1, 2004, through July&#160;31, 2004, and for prior years primarily to reflect income adjustments. 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The Bank is a member of the U.S. Federal Reserve System, and its deposits in the U.S. are insured by the FDIC. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Board of Governors of the Federal Reserve System (the &#8220;Federal Reserve&#8221;) requires depository institutions to maintain cash reserves with a Federal Reserve Bank. The average amount of reserve balances deposited by the Firm&#8217;s bank subsidiaries with various Federal Reserve Banks was approximately $803&#160;million and $821&#160;million in 2010 and 2009, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Restrictions imposed by U.S. federal law prohibit JPMorgan Chase and certain of its affiliates from borrowing from banking subsidiaries unless the loans are secured in specified amounts. Such secured loans to the Firm or to other affiliates are generally limited to 10% of the banking subsidiary&#8217;s total capital, as determined by the risk-based capital guidelines; the aggregate amount of all such loans is limited to 20% of the banking subsidiary&#8217;s total capital. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The principal sources of JPMorgan Chase&#8217;s income (on a parent company-only basis) are dividends and interest from JPMorgan Chase Bank, N.A., and the other banking and nonbanking subsidiaries of JPMorgan Chase. In addition to dividend restrictions set forth in statutes and regulations, the Federal Reserve, the OCC and the FDIC have authority under the Financial Institutions Supervisory Act to prohibit or to limit the payment of dividends by the banking organizations they supervise, including JPMorgan Chase and its subsidiaries that are banks or bank holding companies, if, in the banking regulator&#8217;s opinion, payment of a dividend would constitute an unsafe or unsound practice in light of the financial condition of the banking organization. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">At January&#160;1, 2011, JPMorgan Chase&#8217;s banking subsidiaries could pay, in the aggregate, $2.0&#160;billion in dividends to their respective bank holding companies without the prior approval of their relevant banking regulators. 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margin-top: 12pt"><b>Note 30 &#8211; Off-balance sheet lending-related financial instruments, guarantees and other commitments</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase utilizes lending-related financial instruments (e.g., commitments and guarantees) to meet the financing needs of its customers. The contractual amount of these financial instruments represents the Firm&#8217;s maximum possible credit risk should the counterparty draw upon the commitment or the Firm be required to fulfill its obligation under the guarantee, and should the counterparty subsequently fail to perform according to the terms of the contract. Most of these commitments and guarantees expire without being drawn or a default occurring. As a result, the total contractual amount of these instruments is not, in the Firm&#8217;s view, representative of its actual future credit exposure or funding requirements. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"> To provide for the risk of loss inherent in wholesale and consumer (excluding credit card) related contracts, an allowance for credit losses on lending-related commitments is maintained. See Note 15 on pages 239&#8211;243 of this Annual Report for further discussion regarding the allowance for credit losses on lending-related commitments. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table summarizes the contractual amounts and carrying values of off-balance sheet lending-related financial instruments, guarantees and other commitments at December&#160;31, 2010 and 2009. The amounts in the table below for credit card and home equity lending-related commitments represent the total available credit for these products. The Firm has not experienced, and does not anticipate, that all available lines of credit for these products will be utilized at the same time. The Firm can reduce or cancel credit card lines of credit by providing the borrower prior notice or, in some cases, without notice as permitted by law. 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The Firm may also enter into indemnification clauses in connection with the licensing of software to clients (&#8220;software licensees&#8221;) or when it sells a business or assets to a third party (&#8220;third-party purchasers&#8221;), pursuant to which it indemnifies software licensees for claims of liability or damages that may occur subsequent to the licensing of the software, or third-party purchasers for losses they may incur due to actions taken by the Firm prior to the sale of the business or assets. It is difficult to estimate the Firm&#8217;s maximum exposure under these indemnification arrangements, since this would require an assessment of future changes in tax law and future claims that may be made against the Firm that have not yet occurred. However, based on historical experience, management expects the risk of loss to be remote. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Securities lending indemnification</b><br /> Through the Firm&#8217;s securities lending program, customers&#8217; securities, via custodial and non-custodial arrangements, may be lent to third parties. As part of this program, the Firm provides an indemnification in the lending agreements which protects the lender against the failure of the third-party borrower to return the lent securities in the event the Firm did not obtain sufficient collateral. To minimize its liability under these indemnification agreements, the Firm obtains cash or other highly liquid collateral with a market value exceeding 100% of the value of the securities on loan from the borrower. Collateral is marked to market daily to help assure that collateralization is adequate. Additional collateral is called from the borrower if a shortfall exists, or collateral may be released to the borrower in the event of overcollateralization. If a borrower defaults, the Firm would use the collateral held to purchase replacement securities in the market or to credit the lending customer with the cash equivalent thereof. Also, as part of this program, the Firm invests cash collateral received from the borrower in accordance with approved guidelines. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Derivatives qualifying as guarantees</b><br /> In addition to the contracts described above, the Firm transacts certain derivative contracts that meet the characteristics of a guarantee under U.S. GAAP. These contracts include written put options that require the Firm to purchase assets upon exercise by the option holder at a specified price by a specified date in the future. The Firm may enter into written put option contracts in order to meet client needs, or for trading purposes. The terms of written put options are typically five years or less. Derivative guarantees also include contracts such as stable value derivatives that require the Firm to make a payment of the difference between the market value and the book value of a counterparty&#8217;s reference portfolio of assets in the event that market value is less than book value and certain other conditions have been met. Stable value derivatives, commonly referred to as &#8220;stable value wraps&#8221;, are transacted in order to allow investors to realize investment returns with less volatility than an unprotected portfolio and are typically longer-term or may have no stated maturity, but allow the Firm to terminate the contract under certain conditions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"> Derivative guarantees are recorded on the Consolidated Balance Sheets at fair value in trading assets and trading liabilities. The total notional amount of the derivatives that the Firm deems to be guarantees was $87.8&#160;billion and $98.1&#160;billion at December&#160;31, 2010 and 2009, respectively. The notional amount generally represents the Firm&#8217;s maximum exposure to derivatives qualifying as guarantees. However, exposure to certain stable value derivatives is contractually limited to a substantially lower percentage of the notional amount; the notional amount on these stable value contracts was $25.9&#160;billion and $24.9&#160;billion and the maximum exposure to loss was $2.7&#160;billion and $2.5&#160;billion, at December&#160;31, 2010 and 2009, respectively. The fair values of the contracts reflects the probability of whether the Firm will be required to perform under the contract. The fair value related to derivative guarantees were derivative payables of $390&#160;million and $974&#160;million and derivative receivables of $96&#160;million and $78&#160;million at December&#160;31, 2010 and 2009, respectively. The Firm reduces exposures to these contracts by entering into offsetting transactions, or by entering into contracts that hedge the market risk related to the derivative guarantees. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to derivative contracts that meet the characteristics of a guarantee, the Firm is both a purchaser and seller of credit protection in the credit derivatives market. For a further discussion of credit derivatives, see Note 6 on pages 191&#8211;199 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Unsettled reverse repurchase and securities borrowing agreements</b><br /> In the normal course of business, the Firm enters into reverse repurchase agreements and securities borrowing agreements that settle at a future date. At settlement, these commitments require that the Firm advance cash to and accept securities from the counterparty. These agreements generally do not meet the definition of a derivative, and therefore, are not recorded on the Consolidated Balance Sheets until settlement date. At December&#160;31, 2010 and 2009, the amount of commitments related to forward starting reverse repurchase agreements and securities borrowing agreements were $14.4&#160;billion and $23.4&#160;billion, respectively. Commitments related to unsettled reverse repurchase agreements and securities borrowing agreements with regular way settlement periods were $25.5 billion and $24.8&#160;billion at December&#160;31, 2010 and 2009, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Building purchase commitments</b><br /> In connection with the Bear Stearns merger, the Firm succeeded to an operating lease arrangement for the building located at 383 Madison Avenue in New York City (the &#8220;Synthetic Lease&#8221;). Under the terms of the Synthetic Lease, the Firm was obligated to a maximum residual value guarantee of approximately $670&#160;million if the building were sold and the proceeds of the sale were insufficient to satisfy the lessor&#8217;s debt obligation. Effective November&#160;1, 2010, the lease expired and the Firm purchased the property recognizing the $670&#160;million purchase price in premises and equipment. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On December&#160;15, 2010, the Firm entered into an agreement to purchase the leasehold property at 60 Victoria Embankment in London, a building the Firm has leased since 1991, for approximately $253 million. The purchase of this building is expected to close in the second quarter of 2011. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Loan sale and securitization-related indemnifications</b><br /> <i>Indemnifications for breaches of representations and warranties</i> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt">In connection with the Firm&#8217;s loan sale and securitization activities with the GSEs and other loan sale and private-label securitization transactions, as described in Notes 14 and 16 on pages 220&#8211;238 and 244&#8211;259, respectively, of this Annual Report, the Firm has made representations and warranties that the loans sold meet certain requirements. For transactions with the GSEs, these representations include type of collateral, underwriting standards, validity of certain borrower representations in connection with the loan, that primary mortgage insurance is in force for any mortgage loan with an LTV ratio greater than 80%, and the use of the GSEs&#8217; standard legal documentation. The Firm may be, and has been, required to repurchase loans and/or indemnify the GSEs and other investors for losses due to material breaches of these representations and warranties; however, predominantly all of the repurchase demands received by the Firm and the Firm&#8217;s losses realized to date are related to loans sold to the GSEs. Generally, the maximum amount of future payments the Firm would be required to make for breaches of these representations and warranties would be equal to the unpaid principal balance of such loans that are deemed to have defects sold to purchasers (including securitization-related SPEs) plus, in certain circumstances, accrued and unpaid interest on such loans and certain expense. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Subsequent to the Firm&#8217;s acquisition of certain assets and liabilities of Washington Mutual from the FDIC in September&#160;2008, the Firm resolved and/or limited certain current and future repurchase demands for loans sold to the GSEs by Washington Mutual, although it remains the Firm&#8217;s position that such obligations remain with the FDIC receivership. Nevertheless, certain payments have been made with respect to certain of the then current and future repurchase demands, and the Firm will continue to evaluate and may pay certain future repurchase demands related to individual loans. In addition to the payments already made, the Firm has a remaining repurchase liability of approximately $190&#160;million as of December&#160;31, 2010, relating to unresolved and future demands on the Washington Mutual portfolio. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The primary reasons for repurchase demands from the GSEs relate to alleged misrepresentations primarily driven by: (i)&#160;credit quality and/or undisclosed debt of the borrower; (ii)&#160;income level and/or employment status of the borrower; and (iii)&#160;appraised value of collateral. Ineligibility of the borrower for the particular product, mortgage insurance rescissions and missing documentation are other reasons for repurchase demands. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Beginning in 2009, mortgage insurers more frequently rescinded mortgage insurance coverage. The successful rescission of mortgage insurance typically results in a violation of representations and warranties made to the GSEs and, therefore, has been a significant cause of repurchase demands from the GSEs. The Firm actively reviews all rescission notices from mortgage insurers and contests them when appropriate. In addition, the Firm is engaged in discussions with various mortgage insurers on their rights and practices related to rescinding mortgage insurance coverage. The Firm has entered into agreements with two mortgage insurers to make processes more efficient and reduce exposure on claims on certain portfolios for which the Firm is a servicer. The impact of these agreements is reflected in the repurchase liability as of December&#160;31, 2010. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">When the Firm accepts a repurchase demand from one of the GSEs, the Firm may either (a) repurchase the loan or the underlying collateral from the GSE at the unpaid principal balance of the loan plus accrued interest, or (b) reimburse the GSE for its realized loss on a liquidated property (a &#8220;make-whole&#8221; payment). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">To estimate the Firm&#8217;s repurchase liability arising from breaches of representations and warranties, the Firm considers: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left">(i)</td> <td width="2%">&#160;</td> <td>the level of current unresolved repurchase demands and mortgage insurance rescission notices,</td> </tr> </table> </div> </div> <div style="margin-top: 0pt"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <tr> <td align="left" width="50%"></td> <td align="right" width="50%"></td> </tr> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left">(ii)</td> <td width="2%">&#160;</td> <td>estimated probable future repurchase demands based upon loans that are or ever have been 90 days past due considering historical experience,</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="1%" nowrap="nowrap" align="left">(iii)</td> <td width="1%">&#160;</td> <td>the potential ability of the Firm to cure the defects identified in the repurchase demands,</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="1%" nowrap="nowrap" align="left">(iv)</td> <td width="1%">&#160;</td> <td>the estimated severity of loss upon repurchase of the loan or collateral, make-whole settlement, or indemnification,</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="1%" nowrap="nowrap" align="left">(v)</td> <td width="1%">&#160;</td> <td>the Firm&#8217;s potential ability to recover its losses from third-party originators, 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="1%" nowrap="nowrap" align="left">(vi)</td> <td width="1%">&#160;</td> <td>the terms of agreements with certain mortgage insurers and other parties.</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Based on these factors, the Firm has recognized a repurchase liability of $3.3&#160;billion and $1.7 billion, including the Washington Mutual liability described above, as of December&#160;31, 2010 and 2009, respectively, which is reported in accounts payable and other liabilities net of probable recoveries from third parties. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Substantially all of the estimates and assumptions underlying the Firm&#8217;s established methodology for computing its recorded repurchase liability &#8211; including factors such as the amount of probable future demands from purchasers, the ability of the Firm to cure identified defects, the severity of loss upon repurchase or foreclosure, and recoveries from third parties &#8211; require application of a significant level of management judgment. Estimating the repurchase liability is further complicated by limited and rapidly changing historical data and uncertainty surrounding numerous external factors, including: (i)&#160;macro-economic factors, and (ii)&#160;the level of future demands, which is dependent, in part, on actions taken by third parties such as the GSEs and mortgage insurers. While the Firm uses the best information available to it in estimating its repurchase liability, the estimation process is inherently uncertain and imprecise and, accordingly, losses in excess of the amounts accrued as of December&#160;31, 2010 are reasonably possible. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm believes the estimate of the range of reasonably possible losses, in excess of reserves established, for its repurchase liability is from $0 to approximately $2&#160;billion at December&#160;31, 2010. This estimated range of reasonably possible loss is based on an assumed peak to trough decline in home prices of 46%, which is an additional 12 percentage point decline in home prices beyond the Firm&#8217;s current assumptions. Such a decline could increase the level of loan delinquencies, thereby potentially increasing the repurchase demand rate from the GSEs and increasing loss severity on repurchased loans, each of which could affect the Firm&#8217;s repurchase liability. 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In nonrecourse servicing, the principal credit risk to the Firm is the cost of temporary servicing advances of funds (i.e., normal servicing advances). In recourse servicing, the servicer agrees to share credit risk with the owner of the mortgage loans, such as Fannie Mae or Freddie Mac or a private investor, insurer or guarantor. Losses on recourse servicing predominantly occur when foreclosure sales proceeds of the property underlying a defaulted loan are less than the sum of the outstanding principal balance, plus accrued interest on the loan and the cost of holding and disposing of the underlying property. The Firm&#8217;s securitizations are predominantly nonrecourse, thereby effectively transferring the risk of future credit losses to the purchaser of the mortgage-backed securities issued by the trust. At December&#160;31, 2010 and 2009, the unpaid principal balance of loans sold with recourse totaled $11.0&#160;billion and $13.5&#160;billion, respectively. The carrying value of the related liability that the Firm has recorded, which is representative of the Firm&#8217;s view of the likelihood it will have to perform under this guarantee, was $153&#160;million and $271&#160;million at December&#160;31, 2010 and 2009, respectively. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Credit card charge-backs</b><br /> Prior to November&#160;1, 2008, the Firm was a partner with one of the leading companies in electronic payment services in a joint venture operating under the name of Chase Paymentech Solutions, LLC (the &#8220;joint venture&#8221;). The joint venture provided merchant processing services in the U.S. and Canada. The dissolution of the joint venture was completed on November&#160;1, 2008, and JPMorgan Chase retained approximately 51% of the business under the Chase Paymentech name. </div> </div> <div style="margin-top: 0pt"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <tr> <td align="left" width="50%"></td> <td align="right" width="50%"></td> </tr> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Under the rules of Visa USA, Inc., and MasterCard International, JPMorgan Chase Bank, N.A., is liable primarily for the amount of each processed credit card sales transaction that is the subject of a dispute between a cardmember and a merchant. If a dispute is resolved in the cardmember&#8217;s favor, Chase Paymentech will (through the cardmember&#8217;s issuing bank) credit or refund the amount to the cardmember and will charge back the transaction to the merchant. If Chase Paymentech is unable to collect the amount from the merchant, Chase Paymentech will bear the loss for the amount credited or refunded to the cardmember. Chase Paymentech mitigates this risk by withholding future settlements, retaining cash reserve accounts or by obtaining other security. However, in the unlikely event that: (1)&#160;a merchant ceases operations and is unable to deliver products, services or a refund; (2)&#160;Chase Paymentech does not have sufficient collateral from the merchant to provide customer refunds; and (3)&#160;Chase Paymentech does not have sufficient financial resources to provide customer refunds, JPMorgan Chase Bank, N.A., would be liable for the amount of the transaction. For the year ended December&#160;31, 2010, Chase Paymentech incurred aggregate credit losses of $12&#160;million on $469.3&#160;billion of aggregate volume processed, and at December&#160;31, 2010, it held $189&#160;million of collateral. For the year ended December&#160;31, 2009, Chase Paymentech incurred aggregate credit losses of $11&#160;million on $409.7&#160;billion of aggregate volume processed, and at December&#160;31, 2009, it held $213&#160;million of collateral. For the year ended December&#160;31, 2008, Chase Paymentech incurred aggregate credit losses of $13&#160;million on $713.9&#160;billion of aggregate volume processed, and at December&#160;31, 2008, it held $222&#160;million of collateral. The Firm believes that, based on historical experience and the collateral held by Chase Paymentech, the fair value of the Firm&#8217;s charge back-related obligations, which are representative of the payment or performance risk to the Firm, is immaterial. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Exchange and clearinghouse guarantees</b><br /> The Firm is a member of several securities and futures exchanges and clearinghouses, both in the U.S. and other countries. Membership in some of these organizations requires the Firm to pay a pro rata share of the losses incurred by the organization as a result of the default of another member. Such obligations vary with different organizations. These obligations may be limited to members who dealt with the defaulting member or to the amount (or a multiple of the amount) of the Firm&#8217;s contribution to a member&#8217;s guarantee fund, or, in a few cases, the obligation may be unlimited. It is difficult to estimate the Firm&#8217;s maximum exposure under these membership agreements, since this would require an assessment of future claims that may be made against the Firm that have not yet occurred. However, based on historical experience, management expects the risk of loss to be remote. </div> </div> <div> </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 31 - jpm:CommitmentsPledgedAssetsCollateralAndContingenciesDisclosureTextBlock--> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 12pt; margin-top: 12pt"><b>Note 31 &#8211; Commitments, pledged assets, collateral and contingencies</b> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt"><b>Lease commitments</b><br /> At December&#160;31, 2010, JPMorgan Chase and its subsidiaries were obligated under a number of noncancelable operating leases for premises and equipment used primarily for banking purposes, and for energy-related tolling service agreements. Certain leases contain renewal options or escalation clauses providing for increased rental payments based on maintenance, utility and tax increases, or they require the Firm to perform restoration work on leased premises. 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Certain of these pledged assets may be sold or repledged by the secured parties and are identified as financial instruments owned (pledged to various parties) on the Consolidated Balance Sheets. In addition, at December&#160;31, 2010 and 2009, the Firm had pledged $288.7&#160;billion and $344.6&#160;billion, respectively, of financial instruments it owns that may not be sold or repledged by the secured parties. 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See Note 16 on pages 244&#8211;259 of this Annual Report for additional information on assets and liabilities of consolidated VIEs.</td> </tr> </table> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Collateral</b><br /> At December&#160;31, 2010 and 2009, the Firm had accepted assets as collateral that it could sell or repledge, deliver or otherwise use with a fair value of approximately $655.0&#160;billion and $635.6 billion, respectively. This collateral was generally obtained under resale agreements, securities borrowing agreements, customer margin loans and derivative agreements. Of the collateral received, approximately $521.3&#160;billion and $472.7&#160;billion were sold or repledged, generally as collateral under repurchase agreements, securities lending agreements or to cover short sales and to collateralize deposits and derivative agreements. The reporting of collateral sold or repledged was revised in 2010 to include certain securities used to cover short sales and to collateralize deposits and derivative agreements. Prior period amounts have been revised to conform to the current presentation. This revision had no impact on the Firm&#8217;s Consolidated Balance Sheets or its results of operations. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Contingencies</b><br /> In 2008, the Firm resolved with the IRS issues related to compliance with reporting and withholding requirements for certain accounts transferred to The Bank of New York Mellon Corporation (&#8220;BNYM&#8221;) in connection with the Firm&#8217;s sale to BNYM of its corporate trust business. The resolution of these issues did not have a material effect on the Firm. </div> </div> <div style="margin-top: 0pt"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <tr> <td align="left" width="50%"></td> <td align="right" width="50%"></td> </tr> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div> </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 32 - jpm:LegalMattersAndContingenciesTextBlock--> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 12pt; margin-top: 12pt"><b>Note 32 &#8211; Litigation</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of December&#160;31, 2010, the Firm and its subsidiaries are defendants or putative defendants in more than 10,000 legal proceedings, in the form of regulatory/government investigations as well as private, civil litigations. The litigations range from individual actions involving a single plaintiff to class action lawsuits with potentially millions of class members. Investigations involve both formal and informal proceedings, by both governmental agencies and self-regulatory organizations. These legal proceedings are at varying stages of adjudication, arbitration or investigation, and involve each of the Firm&#8217;s lines of business and geographies and a wide variety of claims (including common law tort and contract claims and statutory antitrust, securities and consumer protection claims), some of which present novel claims or legal theories. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm believes the estimate of the aggregate range of reasonably possible losses, in excess of reserves established, for its legal proceedings is from $0 to approximately $4.5&#160;billion at December 31, 2010. This estimated aggregate range of reasonably possible losses is based upon currently available information for those proceedings in which the Firm is involved, taking into account the Firm&#8217;s best estimate of such losses for those cases for which such estimate can be made. For certain cases, the Firm does not believe that an estimate can currently be made. The Firm's estimate involves significant judgment, given the varying stages of the proceedings (including the fact that many of them are currently in preliminary stages), the existence of multiple defendants (including the Firm) in many of such proceedings whose share of liability has yet to be determined, the numerous yet-unresolved issues in many of the proceedings (including issues regarding class certification and the scope of many of the claims), and the attendant uncertainty of the various potential outcomes of such proceedings. Accordingly, the Firm&#8217;s estimate will change from time to time, and actual losses may be more than the current estimate. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Set forth below are descriptions of the Firm&#8217;s material legal proceedings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Auction-Rate Securities Investigations and Litigation. </i>Beginning in March&#160;2008, several regulatory authorities initiated investigations of a number of industry participants, including the Firm, concerning possible state and federal securities law violations in connection with the sale of auction-rate securities. The market for many such securities had frozen and a significant number of auctions for those securities began to fail in February&#160;2008. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm, on behalf of itself and affiliates, agreed to a settlement in principle with the New York Attorney General&#8217;s Office which provided, among other things, that the Firm would offer to purchase at par certain auction-rate securities purchased from J.P. Morgan Securities LLC (&#8220;JPMorgan Securities&#8221;; formerly J.P. Morgan Securities Inc.), Chase Investment Services Corp. and Bear, Stearns &#038; Co. Inc. by individual investors, charities and small- to medium-sized businesses. The Firm also agreed to a substantively similar settlement in principle with the Office of Financial Regulation for the State of Florida and the North American Securities Administrator Association (&#8220;NASAA&#8221;) Task Force, which agreed to recommend approval of the settlement to all remaining states, Puerto Rico and the U.S. Virgin Islands. The Firm has finalized the settlement agreements with the New York Attorney General&#8217;s Office and the Office of Financial Regulation for the State of Florida. The settlement agreements provide for the payment of penalties totaling $25&#160;million to all states. The Firm is currently in the process of finalizing consent agreements with NASAA&#8217;s member states; over 40 of these consent agreements have been finalized to date. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm also faces a number of civil actions relating to the Firm&#8217;s sales of auction-rate securities, including a putative securities class action in the United States District Court for the Southern District of New York that seeks unspecified damages, and individual arbitrations and lawsuits in various forums brought by institutional and individual investors that, together, seek damages totaling more than $200&#160;million relating to the Firm&#8217;s sales of auction-rate securities. One action is brought by an issuer of auction-rate securities. The actions generally allege that the Firm and other firms manipulated the market for auction-rate securities by placing bids at auctions that affected these securities&#8217; clearing rates or otherwise supported the auctions without properly disclosing these activities. Some actions also allege that the Firm misrepresented that auction-rate securities were short-term instruments. The Firm has filed motions to dismiss each of the actions, which are being coordinated before the Southern District. These motions are currently pending. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Additionally, the Firm was named in two putative antitrust class actions in the United States District Court for the Southern District of New York. The actions allege that the Firm, along with numerous other financial institution defendants, colluded to maintain and stabilize the auction-rate securities market and then to withdraw their support for the auction-rate securities market. In January&#160;2010, the District Court dismissed both actions. The Second Circuit Court of Appeals consolidated the two appeals. That appeal is currently pending. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Bear Stearns Hedge Fund Matters. </i>Bear Stearns, certain current or former subsidiaries of Bear Stearns, including Bear Stearns Asset Management, Inc. (&#8220;BSAM&#8221;) and Bear, Stearns &#038; Co. Inc., and certain current or former Bear Stearns employees are named defendants (collectively the &#8220;Bear Stearns defendants&#8221;) in multiple civil actions and arbitrations relating to alleged losses of more than $1&#160;billion resulting from the failure of the Bear Stearns High Grade Structured Credit Strategies Master Fund, Ltd. (the &#8220;High Grade Fund&#8221;) and the Bear Stearns High Grade Structured Credit Strategies Enhanced Leverage Master Fund, Ltd. (the &#8220;Enhanced Leverage Fund&#8221;) (collectively, the &#8220;Funds&#8221;). BSAM served as investment manager for both of the Funds, which were organized such that there were U.S. and Cayman Islands &#8220;feeder funds&#8221; that invested substantially all their assets, directly or indirectly, in the Funds. The Funds are in liquidation. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">There are currently four civil actions pending in the United States District Court for the Southern District of New York relating to the Funds. Two of these actions involve derivative lawsuits brought on behalf of purchasers of partnership interests in the two U.S. feeder funds, alleging that the Bear Stearns defendants mismanaged the Funds and made material misrepresentations to and/or withheld information from investors in the feeder funds. These actions seek, among other things, unspecified compensatory damages based on alleged investor losses. The third action, brought by the Joint Voluntary Liquidators of the Cayman Islands feeder funds, makes allegations similar to those asserted in the derivative lawsuits related to the U.S. feeder funds, and seeks compensatory and punitive damages. Motions to dismiss in these three cases have been granted in part and denied in part. An agreement in principle has been reached, pursuant to which BSAM would pay a maximum of approximately $19&#160;million to settle the one derivative action relating to the feeder fund to the High Grade Fund. BSAM has reserved the right not to proceed with this settlement if plaintiff is unable to secure the participation of investors whose net contributions meet a prescribed percentage of the aggregate net contributions to the High Grade Fund. The agreement in principle remains subject to documentation and approval by the Court. Discovery in the other two actions is ongoing. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The fourth action was brought by Bank of America and Banc of America Securities LLC (together &#8220;BofA&#8221;) alleging breach of contract and fraud in connection with a May&#160;2007 $4&#160;billion securitization, known as a &#8220;CDO-squared,&#8221; for which BSAM served as collateral manager. This securitization was composed of certain collateralized debt obligation (&#8220;CDO&#8221;) holdings that were purchased by BofA from the Funds. Bank of America seeks in excess of $3&#160;billion in damages. Defendants&#8217; motion to dismiss in this action was largely denied, an amended complaint was filed and discovery is ongoing. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Bear Stearns Shareholder Litigation and Related Matters. </i>Various shareholders of Bear Stearns have commenced purported class actions against Bear Stearns and certain of its former officers and/or directors on behalf of all persons who purchased or otherwise acquired common stock of Bear Stearns between December&#160;14, 2006 and March&#160;14, 2008 (the &#8220;Class&#160;Period&#8221;). During the Class&#160;Period Bear Stearns had between 115 and 120&#160;million common shares outstanding, and the price of those securities declined from a high of $172.61 to a low of $30 at the end of the period. The actions, originally commenced in several federal courts, allege that the defendants issued materially false and misleading statements regarding Bear Stearns&#8217; business and financial results and that, as a result of those false statements, Bear Stearns&#8217; common stock traded at artificially inflated prices during the Class&#160;Period. Separately, several individual shareholders of Bear Stearns have commenced or threatened to commence arbitration proceedings and lawsuits asserting claims similar to those in the putative class actions. In addition, Bear Stearns and certain of its former officers and/or directors have also been named as defendants in a number of purported class actions commenced in the United States District Court for the Southern District of New York seeking to represent the interests of participants in the Bear Stearns Employee Stock Ownership Plan (&#8220;ESOP&#8221;) during the time period of December&#160;2006 to March&#160;2008. These actions, brought under the Employee Retirement Income Security Act (&#8220;ERISA&#8221;), allege that defendants breached their fiduciary duties to plaintiffs and to the other participants and beneficiaries of the ESOP by (a)&#160;failing to manage prudently the ESOP&#8217;s investment in Bear Stearns securities; (b)&#160;failing to communicate fully and accurately about the risks of the ESOP&#8217;s investment in Bear Stearns stock; (c)&#160;failing to avoid or address alleged conflicts of interest; and (d)&#160;failing to monitor those who managed and administered the ESOP. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Bear Stearns, former members of Bear Stearns&#8217; Board of Directors and certain of Bear Stearns&#8217; former executive officers have also been named as defendants in two purported shareholder derivative suits, subsequently consolidated into one action, pending in the United States District Court for the Southern District of New York. Plaintiffs are asserting claims for breach of fiduciary duty, violations of federal securities laws, waste of corporate assets and gross mismanagement, unjust enrichment, abuse of control and indemnification and contribution in connection with the losses sustained by Bear Stearns as a result of its purchases of subprime loans and certain repurchases of its own common stock. Certain individual defendants are also alleged to have sold their holdings of Bear Stearns common stock while in possession of material nonpublic information. Plaintiffs seek compensatory damages in an unspecified amount. Plaintiffs later filed a second amended complaint asserting, for the first time, purported class action claims, as well as new allegations concerning events that took place in March&#160;2008. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">All of the above-described actions filed in federal courts were ordered transferred and joined for pre-trial purposes before the United States District Court for the Southern District of New York. Defendants moved to dismiss the purported securities class action, the shareholders&#8217; derivative action and the ERISA action. In January&#160;2011, the District Court granted the motions to dismiss the derivative and ERISA actions, and denied the motion as to the securities action. Plaintiffs in the derivative action have filed a motion for reconsideration of the dismissal. Discovery will now commence in the securities action. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>City of Milan Litigation and Criminal Investigation. </i>In January&#160;2009, the City of Milan, Italy (the &#8220;City&#8221;) issued civil proceedings against (among others) JPMorgan Chase Bank, N.A. and J.P. Morgan Securities Ltd. (together, &#8220;JPMorgan Chase&#8221;) in the District Court of Milan. The proceedings relate to (a)&#160;a bond issue by the City in June&#160;2005 (the &#8220;Bond&#8221;) and (b)&#160;an associated swap transaction, which was subsequently restructured on a number of occasions between 2005 and 2007 (the &#8220;Swap&#8221;). The City seeks damages and/or other remedies against JPMorgan Chase (among others) on the grounds of alleged &#8220;fraudulent and deceitful acts&#8221; and alleged breach of advisory obligations by JPMorgan Chase (among others) in connection with the Swap and the Bond, together with related swap transactions with other counterparties. The civil proceedings continue and there will be an initial hearing on March 9, 2011. JPMorgan Chase Bank, N.A. will seek an adjournment on the grounds that it has filed a challenge to the Italian Supreme Court&#8217;s jurisdiction over JPMorgan Chase Bank, N.A., which has yet to be decided. The judge directed four current and former JPMorgan Chase personnel and JPMorgan Chase Bank, N.A. (as well as other individuals and three other banks) to go forward to a full trial that started in May&#160;2010. Although the Firm is not charged with any crime and does not face criminal liability, if one or more of its employees were found guilty, the Firm could be subject to administrative sanctions, including restrictions on its ability to conduct business in Italy and monetary penalties. In the initial hearings, the City successfully applied to join some of the claims in the civil proceedings against the individuals and JPMorgan Chase Bank, N.A. to the criminal proceedings. In addition, a consumer association has also been given leave to join the criminal proceedings to seek damages from the defendant banks. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Enron Litigation. </i>JPMorgan Chase and certain of its officers and directors are involved in several lawsuits that together seek substantial damages arising out of the Firm&#8217;s banking relationships with Enron Corp. and its subsidiaries (&#8220;Enron&#8221;). A&#160;number of actions and other proceedings against the Firm previously were resolved, including a class action lawsuit captioned Newby v. Enron Corp. and adversary proceedings brought by Enron&#8217;s bankruptcy estate. The remaining Enron-related actions include individual actions by Enron investors, an action by an Enron counterparty, and a purported class action filed on behalf of JPMorgan Chase employees who participated in the Firm&#8217;s 401(k) plan asserting claims under the ERISA for alleged breaches of fiduciary duties by JPMorgan Chase, its directors and named officers. That action has been dismissed, and is on appeal to the United States Court of Appeals for the Second Circuit. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Interchange Litigation. </i>A group of merchants has filed a series of putative class action complaints in several federal courts. The complaints allege that VISA and MasterCard, as well as certain other banks and their respective bank holding companies, conspired to set the price of credit and debit card interchange fees, enacted respective association rules in violation of anti-trust laws, and engaged in tying/bundling and exclusive dealing. The complaint seeks unspecified damages and injunctive relief based on the theory that interchange would be lower or eliminated but for the challenged conduct. Based on publicly available estimates, Visa and MasterCard branded payment cards generated approximately $40&#160;billion of interchange fees industry-wide in 2009. All cases have been consolidated in the United States District Court for the Eastern District of New York for pretrial proceedings. The Court has dismissed all claims relating to periods prior to January&#160;2004. The Court has not yet ruled on motions relating to the remainder of the case. Fact and expert discovery in the case have closed. The plaintiffs have filed a motion seeking class certification, and the defendants have opposed that motion. The Court has not yet ruled on the class certification motion. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the consolidated class action complaint, plaintiffs filed supplemental complaints challenging the initial public offerings (&#8220;IPOs&#8221;) of MasterCard and Visa (the &#8220;IPO Complaints&#8221;). With respect to the MasterCard IPO, plaintiffs allege that the offering violated Section&#160;7 of the Clayton Act and Section&#160;1 of the Sherman Act and that the offering was a fraudulent conveyance. With respect to the Visa IPO, plaintiffs are challenging the Visa IPO on antitrust theories parallel to those articulated in the MasterCard IPO pleading. Defendants have filed motions to dismiss the IPO Complaints. The Court has not yet ruled on those motions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Investment Management Litigation. </i>Four cases have been filed claiming that investment portfolios managed by JPMorgan Investment Management Inc. (&#8220;JPMorgan Investment Management&#8221;) were inappropriately invested in securities backed by subprime residential real estate collateral. Plaintiffs claim that JPMorgan Investment Management and related defendants are liable for losses of more than $1&#160;billion in market value of these securities. The first case was filed by NM Homes One, Inc. in federal District Court in New York, and the Court granted JPMorgan Chase Bank, N.A.&#8217;s motion to dismiss nine of plaintiff&#8217;s ten causes of action, leaving a breach of contract claim. The Court thereafter granted the plaintiff&#8217;s motion for reconsideration and reinstated the common law non-fraud claims for breach of fiduciary duty, negligence, and gross negligence. The plaintiff withdrew its claim for negligent misrepresentation. The Firm has filed a renewed motion to dismiss the common law non-fraud claims and a motion for judgment on the pleadings as to the breach of contract claim. In the second case, which was filed by Assured Guaranty (U.K.) in New York state court, the New York State Appellate Division allowed plaintiff to proceed with its claims for breach of fiduciary duty and gross negligence, and for breach of contract based on alleged violations of the Delaware Insurance Code. The Firm sought and has obtained leave to appeal to the New York State Court of Appeals the decision by the Appellate Division to allow the breach of fiduciary duty and gross negligence claims to proceed. In the third case, filed by Ambac Assurance UK Limited in New York state court, the lower court granted JPMorgan Investment Management&#8217;s motion to dismiss, and plaintiff has filed a notice of appeal. The fourth case was filed by CMMF LLP in New York state court; the lower court granted JPMorgan Investment Management&#8217;s motion to dismiss the claims, other than claims for breach of contract and negligent misrepresentation. The Appellate Division affirmed the lower court&#8217;s decision. Plaintiff has since filed an amended complaint seeking to assert claims under New York law for breach of fiduciary duty, gross negligence, breach of contract and negligent misrepresentation. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Lehman Brothers Bankruptcy Proceedings. </i>In March&#160;2010, the Examiner appointed by the Bankruptcy Court presiding over the Chapter&#160;11 bankruptcy proceedings of Lehman Brothers Holdings Inc (&#8220;LBHI&#8221;) and several of its subsidiaries (collectively, &#8220;Lehman&#8221;) released a report as to his investigation into Lehman&#8217;s failure and related matters. The Examiner concluded that one common law claim potentially could be asserted against the Firm for contributing to Lehman&#8217;s failure, though he characterized the claim as &#8220;not strong.&#8221; The Examiner also opined that certain cash and securities collateral provided by LBHI to the Firm in the weeks and days preceding LBHI&#8217;s demise potentially could be challenged under the Bankruptcy Code&#8217;s fraudulent conveyance or preference provisions, though the Firm is of the view that its right to such collateral is protected by the Bankruptcy Code&#8217;s safe harbor provisions. In May&#160;2010, LBHI and its Official Committee of Unsecured Creditors filed an adversary proceeding against JPMorgan Chase Bank, N.A. in the United States Bankruptcy Court for the Southern District of New York. The complaint asserts both federal bankruptcy law and state common law claims, and seeks, among other relief, to recover $8.6&#160;billion in collateral that was transferred to JPMorgan Chase Bank, N.A. in the week preceding LBHI&#8217;s bankruptcy. The complaint also seeks unspecified damages on the grounds that JPMorgan Chase Bank, N.A.&#8217;s collateral requests hastened LBHI&#8217;s demise. The Firm has moved to dismiss plaintiffs&#8217; amended complaint in its entirety. The Firm also filed counterclaims against LBHI alleging that LBHI fraudulently induced the Firm to make large clearing advances to Lehman against inappropriate collateral, which left the Firm with more than $25&#160;billion in claims against the estate of Lehman&#8217;s broker-dealer, which could be unpaid if the Firm is required to return any collateral to Lehman. The case is in the early stages, with a trial scheduled for 2012. In addition, the Firm may also face claims in the liquidation proceeding pending before the same Bankruptcy Court under the Securities Investor Protection Act (&#8220;SIPA&#8221;) for LBHI&#8217;s U.S. broker-dealer subsidiary, Lehman Brothers Inc. (&#8220;LBI&#8221;). The SIPA Trustee has advised the Firm that certain of the securities and cash pledged as collateral for the Firm&#8217;s claims against LBI may be customer property free from any security interest in favor of the Firm. The Firm has also responded to various regulatory inquiries regarding the Lehman matter. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Madoff Litigation. </i>JPMorgan Chase &#038; Co., JPMorgan Chase Bank, N.A., JPMorgan Securities LLC, and JPMorgan Securities Ltd. have been named as defendants in a lawsuit brought by the trustee for the liquidation of Bernard L. Madoff Investment Securities LLC (the &#8220;Trustee&#8221;). The Trustee asserts 28 causes of action against JPMorgan Chase, 16 of which seek to avoid certain transfers (direct or indirect) made to JPMorgan Chase that are alleged to have been preferential or fraudulent under the federal Bankruptcy Code and the New York Debtor and Creditor Law. The remaining causes of action are for, among other things, aiding and abetting fraud, aiding and abetting breach of fiduciary duty, conversion and unjust enrichment. The complaint generally alleges that JPMorgan Chase, as Madoff&#8217;s long-time bank, facilitated the maintenance of Madoff&#8217;s Ponzi scheme and overlooked signs of wrongdoing in order to obtain profits and fees. The complaint purports to seek approximately $6 billion in damages from JPMorgan Chase, and to recover approximately $425&#160;million in transfers that JPMorgan Chase allegedly received directly or indirectly from Bernard Madoff&#8217;s brokerage firm. JPMorgan Chase has filed a motion to return the case from the Bankruptcy Court to the District Court, and intends to seek the dismissal of all or most of the Trustee&#8217;s claims once that motion is decided. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Separately, J.P. Morgan Trust Company (Cayman) Limited, JPMorgan (Suisse) SA, and J.P. Morgan Securities Ltd. have been named as defendants in several suits in Bankruptcy Court and state and federal courts in New York arising out of the liquidation proceedings of Fairfield Sentry Limited and Fairfield Sigma Limited (together, &#8220;Fairfield&#8221;), so-called Madoff feeder funds. These actions advance theories of mistake and restitution and seek to recover payments previously made to defendants by the funds totaling approximately $140&#160;million. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Mortgage-Backed Securities Litigation and Regulatory Investigations. </i>JPMorgan Chase and affiliates, Bear Stearns and affiliates and Washington Mutual and affiliates have been named as defendants in a number of cases in their various roles as issuer and/or underwriter in mortgage-backed securities (&#8220;MBS&#8221;) offerings. These cases include purported class action suits, actions by individual purchasers of securities and actions by insurance companies that guaranteed payments of principal and interest for particular tranches. Although the allegations vary by lawsuit, these cases generally allege that the offering documents for more than $100&#160;billion of securities issued by dozens of securitization trusts contained material misrepresentations and omissions, including statements regarding the underwriting standards pursuant to which the underlying mortgage loans were issued. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In the actions against the Firm as an MBS issuer (and, in some cases, also as an underwriter of its own MBS offerings), three purported class actions are pending against JPMorgan Chase and Bear Stearns, and/or certain of their affiliates and current and former employees, in the United States District Courts for the Eastern and Southern Districts of New York. Defendants have moved to dismiss these actions. In addition, Washington Mutual affiliates, WaMu Asset Acceptance Corp. and WaMu Capital Corp., are defendants, along with certain former officers or directors of WaMu Asset Acceptance Corp., have been named as defendants in three now-consolidated purported class action cases pending in the Western District of Washington. Defendants&#8217; motion to dismiss was granted in part to dismiss all claims relating to MBS offerings in which a named plaintiff was not a purchaser. Discovery is ongoing. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In other actions brought against the Firm as an MBS issuer (and, in some cases, also as an underwriter) certain JPMorgan Chase entities, several Bear Stearns entities, and certain Washington Mutual affiliates are defendants in nine separate individual actions commenced by the Federal Home Loan Banks of Pittsburgh, Seattle, San Francisco, Chicago, Indianapolis and Atlanta in various state courts around the country; and certain JPMorgan Chase, Bear Stearns and Washington Mutual entities are also among the defendants named in separate individual actions commenced by Cambridge Place Investment Management Inc. in Massachusetts state court, by The Charles Schwab Corporation in state court in California and by Allstate in state court in New York. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">EMC Mortgage Corporation (&#8220;EMC&#8221;), a subsidiary of JPMorgan Chase, is a defendant in four pending actions commenced by bond insurers that guaranteed payments of principal and interest on approximately $3.6&#160;billion of certain classes of seven different MBS offerings sponsored by EMC. Three of those actions, commenced by Assured Guaranty Corp., Ambac Assurance Corporation and Syncora Guarantee, Inc., respectively, are pending in the United States District Court for the Southern District of New York. The fourth action, commenced by CIFG Assurance North America, Inc., is pending in state court in Texas. In each action, plaintiff claims that the underlying mortgage loans had origination defects that purportedly violate certain representations and warranties given by EMC to plaintiffs, and that EMC has breached the relevant agreements between the parties by failing to repurchase allegedly defective mortgage loans. Each action seeks unspecified damages and an order compelling EMC to repurchase those loans. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <!-- Blank Space --> <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> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In the actions against the Firm solely as an underwriter of other issuers&#8217; MBS offerings, the Firm has contractual rights to indemnification from the issuers, but those indemnity rights may prove effectively unenforceable where the issuers are now defunct, such as affiliates of IndyMac Bancorp (&#8220;IndyMac Trusts&#8221;) and Thornburg Mortgage (&#8220;Thornburg&#8221;). With respect to the IndyMac Trusts, JPMorgan Securities, along with numerous other underwriters and individuals, is named as a defendant, both in its own capacity and as successor to Bear Stearns in a purported class action pending in the United States District Court for the Southern District of New York brought on behalf of purchasers of securities in various IndyMac Trust MBS offerings. The Court in that action has dismissed claims as to certain such securitizations, including all offerings in which no named plaintiff purchased securities, and allowed claims as to other offerings to proceed. Plaintiffs&#8217; motion to certify a class of investors in certain offerings is pending, and discovery is ongoing. In addition, JPMorgan Securities and JPMorgan Chase are named as defendants in an individual action filed by the Federal Home Loan Bank of Pittsburgh in connection with a single offering by an affiliate of IndyMac Bancorp. Discovery in that action is ongoing. Separately, JPMorgan Securities, as successor to Bear, Stearns &#038; Co. Inc., along with other underwriters and certain individuals, are defendants in an action pending in state court in California brought by MBIA Insurance Corp. (&#8220;MBIA&#8221;). The action relates to certain securities issued by IndyMac trusts in offerings in which Bear Stearns was an underwriter, and as to which MBIA provided guaranty insurance policies. MBIA purports to be subrogated to the rights of the MBS holders, and seeks recovery of sums it has paid and will pay pursuant to those policies. Discovery is ongoing. With respect to Thornburg, a Bear Stearns subsidiary is a named defendant in a purported class action pending in the United States District Court for the District of New Mexico along with a number of other financial institutions that served as depositors and/or underwriters for three Thornburg MBS offerings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the above-described litigation, the Firm has also received, and responded to, a number of subpoenas and informal requests for information from federal authorities concerning mortgage-related matters, including inquiries concerning a number of transactions involving the Firm&#8217;s underwriting and issuance of MBS and its participation in offerings of certain collateralized debt obligations. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the above mortgage-related matters, the Firm is now a defendant in an action commenced by Deutsche Bank, described in more detail below with respect to the Washington Mutual Litigations. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Mortgage Foreclosure Investigations and Litigation. </i>Multiple state and federal officials have announced investigations into the procedures followed by mortgage servicing companies and banks, including JPMorgan Chase &#038; Co. and its affiliates, relating to foreclosure and loss mitigation processes. The Firm is cooperating with these investigations, and these investigations could result in material fines, penalties, equitable remedies (including requiring default servicing or other process changes), or other enforcement actions, as well as significant legal costs in responding to governmental investigations and additional litigation. Three purported class action lawsuits have also been filed against the Firm relating to its mortgage foreclosure procedures. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">These investigations and actions follow the Firm&#8217;s decision in late September&#160;2010 to commence a temporary suspension of obtaining mortgage foreclosure judgments in the states and territories that require a judicial foreclosure process. Subsequently, the Firm extended this temporary suspension to foreclosure sales in those states and territories that require a judicial foreclosure process, and to foreclosures and foreclosure sales in the majority of remaining states where a judicial process is not required, but where affidavits signed by Firm personnel may have been used as part of the foreclosure process. In mid-October, the Firm also temporarily suspended evictions in the states and territories in which it had suspended foreclosures and foreclosure sales, as well as in certain additional states in which an affidavit signed by Firm personnel may have been used in connection with eviction proceedings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm&#8217;s temporary suspension arose out of certain questions about affidavits of indebtedness prepared by local foreclosure counsel, signed by Firm employees and filed or used in mortgage foreclosure proceedings in certain states. Although the Firm believes, based on its work to date, that the statements in those affidavits of indebtedness regarding the fact of default and amount of indebtedness were materially accurate, in certain instances, the underlying review and verification of this information was performed by Firm personnel other than the affiants, or the affidavits may not have been properly notarized. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As of January&#160;2011, the Firm has resumed initiation of new foreclosure proceedings in nearly all states in which it had previously suspended such proceedings, utilizing revised procedures in connection with the execution of affidavits and other documents used by Firm employees in the foreclosure process. The Firm is also in the process of reviewing pending foreclosure matters in these states to determine whether remediation of specific documentation is necessary, and intends to resume pending foreclosures as the review, and if necessary, remediation, of each pending matter is completed. The Firm intends to begin taking these same actions in all remaining states in the near future. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Municipal Derivatives Investigations and Litigation. </i>The Department of Justice (in conjunction with the Internal Revenue Service), the Securities and Exchange Commission (&#8220;SEC&#8221;), a group of state attorneys general and the Office of the Comptroller of the Currency (&#8220;OCC&#8221;) have been investigating JPMorgan Chase and Bear Stearns for possible antitrust, securities and tax-related violations in connection with the bidding or sale of guaranteed investment contracts and derivatives to municipal issuers. The Philadelphia Office of the SEC provided notice to JPMorgan Securities that it intends to recommend that the SEC bring civil charges in connection with its investigation. JPMorgan Securities has responded to that notice, as well as to a separate notice that that Philadelphia Office of the SEC provided to Bear, Stearns &#038; Co. Inc. The Firm has been cooperating with all of these investigations, and is seeking to resolve them on a negotiated basis. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Purported class action lawsuits and individual actions (the &#8220;Municipal Derivatives Actions&#8221;) have been filed against JPMorgan Chase and Bear Stearns, as well as numerous other providers and brokers, alleging antitrust violations in the reportedly $100&#160;billion to $300&#160;billion annual market for financial instruments related to municipal bond offerings referred to collectively as &#8220;municipal derivatives.&#8221; The Municipal Derivatives Actions have been consolidated in the United States District Court for the Southern District of New York. The Court denied in part and granted in part defendants&#8217; motions to dismiss the purported class and individual actions, permitting certain claims to proceed against the Firm and others under federal and California state antitrust laws and under the California false claims act. Subsequently, a number of additional individual actions asserting substantially similar claims, including claims under New York and West Virginia state antitrust statutes, were filed against JPMorgan Chase, Bear Stearns and numerous other defendants. Most of these cases have been coordinated for pretrial purposes in the United States District Court for the Southern District of New York. The Firm is seeking to have the balance of these cases coordinated before the same court. Discovery is ongoing. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Following JPMorgan Securities&#8217; settlement with the SEC in connection with certain Jefferson County, Alabama (the &#8220;County&#8221;) warrant underwritings and swap transactions, the County filed a complaint against the Firm and several other defendants in the Circuit Court of Jefferson County, Alabama. The suit alleges that the Firm made payments to certain third parties in exchange for being chosen to underwrite more than $3&#160;billion in warrants issued by the County and chosen as the counterparty for certain swaps executed by the County. In its complaint, Jefferson County alleges that the Firm concealed these third-party payments and that, but for this concealment, the County would not have entered into the transactions. The County further alleges that the transactions increased the risks of its capital structure and that, following the downgrade of certain insurers that insured the warrants, the County&#8217;s interest obligations increased and the principal due on a portion of its outstanding warrants was accelerated. The Court denied the Firm&#8217;s motion to dismiss the complaint. The Firm filed a mandamus petition with the Alabama Supreme Court, seeking immediate appellate review of this decision. The petition is now fully briefed and all proceedings have been stayed pending adjudication of the petition. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">A putative class action was filed on behalf of sewer ratepayers against JPMorgan Chase and Bear Stearns and numerous other defendants, based on substantially the same alleged conduct described above. The Firm&#8217;s motion to dismiss the complaint for lack of standing was denied in January&#160;2011. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Two insurance companies that guaranteed the payment of principal and interest on warrants issued by Jefferson County have filed separate actions against JPMorgan Chase (and one of the insurers has also named Jefferson County) in New York state court asserting that defendants fraudulently misled them into issuing the insurance coverage, based upon substantially the same alleged conduct described above and other alleged non-disclosures. One insurer claims that it insured an aggregate principal amount of nearly $1.2 billion in warrants, and seeks unspecified damages in excess of $400&#160;million, as well as unspecified punitive damages. The other insurer claims that it insured an aggregate principal amount of more than $378&#160;million and seeks recovery of $4&#160;million that it alleges it paid under the policies to date as well as any payments it will make in the future and unspecified punitive damages. In December&#160;2010, the court denied the Firm&#8217;s motions to dismiss each of the complaints and the parties are currently engaged in discovery. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Alabama Public Schools and College Authority (&#8220;APSCA&#8221;) brought a declaratory judgment action in the United States District Court for the Northern District of Alabama claiming that certain interest rate swaption transactions entered into with JPMorgan Chase Bank, N.A. are void on the grounds that the APSCA purportedly did not have the authority to enter into the transactions or, alternatively, are voidable at the APSCA&#8217;s option because of its alleged inability to issue refunding bonds in relation to the swaption. The action was settled in December&#160;2010 for a payment by APSCA to the Firm and, pursuant to the settlement, the court dismissed the action by order dated December&#160;27, 2010. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Overdraft Fee/Debit Posting Order Litigation. </i>JPMorgan Chase Bank, N.A. has been named as a defendant in several purported class actions relating to its practices in posting debit card transactions to customers&#8217; deposit accounts. Plaintiffs allege that the Firm improperly re-ordered debit card transactions from the highest amount to lowest amount before processing these transactions in order to generate unwarranted overdraft fees. Plaintiffs contend that the Firm should have processed such transactions in the chronological order they were authorized. Plaintiffs seek the disgorgement of all overdraft fees paid to the Firm by plaintiffs, since approximately 2003, as a result of the re-ordering of debit card transactions. The claims against the Firm have been consolidated with numerous complaints against other national banks in Multi-District Litigation pending in the United States District Court for the Southern District of Florida. The Firm&#8217;s motion to compel arbitration of certain plaintiffs&#8217; claims was denied by the District Court. That ruling is currently on appeal. Discovery is proceeding in the District Court. Plaintiffs&#8217; motion for class certification is due to be filed by in April&#160;2011. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Petters Bankruptcy and Related Matters. </i>JPMorgan Chase and certain of its affiliates, including One Equity Partners, LLC (&#8220;OEP&#8221;), have been named as defendants in several actions filed in connection with the receivership and bankruptcy proceedings pertaining to Thomas J. Petters and certain entities affiliated with Petters (collectively, &#8220;Petters&#8221;) and the Polaroid Corporation. The principal actions against JPMorgan Chase and its affiliates have been brought by the receiver and bankruptcy trustee for Petters and generally seek to avoid, on fraudulent transfer and preference grounds, certain purported transfers in connection with (i)&#160;the 2005 acquisition of Polaroid by Petters, which at the time was majority-owned by OEP; (ii)&#160;two credit facilities that JPMorgan Chase and other financial institutions entered into with Polaroid; and (iii)&#160;a credit line and investment accounts held by Petters. The actions collectively seek recovery of approximately $450 million. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Securities Lending Litigation. </i>JPMorgan Chase Bank, N.A. has been named as a defendant in four putative class actions asserting ERISA and other claims pending in the United States District Court for the Southern District of New York brought by participants in the Firm&#8217;s securities lending business. A fifth lawsuit was filed in New York state court by an individual participant in the program. Three of the purported class actions, which have been consolidated, relate to investments of approximately $500&#160;million in medium-term notes of Sigma Finance Inc. (&#8220;Sigma&#8221;). In August&#160;2010, the Court certified a plaintiff class consisting of all securities lending participants that held Sigma medium-term notes on September&#160;30, 2008, including those that held the notes by virtue of participation in the investment of cash collateral through a collective fund, as well as those that held the notes by virtue of the investment of cash collateral through individual accounts. All discovery has been completed. The Court has set a schedule for filing summary judgment briefs, pursuant to which the Firm&#8217;s motion is to be fully briefed by April&#160;2011. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The fourth putative class action concerns investments of approximately $500&#160;million in Lehman Brothers medium-term notes. The Firm has moved to dismiss the amended complaint and is awaiting a decision. The Magistrate Judge ordered discovery to proceed while the motion is pending, but this ruling is on appeal to the District Judge and also is awaiting a decision. The New York state court action, which is not a class action, concerns the plaintiff&#8217;s alleged loss of money in both Sigma and Lehman Brothers medium-term notes. The Firm has answered the complaint. The Court denied the Firm&#8217;s motion to stay this action pending resolution of the proceedings in federal court<b>, </b>and discovery has commenced. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Service Members Civil Relief Act and Housing and Economic Recovery Act Investigations and Litigation. </i>Multiple government officials have announced their intent to commence, or have commenced, inquiries into the Firm&#8217;s procedures related to the Service Members Civil Relief Act (&#8220;SCRA&#8221;) and the Housing and Economic Recovery Act of 2008 (&#8220;HERA&#8221;). These inquiries have been prompted by the Firm&#8217;s public statements about its SCRA and HERA compliance and actions to remedy certain instances in which the Firm mistakenly charged active or recently-active military personnel mortgage interest and fees in excess of that permitted by SCRA and HERA, and in a number of instances, foreclosed on borrowers protected by SCRA and HERA. The Firm has implemented a number of procedural enhancements and controls to strengthen its SCRA and HERA compliance and is still reviewing the circumstances under which these issues arose. In addition, an individual borrower has filed a purported nationwide class action in United States District Court for South Carolina against the Firm alleging violations of the SCRA. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Washington Mutual Litigations. </i>Subsequent to JPMorgan Chase&#8217;s acquisition from the Federal Deposit Insurance Corporation (&#8220;FDIC&#8221;) of substantially all of the assets and certain specified liabilities of Washington Mutual Bank, Henderson Nevada (&#8220;Washington Mutual Bank&#8221;), in September&#160;2008, Washington Mutual Bank&#8217;s parent holding company, Washington Mutual, Inc. (&#8220;WMI&#8221;) and its wholly-owned subsidiary, WMI Investment Corp. (together, the &#8220;Debtors&#8221;), both commenced voluntary cases under Chapter&#160;11 of Title 11 of the United States Code in the United States Bankruptcy Court for the District of Delaware (the &#8220;Bankruptcy Case&#8221;). In the Bankruptcy Case, the Debtors have asserted rights and interests in certain assets. The assets in dispute include principally the following: (a)&#160;approximately $4&#160;billion in trust securities contributed by WMI to Washington Mutual Bank (the &#8220;Trust Securities&#8221;); (b)&#160;the right to tax refunds arising from overpayments attributable to operations of Washington Mutual Bank and its subsidiaries; (c)&#160;ownership of and other rights in approximately $4&#160;billion that WMI contends are deposit accounts at Washington Mutual Bank and one of its subsidiaries; and (d)&#160;ownership of and rights in various other contracts and other assets (collectively, the &#8220;Disputed Assets&#8221;). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">WMI, JPMorgan Chase and the FDIC have since been involved in litigations over these and other claims pending in the Bankruptcy Court and the United States District Court for the District of Columbia. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In May&#160;2010, WMI, JPMorgan Chase and the FDIC announced a global settlement agreement among themselves and significant creditor groups (the &#8220;Global Settlement Agreement&#8221;). The Global Settlement Agreement is incorporated into WMI&#8217;s proposed Chapter&#160;11 plan (&#8220;the Plan&#8221;) that has been submitted to the Bankruptcy Court. If approved by the Bankruptcy Court, the Global Settlement would resolve numerous disputes among WMI, JPMorgan Chase, the FDIC in its capacity as receiver for Washington Mutual Bank and the FDIC in its corporate capacity, as well as those of significant creditor groups, including disputes relating to the Disputed Assets. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Other proceedings related to Washington Mutual&#8217;s failure are also pending before the Bankruptcy Court. Among other actions, in July&#160;2010, certain holders of the Trust Securities commenced an adversary proceeding in the Bankruptcy Court against JPMorgan Chase, WMI, and other entities seeking, among other relief, a declaratory judgment that WMI and JPMorgan Chase do not have any right, title or interest in the Trust Securities. In early January&#160;2011, the Bankruptcy Court granted summary judgment to JPMorgan Chase and denied summary judgment to the plaintiffs in the Trust Securities adversary proceeding. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Bankruptcy Court considered confirmation of the Plan, including the Global Settlement Agreement, in hearings in early December&#160;2010. In early January&#160;2011, the Bankruptcy Court issued an opinion in which it concluded that the Global Settlement Agreement is fair and reasonable, but that the Plan cannot be confirmed until the parties correct certain deficiencies, which include the scope of releases. None of these deficiencies relate to the Disputed Assets. The Equity Committee has filed a petition seeking a direct appeal to the United States Court of Appeals for the Third Circuit from so much of the Bankruptcy Court&#8217;s ruling that found the settlement to be fair and reasonable. A revised Plan was filed with the Bankruptcy Court in February&#160;2011, and the Bankruptcy Court has scheduled a hearing for May&#160;2, 2011. If the Global Settlement is effected and the Plan is confirmed, the Firm currently estimates it will not incur additional obligations beyond those already reflected in its liabilities for the numerous disputes covered by the Global Settlement. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Other proceedings related to Washington Mutual&#8217;s failure are pending before the United States District Court for the District of Columbia include a lawsuit brought by Deutsche Bank National Trust Company, initially against the FDIC, asserting an estimated $6&#160;billion to $10&#160;billion in damages based upon alleged breach of various mortgage securitization agreements and alleged violation of certain representations and warranties given by certain WMI subsidiaries in connection with those securitization agreements. Deutsche Bank filed an amended complaint in August&#160;2010, adding JPMorgan Chase Bank, N.A. as a party. The amended complaint includes assertions that JPMorgan Chase may have assumed liabilities relating to the mortgage securitization agreements. In November&#160;2010, JPMorgan Chase and the FDIC moved to dismiss the complaint. JPMorgan Chase also moved for a partial summary judgment holding that the FDIC retained liability for Deutsche Bank&#8217;s claims. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition, JPMorgan Chase was sued in an action originally filed in State District Court in Texas (the &#8220;Texas Action&#8221;) by certain holders of WMI common stock and debt of WMI and Washington Mutual Bank who seek unspecified damages alleging that JPMorgan Chase acquired substantially all of the assets of Washington Mutual Bank from the FDIC at an allegedly too-low price. The Texas Action was transferred to the United States District Court for the District of Columbia, which ultimately granted JPMorgan Chase&#8217;s and the FDIC&#8217;s motions to dismiss the complaint. Plaintiffs have appealed this dismissal to the United States Court of Appeals for the District of Columbia Circuit. Oral argument is currently scheduled for April&#160;5, 2011. </div> <div align="center" style="font-size: 10pt; margin-top: 18pt">*&#160;&#160;&#160;&#160;&#160; * &#160;&#160;&#160;&#160;&#160; * </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In addition to the various legal proceedings discussed above, JPMorgan Chase and its subsidiaries are named as defendants or otherwise involved in a substantial number of other legal proceedings. The Firm believes it has meritorious defenses to the claims asserted against it in its currently outstanding legal proceedings and it intends to defend itself vigorously in all such matters. Additional legal proceedings may be initiated from time to time in the future. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt"> The Firm has established reserves for several hundred of its currently outstanding legal proceedings. The Firm accrues for potential liability arising from such proceedings when it is probable that such liability has been incurred and the amount of the loss can be reasonably estimated. The Firm evaluates its outstanding legal proceedings each quarter to assess its litigation reserves, and makes adjustments in such reserves, upwards or downwards, as appropriate, based on management&#8217;s best judgment after consultation with counsel. During the years ended December&#160;31, 2010 and 2009, the Firm incurred $7.4&#160;billion and $161&#160;million, respectively, of litigation expense. During the year ended December&#160;31, 2008, the Firm recorded a net benefit of $781&#160;million to litigation expense. There is no assurance that the Firm&#8217;s litigation reserves will not need to be adjusted in the future. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In view of the inherent difficulty of predicting the outcome of legal proceedings, particularly where the claimants seek very large or indeterminate damages, or where the matters present novel legal theories, involve a large number of parties or are in early stages of discovery, the Firm cannot state with confidence what the eventual outcome of the currently pending matters will be, what the timing of the ultimate resolution of these pending matters will be or what the eventual loss, fines, penalties or impact related to each currently pending matter may be. JPMorgan Chase believes, based upon its current knowledge, after consultation with counsel and after taking into account its current litigation reserves, that the legal proceedings currently pending against it should not have a material adverse effect on the Firm&#8217;s consolidated financial condition. The Firm notes, however, that in light of the uncertainties involved in such proceedings, there is no assurance the ultimate resolution of these matters will not significantly exceed the reserves currently accrued by the Firm; as a result, the outcome of a particular matter may be material to JPMorgan Chase&#8217;s operating results for a particular period, depending on, among other factors, the size of the loss or liability imposed and the level of JPMorgan Chase&#8217;s income for that period. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <!-- Blank Space --> <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> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div> </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 33 - jpm:InternationalOperationsTextBlock--> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 12pt; margin-top: 6pt"><b>Note 33 &#8211; International operations</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following table presents income statement&#8211;related information for JPMorgan Chase by major international geographic area. The Firm defines international activities as business transactions that involve customers residing outside of the U.S., and the information presented below is based primarily upon the domicile of the customer, the location from which the customer relationship is managed or the location of the trading desk. However, many of the Firm&#8217;s U.S. operations serve international businesses. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As the Firm&#8217;s operations are highly integrated, estimates and subjective assumptions have been made to apportion revenue and expense between U.S. and international operations. These estimates and assumptions are consistent with the allocations used for the Firm&#8217;s segment reporting as set forth in Note 34 on pages 290&#8211;293 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm&#8217;s long-lived assets for the periods presented are not considered by management to be significant in relation to total assets. 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text-indent:-0px">(a) </div></td> <td>&#160;</td> <td align="left" valign="top">Revenue is composed of net interest income and noninterest revenue.</td> </tr> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px">(b) </div></td> <td>&#160;</td> <td align="left" valign="top">Expense is composed of noninterest expense and the provision for credit losses.</td> </tr> <!-- End Table Body --> </table> </div> <div> </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 34 - us-gaap:SegmentReportingDisclosureTextBlock--> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 12pt; margin-top: 6pt"><b>Note 34 &#8211; Business segments</b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm is managed on a line-of-business basis. There are six major reportable business segments &#8211; Investment Bank, Retail Financial Services, Card Services, Commercial Banking, Treasury &#038; Securities Services and Asset Management, as well as a Corporate/Private Equity segment. The business segments are determined based on the products and services provided, or the type of customer served, and they reflect the manner in which financial information is currently evaluated by management. Results of these lines of business are presented on a managed basis. For a definition of managed basis, see Explanation and Reconciliation of the Firm&#8217;s use of non-GAAP financial measures, on pages 64&#8211;65 of this Annual Report. For a further discussion concerning JPMorgan Chase&#8217;s business segments, see Business segment results on pages 67&#8211;68 of this Annual Report. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following is a description of each of the Firm&#8217;s business segments: </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Investment Bank</b> </div> <div align="left" style="font-size: 10pt">J.P. Morgan is one of the world&#8217;s leading investment banks, with deep client relationships and broad product capabilities. The clients of IB are corporations, financial institutions, governments and institutional investors. The Firm offers a full range of investment banking products and services in all major capital markets, including advising on corporate strategy and structure, capital-raising in equity and debt markets, sophisticated risk management, market-making in cash securities and derivative instruments, prime brokerage, and research. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Retail Financial Services</b> </div> <div align="left" style="font-size: 10pt">RFS serves consumers and businesses through personal service at bank branches and through ATMs, online banking and telephone banking, as well as through auto dealerships and school financial-aid offices. Customers can use more than 5,200 bank branches (third-largest nationally) and 16,100 ATMs (second-largest nationally), as well as online and mobile banking around the clock. More than 28,900 branch salespeople assist customers with checking and savings accounts, mortgages, home equity and business loans, and investments across the 23-state footprint from New York and Florida to California. Consumers also can obtain loans through more than 16,200 auto dealerships and 2,200 schools and universities nationwide. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Card Services</b> </div> <div align="left" style="font-size: 10pt">CS is one of the nation&#8217;s largest credit card issuers, with over $137&#160;billion in loans and over 90 million open accounts. Customers used Chase cards to meet $313&#160;billion of their spending needs in 2010. Through its merchant acquiring business, Chase Paymentech Solutions, CS is a global leader in payment processing and merchant acquiring. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Commercial Banking</b> </div> <div align="left" style="font-size: 10pt">CB delivers extensive industry knowledge, local expertise and dedicated service to nearly 24,000 clients nationally, including corporations, municipalities, financial institutions and not-for-profit entities with annual revenue generally ranging from $10&#160;million to $2&#160;billion, and nearly 35,000 real estate investors/owners. CB partners with the Firm&#8217;s other businesses to provide comprehensive solutions, including lending, treasury services, investment banking and asset management to meet its clients&#8217; domestic and international financial needs. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Treasury &#038; Securities Services</b> </div> <div align="left" style="font-size: 10pt">TSS is a global leader in transaction, investment and information services. TSS is one of the world&#8217;s largest cash management providers and a leading global custodian. Treasury Services (&#8220;TS&#8221;) provides cash management, trade, wholesale card and liquidity products and services to small- and mid-sized companies, multinational corporations, financial institutions and government entities. TS partners with IB, CB, RFS and AM businesses to serve clients firmwide. Certain TS revenue is included in other segments&#8217; results. </div> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Worldwide Securities Services holds, values, clears and services securities, cash and alternative investments for investors and broker-dealers, and manages depositary receipt programs globally. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Asset Management</b> </div> <div align="left" style="font-size: 10pt">AM, with assets under supervision of $1.8 trillion, is a global leader in investment and wealth management. AM clients include institutions, retail investors and high-net-worth individuals in every major market throughout the world. AM offers global investment management in equities, fixed income, real estate, hedge funds, private equity and liquidity products, including money-market instruments and bank deposits. AM also provides trust and estate, banking and brokerage services to high-net-worth clients, and retirement services for corporations and individuals. The majority of AM&#8217;s client assets are in actively managed portfolios. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Corporate/Private Equity</b> </div> <div align="left" style="font-size: 10pt">The Corporate/Private Equity sector comprises Private Equity, Treasury, the Chief Investment Office, corporate staff units and expense that is centrally managed. Treasury and the Chief Investment Office manage capital, liquidity, and structural risks of the Firm. The corporate staff units include Central Technology and Operations, Internal Audit, Executive Office, Finance, Human Resources, Marketing &#038; Communications, Legal &#038; Compliance, Corporate Real Estate and General Services, Risk Management, Corporate Responsibility and Strategy &#038; Development. Other centrally managed expense includes the Firm&#8217;s occupancy and pension-related expense, net of allocations to the business. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Effective January&#160;1, 2010, the Firm enhanced its line-of-business equity framework to better align equity assigned to each line of business with changes anticipated to occur in the business and in the competitive and regulatory landscape. The lines of business are now capitalized based on the Tier 1 common standard, rather than the Tier 1 capital standard. Line-of-business equity increased during the second quarter of 2008 in IB and AM due to the Bear Stearns merger and for AM, the purchase of the additional equity interest in Highbridge. At the end of the third quarter of 2008, equity was increased for each line of business with a view toward the future implementation of the new Basel II capital rules. In addition, equity allocated to RFS, CS and CB was increased as a result of the Washington Mutual transaction. </div> </div> <div align="left" style="font-size: 10pt; margin-top: 0pt"> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <td align="left" valign="top"></td> <td></td> <td align="right" valign="top"></td> </tr> <tr valign="bottom"> <!-- Blank Space --> <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> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> </div> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Segment results</b> </div> <div align="left" style="font-size: 10pt">The following table provides a summary of the Firm&#8217;s segment results for 2010, 2009 and 2008 on a managed basis. Prior to the January&#160;1, 2010, adoption of the accounting guidance related to VIEs, the impact of credit card securitization adjustments had been included in reconciling items so that the total Firm results are on a reported basis. Finally, total net revenue (noninterest revenue and net interest income) for each of the segments is presented on a tax-equivalent basis. Accordingly, revenue from tax-exempt securities and investments that receive tax credits are presented in the managed results on a basis comparable to taxable securities and investments. This approach allows management to assess the comparability of revenue arising from both taxable and tax-exempt sources. 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text-indent:-0px"><b>5,604</b> </div></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">5,278</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">5,223</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>6,112</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">5,473</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">5,298</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>6,355</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">1,895</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(28</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>&#8212;</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">&#8212;</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">&#8212;</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>61,196</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">52,352</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">43,500</td> <td nowrap="nowrap" valign="bottom">&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="58" valign="bottom" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td align="right" valign="bottom"> <div style="margin-left:0px; text-indent:-0px"><b><br /><br /><br />1,703</b> </div></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">1,890</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">2,708</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>2,786</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">2,304</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">2,201</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>1,053</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">4,659</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(1,884</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>(2,148</b></td> <td nowrap="nowrap" valign="bottom"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(1,770</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(1,908</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>24,859</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">16,067</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">2,773</td> <td nowrap="nowrap" valign="bottom">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td align="right" valign="bottom"> <div style="margin-left:0px; text-indent:-0px"><b><br />624</b> </div></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">664</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">941</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>1,076</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">874</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">844</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>(205</b></td> <td nowrap="nowrap" valign="bottom"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">1,705</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(535</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>(2,148</b></td> <td nowrap="nowrap" valign="bottom"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(1,770</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(1,908</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>7,489</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">4,415</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(926</td> <td nowrap="nowrap" valign="bottom">)</td> </tr> <tr style="font-size: 1px"> <td colspan="58" valign="bottom" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td align="right" valign="bottom"> <div style="margin-left:0px; 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Additionally, where applicable, the policies conform to the accounting and reporting guidelines prescribed by bank regulatory authorities. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note1_accounting_policy_table2 - jpm:ReclassificationsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">Certain amounts in prior periods have been reclassified to conform to the current presentation. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note1_accounting_policy_table3 - us-gaap:ConsolidationPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt"><b>Consolidation</b> </div> <div align="left" style="font-size: 10pt">The Consolidated Financial Statements include the accounts of JPMorgan Chase and other entities in which the Firm has a controlling financial interest. All material intercompany balances and transactions have been eliminated. The Firm determines whether it has a controlling financial interest in an entity by first evaluating whether the entity is a voting interest entity or a variable interest entity (&#8220;VIE&#8221;). </div> <div align="left" style="font-size: 10pt; margin-top: 6pt"><i>Voting Interest Entities</i> </div> <div align="left" style="font-size: 10pt">Voting interest entities are entities that have sufficient equity and provide the equity investors voting rights that enable them to make significant decisions relating to the entity&#8217;s operations. For these types of entities, the Firm&#8217;s determination of whether it has a controlling interest is primarily based on the amount of voting equity interests held. 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In general, the parties that make the most significant decisions affecting the VIE (such as asset managers, collateral managers, servicers, or owners of call options or liquidation rights over the VIE&#8217;s assets) or have the right to unilaterally remove those decision-makers are deemed to have the power to direct the activities of a VIE. </div> </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="50%"></td> <td width="5%"></td> <td width="45%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <td valign="top"> <div style="margin-left:0px; text-indent:-0px"> </div> </td> <td></td> <td align="right" valign="bottom"></td> </tr> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">To assess whether the Firm has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, the Firm considers all of its economic interests, including debt and equity investments, servicing fees, and derivative or other arrangements deemed to be variable interests in the VIE. This assessment requires that the Firm apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE&#8217;s capital structure; and the reasons why the interests are held by the Firm. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm performs on-going reassessments of: (1)&#160;whether entities previously evaluated under the majority voting-interest framework have become VIEs, based on certain events, and therefore subject to the VIE consolidation framework; and (2)&#160;whether changes in the facts and circumstances regarding the Firm&#8217;s involvement with a VIE cause the Firm&#8217;s consolidation conclusion to change. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For further details regarding the Firm&#8217;s application of the accounting guidance effective January 1, 2010, see Note 16 on pages 244&#8211;259 of this Annual Report. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Financial Accounting Standards Board (&#8220;FASB&#8221;) issued an amendment which deferred the requirements of the accounting guidance for certain investment funds, including mutual funds, private equity funds and hedge funds. For the funds to which the deferral applies, the Firm continues to apply other existing authoritative guidance to determine whether such funds should be consolidated. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Assets held for clients in an agency or fiduciary capacity by the Firm are not assets of JPMorgan Chase and are not included in the Consolidated Balance Sheets. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For reporting periods prior to January&#160;1, 2010, there were two different accounting frameworks applicable to SPEs: The qualifying special purpose entity (&#8220;QSPE&#8221;) framework and the VIE framework. The applicable framework depended on the nature of the entity and the Firm&#8217;s relation to that entity. The QSPE framework was applicable when an entity sold financial assets to an SPE meeting certain defined criteria that were designed to ensure that the activities of the entity were essentially predetermined at the inception of the vehicle and that the transferor of the financial assets could not exercise control over the entity and the assets therein. QSPEs were not consolidated by the transferor or other counterparties as long as they did not have the unilateral ability to liquidate or to cause the entity to no longer meet the QSPE criteria. The Firm&#8217;s securitizations of residential and commercial mortgages, credit card, automobile and student loans generally were evaluated using the QSPE framework. 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Actual results could be different from these estimates. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note1_accounting_policy_table5 - us-gaap:ForeignCurrencyTransactionsAndTranslationsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> JPMorgan Chase revalues assets, liabilities, revenue and expense denominated in non-U.S. currencies into U.S. dollars using applicable exchange rates. <div align="left" style="font-size: 10pt; margin-top: 6pt">Gains and losses relating to translating functional currency financial statements for U.S. reporting are included in other comprehensive income/(loss) within stockholders&#8217; equity. 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During this period, JPMorgan Chase recorded reductions to its investment in Bear Stearns representing its share of Bear Stearns net losses, which was recorded in other income and accumulated other comprehensive income. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note2_accounting_policy_table6 - us-gaap:BusinessCombinationDisclosureTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Increases in Visa&#8217;s escrow account results in a dilution of the value of the Firm&#8217;s ownership of Visa Inc. JPMorgan Chase&#8217;s interest in the escrow was recorded as a reduction of other expense and reported net to the extent of established litigation reserves. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note3_accounting_policy_table1 - jpm:FairValueMeasurementPolicyTextBlock--> <div align="left" style="font-size: 12pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase carries a portion of its assets and liabilities at fair value. The majority of such assets and liabilities are carried at fair value on a recurring basis. 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The Firm estimates the amount of uncertainty in the initial valuation based on the degree of liquidity in the market in which the financial instrument trades and makes liquidity adjustments to the carrying value of the financial instrument. The Firm measures the liquidity adjustment based on the following factors: (1)&#160;the amount of time since the last relevant pricing point; (2)&#160;whether there was an actual trade or relevant external quote; and (3)&#160;the volatility of the principal risk component of the financial instrument. Costs to exit larger-than-normal market-size risk positions are determined based on the size of the adverse market move that is likely to occur during the period required to bring a position down to a nonconcentrated level.</td> </tr> <tr> <td style="font-size: 6pt">&#160;</td> </tr> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Unobservable parameter valuation adjustments are necessary when positions are valued using internally developed models that use as their basis unobservable parameters &#8211; that is, parameters that must be estimated and are, therefore, subject to management judgment. Such positions are normally traded less actively. Examples include certain credit products where parameters such as correlation and recovery rates are unobservable. 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Each quarter, valuations are reviewed using available and relevant market data to determine if the carrying value of these investments should be adjusted. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note3_accounting_policy_table7 - jpm:FairValueMeasurementAndFairValueByBalanceSheetGroupTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Investments in securities of publicly held companies that trade in liquid markets are marked to market at the quoted public value less adjustments for regulatory or contractual sales restrictions. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note3_accounting_policy_table8 - jpm:FairValueMeasurementAndFairValueByBalanceSheetGroupTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Certain assets, liabilities and unfunded lending-related commitments are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but instead are subject to fair value adjustments only in certain circumstances (for example, when there is evidence of impairment). </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note3_accounting_policy_table9 - jpm:FairValueMeasurementPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> When determining the fair value of an instrument, it may be necessary to record a valuation adjustment to arrive at an exit price under U.S. GAAP. Valuation adjustments include, but are not limited to, amounts to reflect counterparty credit quality and the Firm&#8217;s own creditworthiness. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note3_accounting_policy_table10 - jpm:TradingAssetsAndLiabilitiesPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 0pt">Trading assets include debt and equity instruments held for trading purposes that JPMorgan Chase owns (&#8220;long&#8221; positions), certain loans managed on a fair value basis and for which the Firm has elected the fair value option, and physical commodities inventories that are generally accounted for at the lower of cost or fair value. Trading liabilities include debt and equity instruments that the Firm has sold to other parties but does not own (&#8220;short&#8221; positions). The Firm is obligated to purchase instruments at a future date to cover the short positions. Included in trading assets and trading liabilities are the reported receivables (unrealized gains) and payables (unrealized losses) related to derivatives. Trading assets and liabilities are carried at fair value on the Consolidated Balance Sheets. Balances reflect the reduction of securities owned (long positions) by the amount of securities sold but not yet purchased (short positions) when the long and short positions have identical Committee on Uniform Security Identification Procedures (&#8220;CUSIPs&#8221;). </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note4_accounting_policy_table1 - jpm:FairValueOptionPolicyTextBlock--> <div align="left" style="font-size: 12pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The fair value option provides an option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><b>Elections</b> </div> <div align="left" style="font-size: 10pt; 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color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Certain tax credits and other equity investments acquired as part of the Washington Mutual transaction.</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Structured notes issued as part of IB&#8217;s client-driven activities. (Structured notes are financial instruments that contain embedded derivatives.)</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="3%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Long-term beneficial interests issued by IB&#8217;s consolidated securitization trusts where the underlying assets are carried at fair value.</td> </tr> </table> </div> </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note6_accounting_policy_table1 - us-gaap:DerivativesPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> All free-standing derivatives are required to be recorded on the Consolidated Balance Sheets at fair value. As permitted under U.S. GAAP, the Firm nets derivative assets and liabilities, and the related cash collateral received and paid, when a legally enforceable master netting agreement exists between the Firm and the derivative counterparty. The accounting for changes in value of a derivative depends on whether or not the transaction has been designated and qualifies for hedge accounting. Derivatives that are not designated as hedges are marked to market through earnings. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note6_accounting_policy_table2 - jpm:DerivativesPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> The Firm applies hedge accounting to certain derivatives executed for risk management purposes &#8211; generally interest rate, foreign exchange and gold and base metal derivatives. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note6_accounting_policy_table3 - jpm:DerivativesPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> To qualify for hedge accounting, a derivative must be highly effective at reducing the risk associated with the exposure being hedged. In addition, for a derivative to be designated as a hedge, the risk management objective and strategy must be documented. Hedge documentation must identify the derivative hedging instrument, the asset or liability or forecasted transaction and type of risk to be hedged, and how the effectiveness of the derivative is assessed prospectively and retrospectively. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note6_accounting_policy_table4 - jpm:DerivativesPolicyTextBlock--> <div align="left" style="font-size: 8pt; font-family: Helvetica,Arial,sans-serif"> <font style="font-size: 10pt;">The extent to which a derivative has been, and is expected to continue to be, effective at offsetting changes in the fair value or cash flows of the hedged item must be assessed and documented at least quarterly. Any hedge ineffectiveness (i.e., the amount by which the gain or loss on the designated derivative instrument does not exactly offset the change in the hedged item attributable to the hedged risk) must be reported in current-period earnings. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued. </font> <div align="left" style="font-size: 10pt; margin-top: 6pt">There are three types of hedge accounting designations: fair value hedges, cash flow hedges and net investment hedges. JPMorgan Chase uses fair value hedges primarily to hedge fixed-rate long-term debt, AFS securities and gold and base metal inventory. For qualifying fair value hedges, the changes in the fair value of the derivative, and in the value of the hedged item, for the risk being hedged, are recognized in earnings. If the hedge relationship is terminated, then the fair value adjustment to the hedged item continues to be reported as part of the basis of the hedged item and for interest-bearing instruments is amortized to earnings as a yield adjustment. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item &#8211; primarily net interest income and principal transactions revenue. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase uses cash flow hedges to hedge the exposure to variability in cash flows from floating-rate financial instruments and forecasted transactions, primarily the rollover of short-term assets and liabilities, and foreign currency&#8211;denominated revenue and expense. For qualifying cash flow hedges, the effective portion of the change in the fair value of the derivative is recorded in other comprehensive income/(loss) (&#8220;OCI&#8221;) and recognized in the Consolidated Statements of Income when the hedged cash flows affect earnings. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item &#8211; primarily interest income, interest expense, noninterest revenue and compensation expense. The ineffective portions of cash flow hedges are immediately recognized in earnings. If the hedge relationship is terminated, then the value of the derivative recorded in accumulated other comprehensive income/(loss) (&#8220;AOCI&#8221;) is recognized in earnings when the cash flows that were hedged affect earnings. For hedge relationships that are discontinued because a forecasted transaction is not expected to occur according to the original hedge forecast, any related derivative values recorded in AOCI are immediately recognized in earnings. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase uses foreign currency hedges to protect the value of the Firm&#8217;s net investments in certain non-U.S. subsidiaries or branches whose functional currencies are not the U.S. dollar. For foreign currency qualifying net investment hedges, changes in the fair value of the derivatives are recorded in the translation adjustments account within AOCI. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note7_accounting_policy_table1 - jpm:NonInterestRevenueRecognitionPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> This revenue category includes advisory and equity and debt underwriting fees. Advisory fees are recognized as revenue when the related services have been performed and the fee has been earned. Underwriting fees are recognized as revenue when the Firm has rendered all services to the issuer and is entitled to collect the fee from the issuer, as long as there are no other contingencies associated with the fee (e.g., the fee is not contingent upon the customer obtaining financing). Underwriting fees are net of syndicate expense; the Firm recognizes credit arrangement and syndication fees as revenue after satisfying certain retention, timing and yield criteria. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note7_accounting_policy_table2 - jpm:NonInterestRevenueRecognitionPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Principal transactions revenue consists of realized and unrealized gains and losses from trading activities (including physical commodities inventories that are generally accounted for at the lower of cost or fair value), changes in fair value associated with financial instruments held by IB for which the fair value option was elected, and loans held-for-sale within the wholesale lines of business. Principal transactions revenue also includes private equity gains and losses. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note7_accounting_policy_table3 - jpm:NonInterestRevenueRecognitionPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> This revenue category includes fees from loan commitments, standby letters of credit, financial guarantees, deposit-related fees in lieu of compensating balances, cash management-related activities or transactions, deposit accounts and other loan-servicing activities. These fees are recognized over the period in which the related service is provided. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note7_accounting_policy_table3 - jpm:NonInterestRevenueRecognitionPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> This revenue category includes fees from investment management and related services, custody, brokerage services, insurance premiums and commissions, and other products. These fees are recognized over the period in which the related service is provided. Performance-baesd fees, which are earned based on exceeding certain benchmarks or other performance targets, are accrued and recognized at the end of the performance period in which the target is met. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note7_accounting_policy_table4 - jpm:NonInterestRevenueRecognitionPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> This revenue category primarily reflects Retail Financial Services&#8217;s (&#8220;RFS&#8221;) mortgage banking revenue, including: fees and income derived from mortgages originated with the intent to sell; mortgage sales and servicing including losses related to the repurchase of previously-sold loans; the impact of risk management activities associated with the mortgage pipeline, warehouse loans and MSRs; and revenue related to any residual interests held from mortgage securitizations. This revenue category also includes gains and losses on sales and lower of cost or fair value adjustments for mortgage loans held-for-sale, as well as changes in fair value for mortgage loans originated with the intent to sell and measured at fair value under the fair value option. Changes in the fair value of RFS mortgage servicing rights are reported in mortgage fees and related income. Net interest income from mortgage loans, and securities gains and losses on AFS securities used in mortgage-related risk management activities, are recorded in interest income and securities gains/(losses), respectively. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note7_accounting_policy_table5 - jpm:NonInterestRevenueRecognitionPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> This revenue category includes interchange income from credit and debit cards. Prior to 2010, this revenue category included servicing fees earned in connection with securitization activities. Effective January&#160;1, 2010, the Firm consolidated its Firm-sponsored credit card securitization trusts (see Note 16 on pages&#160;244&#8211;259 of this Annual Report) and, as a result, the servicing fees were eliminated in consolidation. Volume-related payments to partners and expense for rewards programs are netted against interchange income; expense related to rewards programs are recorded when the rewards are earned by the customer. Other fee revenue is recognized as earned, except for annual fees, which are deferred and recognized on a straight-line basis over the 12-month period to which they pertain. Direct loan origination costs are also deferred and recognized over a 12-month period. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note7_accounting_policy_table6 - jpm:NonInterestRevenueRecognitionPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm recognizes the payments made to the affinity organizations and co-brand partners based on new account originations as direct loan origination costs. Payments based on charge volumes are considered by the Firm as revenue sharing with the affinity organizations and co-brand partners, which are deducted from interchange income as the related revenue is earned. Payments based on marketing efforts undertaken by the endorsing organization or partner are expensed by the Firm as incurred. These costs are recorded within noninterest expense. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note8_accounting_policy_table1 - jpm:InterestIncomeAndInterestExpensePolicyTextBlock--> <div align="left" style="font-size: 12pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">Interest income and interest expense is recorded in the Consolidated Statements of Income and classified based on the nature of the underlying asset or liability. Interest income and interest expense includes the current-period interest accruals for financial instruments measured at fair value, except for financial instruments containing embedded derivatives that would be separately accounted for in accordance with U.S. GAAP absent the fair value option election; for those instruments, all changes in fair value, including any interest elements, are reported in principal transactions revenue. For financial instruments that are not measured at fair value, the related interest is included within interest income or interest expense, as applicable. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note9_accounting_policy_table1 - jpm:PensionAndOtherPostretirementPlansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> For the Firm&#8217;s defined benefit pension plans, fair value is used to determine the expected return on plan assets. For the Firm&#8217;s OPEB plans, a calculated value that recognizes changes in fair value over a five-year period is used to determine the expected return on plan assets. Amortization of net gains and losses is included in annual net periodic benefit cost if, as of the beginning of the year, the net gain or loss exceeds 10% of the greater of the projected benefit obligation or the fair value of the plan assets. Any excess, as well as prior service costs, are amortized over the average future service period of defined benefit pension plan participants, which for the U.S. defined benefit pension plan is currently nine years. For OPEB plans, any excess net gains and losses also are amortized over the average future service period, which is currently five years; however, prior service costs are amortized over the average years of service remaining to full eligibility age, which is currently three years. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note9_accounting_policy_table2 - jpm:PensionAndOtherPostretirementPlansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Cash and cash equivalents includes currency on hand, demand deposits with banks or other financial institutions, and any short-term, highly liquid investments readily convertible into cash (i.e., investments with original maturities of three months or less). </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note10_accounting_policy_table1 - jpm:ShareBasedCompensationOptionAndIncentivePlansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm separately recognizes compensation expense for each tranche of each award as if it were a separate award with its own vesting date. Generally, for each tranche granted, compensation expense is recognized on a straight-line basis from the grant date until the vesting date of the respective tranche, provided that the employees will not become full-career eligible during the vesting period. For awards with full-career eligibility provisions and awards granted with no future substantive service requirement, the Firm accrues the estimated value of awards expected to be awarded to employees as of the grant date without giving consideration to the impact of post-employment restrictions. For each tranche granted to employees who will become full-career eligible during the vesting period, compensation expense is recognized on a straight-line basis from the grant date until the earlier of the employee&#8217;s full-career eligibility date or the vesting date of the respective tranche. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note10_accounting_policy_table2 - jpm:ShareBasedCompensationOptionAndIncentivePlansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Compensation expense for RSUs is measured based on the number of shares granted multiplied by the stock price at the grant date and is recognized in income as previously described. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note10_accounting_policy_table3 - us-gaap:DisclosureOfCompensationRelatedCostsShareBasedPaymentsTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Compensation expense for employee stock options and SARs, which is measured at the grant date as the fair value of employee stock options and SARs, is recognized in net income as described above. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note10_accounting_policy_table4 - us-gaap:DisclosureOfCompensationRelatedCostsShareBasedPaymentsTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> The Firm does not capitalize any compensation cost related to share-based compensation awards to employees. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note10_accounting_policy_table5 - us-gaap:DisclosureOfCompensationRelatedCostsShareBasedPaymentsTextBlock--> <div align="left" style="font-size: 8pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">In June&#160;2007, the FASB ratified guidance which requires that realized tax benefits from dividends or dividend equivalents paid on equity-classified share-based payment awards that are charged to retained earnings be recorded as an increase to additional paid-in capital and included in the pool of excess tax benefits available to absorb tax deficiencies on share-based payment awards. Prior to the issuance of this guidance, the Firm did not include these tax benefits as part of this pool of excess tax benefits. The Firm adopted this guidance on January&#160;1, 2008; its adoption did not have an impact on the Firm&#8217;s Consolidated Balance Sheets or results of operations. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note13_accounting_policy_table1 - us-gaap:TransfersAndServicingOfFinancialAssetsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt">For loan securitizations in which the Firm is not required to consolidate the trust, the Firm records the transfer of the loan receivable to the trust as a sale when the accounting criteria for a sale are met. Those criteria are: (1)&#160;the transferred financial assets are legally isolated from the Firm&#8217;s creditors; (2)&#160;the transferee or beneficial interest holder can pledge or exchange the transferred financial assets; and (3)&#160;the Firm does not maintain effective control over the transferred financial assets (e.g., the Firm cannot repurchase the transferred assets before their maturity and it does not have the ability to unilaterally cause the holder to return the transferred assets). </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For loan securitizations accounted for as a sale, the Firm recognizes a gain or loss based on the difference between the value of proceeds received (including cash, beneficial interests, or servicing assets received) and the carrying value of the assets sold. Gains and losses on securitizations are reported in noninterest revenue. The value of the proceeds received is determined under the Firm&#8217;s valuation policies described in Note 3 on pages 170&#8211;187 of this Annual Report. </div> </div> <div style="margin-top: 0pt"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <tr> <td align="left" width="50%"></td> <td align="right" width="50%"></td> </tr> </table> </div> <!-- Folio --> <!-- /Folio --> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The accounting for retained interests is dependent upon several factors, including the form and economic characteristics of the retained interest. Interests retained by IB are classified as trading assets. Interests retained in other business segments, including RFS and Corporate Treasury, may be classified as AFS securities or trading assets. See Note 12 on pages 214&#8211;218 of this Annual Report for more information on AFS securities. </div> </div> </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note16_accounting_policy_table2 - us-gaap:TransfersAndServicingOfFinancialAssetsPolicyTextBlock--> <div align="left" style="font-size: 8pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm has the option to repurchase certain loans sold to U.S. government agencies (predominantly loans securitized in Ginnie Mae pools) if they reach certain delinquency triggers. Once the delinquency trigger has been met, regardless of whether the repurchase option has been exercised, the Firm recognizes the loan on the Consolidated Balance Sheet. The Firm also recognizes an offsetting liability in accounts payable and other liabilities for any loans subject to the repurchase option, but for which the option to repurchase has not been exercised. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note13_accounting_policy_table1 - jpm:TransfersAndServicingOfFinancialAssetsTransfersOfFinancialAssetsFinancingsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">Securities financing agreements are treated as collateralized financings on the Firm&#8217;s Consolidated Balance Sheets. Resale and repurchase agreements are generally carried at the amounts at which the securities will be subsequently sold or repurchased, plus accrued interest. Securities borrowed and securities loaned transactions are generally carried at the amount of cash collateral advanced or received. Where appropriate under applicable accounting guidance, resale and repurchase agreements with the same counterparty are reported on a net basis. Fees received or paid in connection with securities financing agreements are recorded in interest income or interest expense. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm has elected the fair value option for certain securities financing agreements. For a further discussion of the fair value option, see Notes 4 on pages 187&#8211;189 of this Annual Report. The securities financing agreements for which the fair value option has been elected are reported within securities purchased under resale agreements; securities loaned or sold under repurchase agreements; and securities borrowed on the Consolidated Balance Sheets. Generally, for agreements carried at fair value, current-period interest accruals are recorded within interest income and interest expense, with changes in fair value reported in principal transactions revenue. However, for financial instruments containing embedded derivatives that would be separately accounted for in accordance with accounting guidance for hybrid instruments, all changes in fair value, including any interest elements, are reported in principal transactions revenue. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note14_accounting_policy_table1 - jpm:LoansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt">The accounting for a loan depends on management&#8217;s strategy for the loan, and on whether the loan was credit-impaired at the date of acquisition. The Firm accounts for loans based on the following categories: </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Originated or purchased loans held-for-investment (other than purchased credit-impaired (&#8220;PCI&#8221;) loans);</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Loans held-for-sale;</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>Fair value loans;</td> </tr> </table> </div> <div style="margin-top: 6pt"> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 8pt; text-align: left"> <tr valign="top" style="font-size: 10pt; color: #000000; background: transparent"> <td width="1%" nowrap="nowrap" align="left"><b>&#8226;</b></td> <td width="1%">&#160;</td> <td>PCI loans held-for-investment</td> </tr> </table> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The following provides a detailed accounting discussion of these loan categories: </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><i>Loans held-for-investment (other than PCI loans) </i></u> </div> <div align="left" style="font-size: 10pt">Originated or purchased loans held-for-investment, other than PCI loans, are measured at the principal amount outstanding, net of the following: allowance for loan losses; net charge-offs; interest applied to principal (for loans accounted for on the cost recovery method); unamortized discounts and premiums; and deferred loan fees or cost. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Interest income</i> </div> <div align="left" style="font-size: 10pt">Interest income on performing loans held-for-investment, other than PCI loans, is accrued and recognized as interest income at the contractual rate of interest. Purchase price discounts or premiums, as well as net deferred loan fees or costs, are amortized into interest income over the life of the loan to produce a level rate of return. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Nonaccrual loans</i> </div> <div align="left" style="font-size: 10pt">Nonaccrual loans are those on which the accrual of interest has been suspended. Loans (other than credit card loans and certain consumer loans insured by U.S. government agencies) are placed on nonaccrual status and considered nonperforming when full payment of principal and interest is in doubt, which is generally determined when principal or interest is 90&#160;days or more past due and collateral, if any, is insufficient to cover principal and interest. A loan is determined to be past due when the minimum payment is not received from the borrower by the contractually specified due date or for certain loans (e.g., residential real estate loans), when a monthly payment is due and unpaid for 30&#160;days or more. All interest accrued but not collected is reversed against interest income at the date a loan is placed on nonaccrual status. In addition, the amortization of deferred amounts is suspended. In certain cases, interest income on nonaccrual loans may be recognized to the extent cash is received (i.e., cash basis) when the recorded loan balance is deemed fully collectible; however, if there is doubt regarding the ultimate collectability of the recorded loan balance, all interest cash receipts are applied to reduce the carrying value of the loan (the cost recovery method). </div> <div> <div align="left" style="font-size: 10pt; margin-top: 12pt">A loan may be returned to accrual status when repayment is reasonably assured and there has been demonstrated performance under the terms of the loan or, if applicable, the terms of the restructured loan. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">As permitted by regulatory guidance, credit card loans are generally exempt from being placed on nonaccrual status; accordingly, interest and fees related to credit card loans continue to accrue until the loan is charged off or paid in full. However, the Firm separately establishes an allowance for the estimated uncollectible portion of billed and accrued interest and fee income on credit card loans. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Allowance for loan losses</i> </div> <div align="left" style="font-size: 10pt">The allowance for loan losses represents the estimated probable losses on held-for-investment loans. Changes in the allowance for loan losses are recorded in the Provision for credit losses on the Firm&#8217;s Consolidated Statements of Income. </div> </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note14_accounting_policy_table2 - jpm:LoansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><i>Charge-offs</i> </div> <div align="left" style="font-size: 10pt">Wholesale loans and risk-rated business banking and auto loans are charged off against the allowance for loan losses when it is highly certain that a loss has been realized. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Consumer loans, other than risk-rated business banking and auto loans and PCI loans, are generally charged off to the allowance for loan losses upon reaching specified stages of delinquency, in accordance with the Federal Financial Institutions Examination Council (&#8220;FFIEC&#8221;) policy. Residential mortgage loans and scored business banking loans are generally charged down to estimated net realizable value at no later than 180&#160;days past due. Certain consumer loans, including auto loans and non-government guaranteed student loans, are generally charged down to estimated net realizable value at 120&#160;days past due. The Firm regularly assesses the assumptions that it uses to estimate these net realizable values, and updates the underlying assumptions as necessary to further refine its estimates. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Credit card loans are charged off by the end of the month in which the account becomes 180&#160;days past due, or within 60&#160;days from receiving notification about a specified event (e.g., bankruptcy of the borrower), whichever is earlier. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Certain impaired loans are deemed collateral-dependent because repayment of the loan is expected to be provided solely by the underlying collateral, rather than by cash flows from the borrower&#8217;s operations, income or other resources. Impaired collateral-dependent loans are charged-off to the fair value of the collateral, less costs to sell. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note14_accounting_policy_table3 - jpm:LoansPolicyTextBlock--> <div align="right" style="font-size: 8pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><i>Loans held-for-sale</i></u> </div> <div align="left" style="font-size: 10pt">Held-for-sale loans are measured at the lower of cost or fair value, with valuation changes recorded in noninterest revenue. For wholesale loans, the valuation is performed on an individual loan basis. For consumer loans, the valuation is performed on a portfolio basis. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Interest income on loans held-for-sale is accrued and recognized based on the contractual rate of interest. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Loan origination fees or costs and purchase price discounts or premiums are deferred in a contra loan account until the related loan is sold. The deferred fees and discounts or premiums are an adjustment to the basis of the loan and therefore are included in the periodic determination of the lower of cost or fair value adjustments and/or the gain or losses recognized at the time of sale. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Held-for-sale loans are subject to the nonaccrual policies described above. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Because held-for-sale loans are recognized at the lower of cost or fair value, the Firm&#8217;s allowance for loan losses and charge-off policies do not apply to these loans. </div> <div align="left" style="font-size: 10pt; margin-top: 12pt"><u><i>Fair value loans</i></u> </div> <div align="left" style="font-size: 10pt">Loans used in a trading strategy or risk managed on a fair value basis are measured at fair value, with changes in fair value recorded in noninterest revenue. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">For these loans, the earned current contractual interest payment is recognized in interest income. Changes in fair value are recognized in noninterest revenue. Loan origination fees are recognized upfront in noninterest revenue. Loan origination costs are recognized in the associated expense category as incurred. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Because these loans are recognized at fair value, the Firm&#8217;s nonaccrual, allowance for loan losses, and charge-off policies do not apply to these loans. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note14_accounting_policy_table4 - jpm:LoansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt">PCI loans held-for-investment are initially measured at fair value. PCI loans have evidence of credit deterioration since the loan&#8217;s origination date and therefore it is probable, at acquisition, that all contractually required payments will not be collected. Because PCI loans are initially measured at fair value, which includes an estimate of future credit losses, no allowance for loan losses related to PCI loans is recorded at the acquisition date. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note14_accounting_policy_table5 - jpm:LoansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt">Loans in the held-for-investment portfolio that management decides to sell are transferred to the held-for-sale portfolio at the lower of cost or fair value on the date of transfer. Credit-related losses are charged against the allowance for loan losses; losses due to changes in interest rates or foreign currency exchange rates are recognized in noninterest revenue. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">In certain limited cases, loans in the held-for-sale portfolio that management decides to retain are transferred to the held-for-investment portfolio at the lower of cost or fair value on the date of transfer. These loans are subsequently assessed for impairment based on the Firm&#8217;s allowance methodology. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note14_accounting_policy_table6 - jpm:LoansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt"> </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Such modifications are accounted for and reported as troubled debt restructurings (&#8220;TDRs&#8221;). A loan that has been modified in a TDR is generally considered to be impaired until it matures, is repaid, or is otherwise liquidated, regardless of whether the borrower performs under the modified terms. In certain limited cases, the effective interest rate applicable to the modified loan is at or above the current market rate at the time of the restructuring. In such circumstances, and assuming that the loan subsequently performs under its modified terms and the Firm expects to collect all contractual principal and interest cash flows, the loan is disclosed as impaired and as a TDR only during the year of the modification; in subsequent years, the loan is not disclosed as an impaired loan or as a TDR so long as repayment of the restructured loan under its modified terms is reasonably assured. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Loans, except for credit card loans, modified in a TDR are generally placed on nonaccrual status, although in most cases such loans were already on nonaccrual status prior to modification. These loans may be returned to performing status (resuming the accrual of interest) if the following criteria are met: (a)&#160;the borrower has performed under the modified terms for a minimum of six months and/or six payments, and (b)&#160;the Firm has an expectation that repayment of the modified loan is reasonably assured based on, for example, the borrower&#8217;s debt capacity and level of future earnings, collateral values, LTV ratios, and other current market considerations. </div> <div align="center"> <table style="font-size: 8pt" cellspacing="0" border="0" cellpadding="0" width="100%"> <!-- Begin Table Head --> <tr valign="bottom"> <td width="47%"></td> <td width="5%"></td> <td width="47%"></td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr valign="bottom"> <!-- Blank Space --> <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> <!-- End Table Body --> </table> </div> <!-- Folio --> <!-- /Folio --> <!-- PAGEBREAK --> <div style="font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 12pt; margin-top: 0pt"> <b> </b> </div> <div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Because TDRs are considered to be impaired, these loans are evaluated for an asset-specific allowance, which considers the expected re-default rates for the modified loans and is determined based on the same methodology used to estimate the Firm&#8217;s asset-specific allowance component regardless of whether the loan is performing and has been returned to accrual status. </div> </div> </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note14_accounting_policy_table7 - jpm:LoansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">At the time JPMorgan Chase takes physical possession, the property is recorded in other assets on the Consolidated Balance Sheets at fair value less estimated costs to sell. Each quarter the fair value of the acquired property is reviewed and adjusted, if necessary. Subsequent changes to fair value are charged/credited to noninterest revenue. Operating expense, such as real estate taxes and maintenance, are charged to other expense. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note14_accounting_policy_table8 - jpm:LoansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 0pt">PCI loans were determined to be credit-impaired upon acquisition based on specific risk characteristics of the loan, including product type, loan-to-value ratios, FICO scores, and past-due status. Upon acquisition, credit-impaired loans acquired in the same fiscal quarter may be aggregated into one or more pools, provided that the loans have common risk characteristics. A pool is then accounted for as a single asset with a single composite interest rate and an aggregate expectation of cash flows. With respect to the Washington Mutual transaction, all of the consumer loans were aggregated into pools of loans with common risk characteristics. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">PCI loans are initially recorded at fair value upon acquisition. For each PCI loan, or pool of loans, the Firm is required to estimate the total cash flows (both principal and interest) expected to be collected over the remaining life of the loan or pool. These estimates incorporate assumptions regarding default rates, loss severities, the amounts and timing of prepayments and other factors that reflect then-current market conditions. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The excess of cash flows expected to be collected over the carrying value of the underlying loans is referred to as the accretable yield. This amount is not reported on the Firm&#8217;s Consolidated Balance Sheets but is accreted into interest income at a level rate of return over the remaining estimated lives of the underlying pools of loans. For variable-rate loans, expected future cash flows were initially based on the rate in effect at acquisition; expected future cash flows are recalculated as rates change over the lives of the loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">On a quarterly basis, the Firm updates the amount of loan principal and interest cash flows expected to be collected. Probable decreases in expected loan principal cash flows trigger the recognition of impairment, which is then measured as the present value of the expected principal loss plus any related foregone interest cash flows, discounted at the pool&#8217;s effective interest rate. Impairments are recognized through the provision and allowance for loan losses. Probable and significant increases in expected cash flows (e.g., decreased principal credit losses, the net benefit of modifications) would first reverse any previously recorded allowance for loan losses with any remaining increases recognized prospectively as a yield adjustment over the remaining estimated lives of the underlying loans. The impacts of (i)&#160;prepayments, (ii)&#160;changes in variable interest rates, and (iii)&#160;any other changes in the timing of expected cash flows are recognized prospectively as adjustments to interest income. Disposals of loans &#8211; which may include sales of loans, receipt of payments in full by the borrower, or foreclosure &#8211; result in removal of the loan from the PCI portfolio. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">If the timing and/or amounts of expected cash flows on PCI loans were determined not to be reasonably estimable, no interest would be accreted and the loans would be reported as nonaccrual loans; however, since the timing and amounts of expected cash flows for the Firm&#8217;s PCI consumer loans are reasonably estimable, interest is being accreted and the loans are being reported as performing loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Charge-offs are not recorded on PCI loans until actual losses exceed the estimated losses that were recorded as purchase accounting adjustments at acquisition date. To date, no charge-offs have been recorded for these consumer loans. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note14_accounting_policy_table9 - jpm:LoansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> The impact of these modifications is incorporated into the Firm&#8217;s quarterly assessment of whether a probable and significant change in expected cash flows has occurred, and the loans continue to be accounted for and reported as PCI loans. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note14_accounting_policy_table10 - jpm:LoansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Substantially all of these modifications, both long-term and short-term are considered to be troubled debt restructurings. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note14_accounting_policy_table11 - jpm:LoansPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Assuming that the cardholder does not begin to perform in accordance with those payment terms, the loan continues to age and will ultimately be charged-off in accordance with the Firm&#8217;s standard charge-off policy. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note15_accounting_policy_table1 - jpm:LoansAndLeasesReceivableAndLendingRelatedCommitmentsAllowanceForCreditLossesPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The allowance for loan losses includes an asset-specific component, a formula-based component and a component related to PCI loans. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The asset-specific component relates to loans considered to be impaired, which includes loans that have been modified in a troubled debt restructuring as well as risk-rated loans that have been placed on nonaccrual status. An asset-specific allowance for impaired loans is established when the loan&#8217;s discounted cash flows (or, in certain cases, the loan&#8217;s observable market price) is lower than the recorded investment in the loan. To compute the asset-specific component of the allowance, larger loans are evaluated individually, while smaller loans are evaluated as pools using historical loss experience for the respective class of assets. Risk-rated loans (primarily wholesale loans) are pooled by risk rating, while scored loans (i.e., consumer loans) are pooled by product type. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The Firm generally measures the asset-specific allowance as the difference between the recorded investment in the loan and the present value of the cash flows expected to be collected, discounted at the loan&#8217;s original effective interest rate. Subsequent changes in impairment due to the impact of discounting are reported as an adjustment to the provision for loan losses, not as an adjustment to interest income. An asset-specific allowance for an impaired loan that is determined using an observable market price is measured as the difference between the recorded investment in the loan and the loan&#8217;s fair value. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">Certain loans are deemed collateral-dependent because repayment of the loan is expected to be provided solely by the underlying collateral, rather than by cash flows from the borrower&#8217;s operations, income or other resources. Impaired collateral-dependent loans are charged-off to the fair value of the collateral, less costs to sell, rather than being subject to an asset-specific reserve as for other impaired loans. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note15_accounting_policy_table2 - jpm:LoansAndLeasesReceivableAndLendingRelatedCommitmentsAllowanceForCreditLossesPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> As discussed in Note 14 on pages 220&#8211;238 of this Annual Report, modified residential real estate loans are generally accounted for as troubled debt restructurings upon contractual modification and are evaluated for an asset-specific allowance at and subsequent to modification. Assumptions regarding the loans&#8217; expected re-default rates are incorporated into the measurement of the asset-specific allowance. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note15_accounting_policy_table3 - jpm:LoansAndLeasesReceivableAndLendingRelatedCommitmentsAllowanceForCreditLossesPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">Management establishes an asset-specific allowance for lending-related commitments that are considered impaired and computes a formula-based allowance for performing wholesale and consumer lending-related commitments. These are computed using a methodology similar to that used for the wholesale loan portfolio, modified for expected maturities and probabilities of drawdown. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note17_accounting_policy_table1 - us-gaap:GoodwillAndIntangibleAssetsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Goodwill is recorded upon completion of a business combination as the difference between the purchase price and the fair value of the net assets acquired. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note17_accounting_policy_table2 - us-gaap:GoodwillAndIntangibleAssetsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">The goodwill impairment test is performed in two steps. In the first step, the current fair value of each reporting unit is compared with its carrying value, including goodwill. If the fair value is in excess of the carrying value (including goodwill), then the reporting unit&#8217;s goodwill is considered not to be impaired. If the fair value is less than the carrying value (including goodwill), then a second step is performed. In the second step, the implied current fair value of the reporting unit&#8217;s goodwill is determined by comparing the fair value of the reporting unit (as determined in step one) to the fair value of the net assets of the reporting unit, as if the reporting unit were being acquired in a business combination. The resulting implied current fair value of goodwill is then compared with the carrying value of the reporting unit&#8217;s goodwill. If the carrying value of the goodwill exceeds its implied current fair value, then an impairment charge is recognized for the excess. If the carrying value of goodwill is less than its implied current fair value, then no goodwill impairment is recognized. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The primary method the Firm uses to estimate the fair value of its reporting units is the income approach. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note17_accounting_policy_table3 - us-gaap:GoodwillAndIntangibleAssetsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> JPMorgan Chase made the determination to treat its MSRs as one class of servicing assets based on the availability of market inputs used to measure its MSR asset at fair value and its treatment of MSRs as one aggregate pool for risk management purposes. As permitted by U.S. GAAP, the Firm elected to account for this one class of servicing assets at fair value. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note17_accounting_policy_table4 - us-gaap:GoodwillAndIntangibleAssetsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Other intangible assets are recorded at their fair value upon completion of a business combination or certain other transactions, and generally represent the value of customer relationships or arrangements. Subsequently, the Firm&#8217;s intangible assets with finite lives, including core deposit intangibles, purchased credit card relationships, and other intangible assets, are amortized over their useful lives in a manner that best reflects the economic benefits of the intangible asset. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note17_accounting_policy_table5 - us-gaap:GoodwillAndIntangibleAssetsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> The Firm&#8217;s intangible assets are tested for impairment if events or changes in circumstances indicate that the asset might be impaired, and, for intangible assets with indefinite lives, on an annual basis. <div align="left" style="font-size: 10pt; margin-top: 6pt">The impairment test for a finite-lived intangible asset compares the undiscounted cash flows associated with the use or disposition of the intangible asset to its carrying value. If the sum of the undiscounted cash flows exceeds its carrying value, then no impairment charge is recorded. If the sum of the undiscounted cash flows is less than its carrying value, then an impairment charge is recognized to the extent the carrying amount of the asset exceeds its fair value. </div> <div align="left" style="font-size: 10pt; margin-top: 6pt">The impairment test for indefinite-lived intangible assets compares the fair value of the intangible asset to its carrying amount. If the carrying value exceeds the fair value, then an impairment charge is recognized for the difference. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note18_accounting_policy_table1 - us-gaap:PropertyPlantAndEquipmentPolicyTextBlock--> <div align="left" style="font-size: 12pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">Premises and equipment, including leasehold improvements, are carried at cost less accumulated depreciation and amortization. JPMorgan Chase computes depreciation using the straight-line method over the estimated useful life of an asset. For leasehold improvements, the Firm uses the straight-line method computed over the lesser of the remaining term of the leased facility or the estimated useful life of the leased asset. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note18_accounting_policy_table2 - us-gaap:PropertyPlantAndEquipmentTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase capitalizes certain costs associated with the acquisition or development of internal-use software. Once the software is ready for its intended use, these costs are amortized on a straight-line basis over the software&#8217;s expected useful life and reviewed for impairment on an ongoing basis. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note22_accounting_policy_table1 - jpm:LongTermDebtPolicyTextBlock--> <div align="left" style="font-size: 12pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">JPMorgan Chase issues long-term debt denominated in various currencies, although predominantly U.S. dollars, with both fixed and variable interest rates. Included in senior and subordinated debt below are various equity-linked or other indexed instruments, which the Firm has elected to measure at fair value. These hybrid securities are classified in the line item of the host contract on the Consolidated Balance Sheets. Changes in fair value are recorded in principal transactions revenue in the Consolidated Statements of Income. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note22_accounting_policy_table2 - jpm:LongTermDebtPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> The junior subordinated deferrable interest debentures issued by the Firm to the issuer trusts, totaling $20.3&#160;billion and $19.6&#160;billion at December&#160;31, 2010 and 2009, respectively, were reflected in the Firm&#8217;s Consolidated Balance Sheets in long-term debt, and in the table on the preceding page under the caption &#8220;Junior subordinated debt&#8221; (i.e., trust preferred capital debt securities). The Firm also records the common capital securities issued by the issuer trusts in other assets in its Consolidated Balance Sheets at December&#160;31, 2010 and 2009. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note25_accounting_policy_table1 - us-gaap:EarningsPerSharePolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Effective January&#160;1, 2009, the Firm implemented accounting guidance for participating securities, which clarifies that unvested stock-based compensation awards containing nonforfeitable rights to dividends or dividend equivalents (collectively, &#8220;dividends&#8221;) are participating securities and should be included in the earnings per share (&#8220;EPS&#8221;) calculation using the two-class method. Under the two-class method, all earnings (distributed and undistributed) are allocated to each class of common stock and participating securities, based on their respective rights to receive dividends. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note25_accounting_policy_table2 - jpm:EarningsPerSharePolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Options issued under employee benefit plans that have an antidilutive effect are excluded from the computation of diluted EPS. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note26_accounting_policy_table1 - jpm:AccumulatedOtherComprehensiveIncomePolicyTextBlock--> <div align="left" style="font-size: 12pt; font-family: Helvetica,Arial,sans-serif"> <div align="left" style="font-size: 10pt; margin-top: 6pt">Accumulated other comprehensive income/(loss) includes the after-tax change in unrealized gains/(losses) on AFS securities, foreign currency translation adjustments (including the impact of related derivatives), cash flow hedging activities and net loss and prior service costs/(credit) related to the Firm&#8217;s defined benefit pension and OPEB plans. </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note27_accounting_policy_table1 - us-gaap:IncomeTaxPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> JPMorgan Chase uses the asset and liability method to provide income taxes on all transactions recorded in the Consolidated Financial Statements. This method requires that income taxes reflect the expected future tax consequences of temporary differences between the carrying amounts of assets or liabilities for book and tax purposes. Accordingly, a deferred tax asset or liability for each temporary difference is determined based on the tax rates that the Firm expects to be in effect when the underlying items of income and expense are realized. JPMorgan Chase&#8217;s expense for income taxes includes the current and deferred portions of that expense. A valuation allowance is established to reduce deferred tax assets to the amount the Firm expects to realize. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note27_accounting_policy_table2 - jpm:IncomeTaxPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> U.S. federal income taxes have not been provided on the undistributed earnings of certain non-U.S. subsidiaries, to the extent that such earnings have been reinvested abroad for an indefinite period of time. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note27_accounting_policy_table3 - jpm:IncomeTaxPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Deferred tax assets are recognized if, in management&#8217;s judgment, their realizability is determined to be more likely than not. If a deferred tax asset is determined to be unrealizable, a valuation allowance is established. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note30_accounting_policy_table1 - jpm:OffBalanceSheetLendingRelatedFinancialInstrumentsGuaranteesAndOtherCommitmentsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> To provide for the risk of loss inherent in wholesale and consumer (excluding credit card) related contracts, an allowance for credit losses on lending-related commitments is maintained. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note30_accounting_policy_table2 - jpm:OffBalanceSheetLendingRelatedFinancialInstrumentsGuaranteesAndOtherCommitmentsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> U.S. GAAP requires that a guarantor recognize, at the inception of a guarantee, a liability in an amount equal to the fair value of the obligation undertaken in issuing the guarantee. U.S. GAAP defines a guarantee as a contract that contingently requires the guarantor to pay a guaranteed party based upon: (a)&#160;changes in an underlying asset, liability or equity security of the guaranteed party; or (b)&#160;a third party&#8217;s failure to perform under a specified agreement. The Firm considers the following off&#8211;balance sheet lending-related arrangements to be guarantees under U.S. GAAP: certain asset purchase agreements, standby letters of credit and financial guarantees, securities lending indemnifications, certain indemnification agreements included within third-party contractual arrangements and certain derivative contracts. <div align="left" style="font-size: 10pt; margin-top: 6pt">As required by U.S. GAAP, the Firm initially records guarantees at the inception date fair value of the obligation assumed (e.g., the amount of consideration received, the net present value of the premium receivable). For certain types of guarantees, the Firm records this fair value amount in other liabilities with an offsetting entry recorded in cash (for premiums received), or other assets (for premiums receivable). Any premium receivable recorded in other assets is reduced as cash is received under the contract, and the fair value of the liability recorded at inception is amortized into income as lending- and deposit-related fees over the life of the guarantee contract. For indemnifications provided in sales agreements, a portion of the sale proceeds is allocated to the guarantee, which adjusts the gain or loss that would otherwise result from the transaction. For these indemnifications, the initial liability is amortized to income as the Firm&#8217;s risk is reduced (i.e., over time or when the indemnification expires). Any contingent liability that exists as a result of issuing the guarantee or indemnification is recognized when it become probable and reasonably estimable. The contingent portion of the liability is not recognized if the estimated amount is less than the carrying amount of the liability recognized at inception (adjusted for any amortization). </div> </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note30_accounting_policy_table3 - jpm:OffBalanceSheetLendingRelatedFinancialInstrumentsGuaranteesAndOtherCommitmentsPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> Derivative guarantees are recorded on the Consolidated Balance Sheets at fair value in trading assets and trading liabilities. </div> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Accounting Policy: jpm-20101231_note32_accounting_policy_table1 - jpm:CommitmentsAndContingenciesLitigationPolicyTextBlock--> <div align="left" style="font-size: 10pt; font-family: Helvetica,Arial,sans-serif"> The Firm has established reserves for several hundred of its currently outstanding legal proceedings. The Firm accrues for potential liability arising from such proceedings when it is probable that such liability has been incurred and the amount of the loss can be reasonably estimated. 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<td>&#160;</td> <td nowrap="nowrap" align="center" colspan="2">2010</td> <td>&#160;</td> </tr> <!-- End Table Head --> <!-- Begin Table Body --> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px"><b>Assets:</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Trading assets: </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> 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align="right"><b>(38</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>62</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>73</b></td> <td>&#160;</td> <td>&#160;</td> <td align="left"><b>$</b></td> <td align="right"><b>260</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left"><b>$</b></td> <td align="right"><b>(38</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Residential &#8211; nonagency </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>3,339</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(782</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(245</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,197</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,115</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(871</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">Commercial &#8211; nonagency </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,487</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(242</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(325</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(150</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,770</b></td> <td>&#160;</td> 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<td align="right"><b>(1,222</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">Obligations of U.S. states and municipalities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,641</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(22</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(648</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,971</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(123</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Non-U.S. government debt securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>707</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>38</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(75</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>64</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>734</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>34</b></td> <td>&#160;</td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">Corporate debt securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>5,280</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>38</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(3,416</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>3,339</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>5,241</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(72</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>17,091</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(871</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(3,497</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>495</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>13,218</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,167</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">Asset-backed securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>7,106</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,436</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(378</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(189</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>7,975</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>734</b></td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Total debt instruments</b> </div></td> <td>&#160;</td> 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align="left">&#160;</td> <td align="right"><b>(512</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,237</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,956</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(51</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,226</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(79</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(253</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>32</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>926</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(119</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px"><b>Total debt and equity instruments</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>41,420</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(671</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top">(a)</sup></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(9,287</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>3,704</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>35,166</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,986</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top">(a)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Total net derivative receivables </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>9,507</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(11,406</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top">(a)</sup></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(3,448</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>16,699</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>11,352</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(10,835</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top">(a)</sup></td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">Available-for-sale securities: </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Asset-backed securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>11,447</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(2</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1,112</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>175</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>12,732</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(48</b></td> <td nowrap="nowrap"><b>)</b></td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">Other </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>944</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(269</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>302</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(516</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>461</b></td> 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align="right"><b>(5</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top">(b)</sup></td> </tr> <tr style="font-size: 1px"> <td colspan="25" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" > <td> <div style="margin-left:15px; text-indent:-15px">Loans </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>2,667</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(448</b></td> <td nowrap="nowrap"><b>)</b><sup style="font-size: 85%; vertical-align: text-top">(a)</sup></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1,906</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>677</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>990</b></td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td 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text-indent:-15px">Interest cost on benefit obligations </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>468</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">514</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">488</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>128</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">122</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">142</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>55</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">65</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">74</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Expected return on plan assets </div></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(742</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(585</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(719</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(126</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(115</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(152</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(96</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(97</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(98 </td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Amortization: </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Net loss </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>225</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">304</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>56</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">44</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">25</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(1</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; 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text-indent:-15px">Special termination benefits </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>1</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">3</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>&#8212;</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="37" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px"><b>Net periodic benefit cost</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>138</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">551</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">52</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right"><b>90</b></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">81</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">47</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right"><b>(53</b></td> <td nowrap="nowrap"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(38</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(31 </td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; 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text-indent:-15px">Banks and finance companies </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">324</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">324</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">90</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">12</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">102</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Business services </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">322</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">322</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">39</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">13</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">52</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Energy </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">188</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">188</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">45</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">13</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">58</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Materials </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">186</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">186</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">35</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">3</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">38</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Real estate </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">19</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">19</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Other </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">571</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">572</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">171</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">171</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total equity securities</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">2,772</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">14</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">2,786</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">493</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">75</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">568</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Common/collective trust funds<sup style="font-size: 85%; vertical-align: text-top">(a)</sup> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">1,868</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">610</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">2,478</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">23</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">185</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">208</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Limited partnerships: </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Hedge funds </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">912</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">627</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1,539</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Private equity funds </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">874</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">874</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px">Real estate </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">196</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">196</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:30px; text-indent:-15px"><b>Total limited partnerships</b> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">912</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1,697</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">2,609</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Corporate debt securities<sup style="font-size: 85%; vertical-align: text-top">(b)</sup> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">941</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">941</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">685</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">685</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">U.S. federal, state, local and non-U.S. government debt securities </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">406</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">406</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">841</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">841</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; text-indent:-15px">Mortgage-backed securities<sup style="font-size: 85%; vertical-align: text-top">(c)</sup> </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">169</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">54</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">223</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td> <div style="margin-left:15px; 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valign="top">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td 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valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>424</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">481</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>4,292</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">5,518</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>14,628</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">17,440</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td 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valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>10,515</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">14,499</td> <td valign="top">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>1,477</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">1,917</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>3,551</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">4,213</td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> <td valign="top" align="right"><b>8,368</b></td> <td valign="top">&#160;</td> <td>&#160;</td> <td valign="top" align="left">&#160;</td> 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</div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> </tr> <tr style="font-size:8pt"> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">290</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(10</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">280</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(214</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(1</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(215</td> <td nowrap="nowrap">)</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#8212;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">5</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(48</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(43</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="33" nowrap="nowrap" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">290</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(10</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">280</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(209</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(49</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(258</td> <td nowrap="nowrap">)</td> </tr> <tr style="font-size: 1px"> <td colspan="33" nowrap="nowrap" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#8212;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">66</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">66</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">3</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(3</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">8</td> <td>&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="left">&#160;</td> <td align="right">(7</td> <td nowrap="nowrap">)</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">$</td> <td valign="top" align="right">927</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td align="left">$</td> <td align="right">12</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">939</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">634</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">25</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">659</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"><!-- Blank Space --> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">$</td> <td valign="top" align="right">297</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">297</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">29</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">29</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">630</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">12</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">642</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">605</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">25</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">630</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">$</td> <td valign="top" align="right">927</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td align="left">$</td> <td align="right">12</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">939</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">634</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">25</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">659</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"><!-- Blank Space --> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">$</td> <td valign="top" align="right">1,577</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">1,577</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">233</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">&#8212;</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">233</td> <td>&#160;</td> </tr> <tr valign="bottom"> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">345,578</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td>&#160;</td> <td align="right">74,827</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">569,113</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">989,518</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">379,638</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">117,805</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">623,702</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td align="right">1,121,145</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom" style="background: #ffffff"> <td valign="top" align="left">$</td> <td valign="top" align="right">347,155</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td align="left">$</td> <td align="right">74,827</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">569,113</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">991,095</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">379,871</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">117,805</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">623,702</td> <td>&#160;</td> <td>&#160;</td> <td align="left">$</td> <td align="right">1,121,378</td> <td>&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="33" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"><!-- Blank Space --> <td valign="top" align="left">&#160;</td> <td valign="top" align="right">&#160;</td> <td valign="top">&#160;</td> <td>&#160;</td> <td> <div style="margin-left:15px; text-indent:-15px">&#160; </div></td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> <td>&#160;</td> 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text-indent:-0px"><b>5,604</b> </div></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">5,278</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">5,223</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>6,112</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">5,473</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">5,298</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>6,355</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">1,895</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(28</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>&#8212;</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">&#8212;</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">&#8212;</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>61,196</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">52,352</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">43,500</td> <td nowrap="nowrap" valign="bottom">&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="58" valign="bottom" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td align="right" valign="bottom"> <div style="margin-left:0px; text-indent:-0px"><b><br /><br /><br />1,703</b> </div></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">1,890</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">2,708</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>2,786</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">2,304</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">2,201</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>1,053</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">4,659</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(1,884</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>(2,148</b></td> <td nowrap="nowrap" valign="bottom"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(1,770</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(1,908</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>24,859</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">16,067</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">2,773</td> <td nowrap="nowrap" valign="bottom">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td align="right" valign="bottom"> <div style="margin-left:0px; text-indent:-0px"><b><br />624</b> </div></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">664</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">941</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>1,076</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">874</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">844</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>(205</b></td> <td nowrap="nowrap" valign="bottom"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">1,705</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(535</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>(2,148</b></td> <td nowrap="nowrap" valign="bottom"><b>)</b></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(1,770</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(1,908</td> <td nowrap="nowrap" valign="bottom">)</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>7,489</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">4,415</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">(926</td> <td nowrap="nowrap" valign="bottom">)</td> </tr> <tr style="font-size: 1px"> <td colspan="58" valign="bottom" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td>&#160;</td> <td align="right" valign="bottom"> <div style="margin-left:0px; 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text-indent:-0px"><b>&#8212;</b> </div></td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">&#8212;</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">&#8212;</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>&#8212;</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">&#8212;</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">&#8212;</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>&#8212;</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">76</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">1,906</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>&#8212;</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">&#8212;</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">&#8212;</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom"><b>&#8212;</b></td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">76</td> <td nowrap="nowrap" valign="bottom">&#160;</td> <td>&#160;</td> <td nowrap="nowrap" align="right" valign="bottom">&#160;</td> <td align="right" valign="bottom">1,906</td> <td nowrap="nowrap" valign="bottom">&#160;</td> </tr> <tr style="font-size: 1px"> <td colspan="58" valign="bottom" align="left" style="border-top: 1px solid #000000">&#160;</td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="right" valign="bottom">$</td> <td align="right" valign="bottom"> <div style="margin-left:0px; 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As a result of converting higher credit quality Chase-originated on-book receivables to the Trust&#8217;s seller&#8217;s interest which has a higher overall loss rate reflective of the total assets within the Trust, approximately $400&#160;million of incremental provision for credit losses was recorded during the fourth quarter of 2008. This incremental provision for credit losses was recorded in the Corporate/Private Equity segment as the action related to the acquisition of Washington Mutual&#8217;s banking operations. 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Prior to the adoption of the new guidance, managed results for credit card excluded the impact of credit card securitizations on total net revenue, provision for credit losses and average assets, as JPMorgan Chase treated the sold receivables as if they were still on the balance sheet in evaluating the credit performance of the entire managed credit card portfolio, as operations are funded, and decisions are made about allocating resources, such as employees and capital, based on managed information. These adjustments are eliminated in reconciling items to arrive at the Firm&#8217;s reported U.S. GAAP results. 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Employees begin to receive matching contributions after completing a one-year-of-service requirement. Employees with total annual cash compensation of $250,000 or more are not eligible for matching contributions. Matching contributions are immediately vested for employees hired after May 1, 2009, and will vest after three years of service for employees hired on or after May 1, 2009. 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The 2010, 2009 and 2008 grants of SARs to key employees vest ratably over 5 years (i.e., 20% per year) RSUs are generally granted annually and generally vest at a rate of 50% after two years and 50% after three years and convert into shares of common stock at the vesting date -8149000 31.15 80142000 42.92 221265000 234121000 29.32 30.45 -59137000 1600000000 1300000000 2300000000 43.05 0.0357 0.0340 0.0313 6.8 6.6 6.4 0.34 0.56 0.37 0.0390 0.0233 0.0389 2 113000000 788217000 181183000 45.52 2.1 -12870000 391000000 154000000 154000000 30.69 -37044000 65.95 -3076000 34.82 20949000 10.36 8.24 42.96 1191151000 266568000 234527000 45.83 43.33 3.4 In January 2008, the Firm awarded to its Chairman and Chief Executive Officer up to 2 million SARs. The terms of this award are distinct from, and more restrictive than, other equity grants regularly awarded by the Firm. The SARs, which have a 10-year term, will become exercisable no earlier than January 22, 2013, and have an exercise price of $39.83. The number of SARs that will become exercisable (ranging from none to the full 2 million) and their exercise date or dates may be determined by the Board of Directors based on an annual assessment of the performance of both the CEO and JPMorgan Chase. The Firm recognizes this award ratably over an assumed five-year service period, subject to a requirement to recognize changes in the fair value of the award through the grant date. 160845000000 165365000000 165365000000 176106000000 176106000000 -12832000000 78597000000 54715000000 -917000000 3658000000 166884000000 -217000000 -5687000000 31939000000 92143000000 3942000000 -9249000000 54013000000 165365000000 4105000000 8152000000 62481000000 -68000000 -91000000 -7196000000 97982000000 176106000000 7800000000 -8160000000 97415000000 73998000000 1001000000 4105000000 -53000000 1100000 1300000 1000000 283900000 2839000000 1633000000 163300000 54400000 45700000 45300000 82000000 47000000 46300000 1150000000 242000000 11201000000 284000000 31550000000 11485000000 5756000000 163000000 5593000000 2454000000 2079000000 2040000000 352000000 -77900000 55000000 280000000 485000000 750000000 If not utilized, the U.S. foreign tax credit carryforward will expire in 2020 0.030 0.050 0.210 0.060 0.069 0.07 0.057 0.110 132971000000 15534000000 96372000000 132971000000 142450000000 12966000000 142450000000 91764000000 0.040 0.060 0.1076 0.095 0.111 0.135 0.1110 0.111 0.095 0.121 269000000 131000000 138000000 2074000000 2074000000 0 1454000000 1432000000 22000000 131973000000 71930000000 60043000000 4434000000 153000000 4281000000 7669000000 287000000 7382000000 147873000000 87237000000 60636000000 168439000000 104197000000 90552000000 59653000000 77887000000 44544000000 -9791000000 9870000000 9404000000 125071000000 146166000000 125071000000 -1459058000000 52615000000 125100000000 35342000000 0 125100000000 1496172000000 146166000000 -1415890000000 62949000000 146200000000 146200000000 0 1468768000000 30339000000 38.49 290300000 208800000 162974783 194639785 7196000000 8160000000 2999000000 2999000000 3571000000 5226000000 4761000000 4811000000 5894000000 6608000000 7767000000 -109000000 -6000000 -24000000 -1386000000 -322000000 -1198000000 -181000000 -203000000 -74000000 890000000 584000000 813000000 501000000 703000000 1681000000 -19000000 -42000000 -39000000 2900000000 3500000000 3800000000 850000000 0 15000000 15000000 835000000 659000000 25000000 0 634000000 1093000000 939000000 271000000 0 1705000000 552000000 18000000 927000000 1000000 12000000 717000000 153000000 6000000 0 345000000 711000000 3285000000 2000000 190000000 -155000000 -1253000000 -1423000000 929000000 119000000 601000000 209000000 1053000000 222000000 94000000 737000000 2109000000 262000000 1373000000 474000000 1600000000 220000000 3500000000 46000000 4800000000 4900000000 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 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. 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. 10800000000 24800000000 26000000000 10200000000 8400000000 15200000000 9500000000 10700000000 20200000000 8800000000 7600000000 20700000 16900000 20600000 3521800000 3879700000 3976900000 3501100000 3862800000 3956300000 The following other-than-temporary impairment losses are included in securities gains for the periods presented. The following table presents information on assets and liabilities related to VIEs that are consolidated by the Firm at December 31, 2010, and 2009. The difference between total VIE assets and liabilities represents the Firm's interests in those entities, which were eliminated in consolidation.