Notes to consolidated financial statements JPMorgan Chase & Co.  112 JPMorgan Chase & Co. /2004 Annual Report Note 17 – Long-term debt JPMorgan Chase issues long-term debt denominated in various currencies, although predominantly U. S.  dollars, with both fixed and variable interest rates.
The following table is a summary of long-term debt (net of unamortized original issue debt discount and SFAS 133 valuation adjustment
## Table 0 ##
Total FIN 46R long-term beneficial interests $ 3,072 $ 911 $ 2,410 $ 6,393 $ 2,429 (a) Included are various equity-linked or other indexed instruments.
Embedded derivatives separated from hybrid securities in accordance with SFAS 133 are reported at fair value and shown net with the host contract on the balance sheet.
Changes in fair value of separated derivatives are recorded in Trading revenue.
(b) The interest rates shown are the range of contractual rates in effect at year-end, including non-U.
S.  dollar fixed and variable-rate issuances, which excludes the effects of related derivative instru- ments.
The use of these derivative instruments modifies the Firm’s exposure to the contractual interest rates disclosed in the table above.
Including the effects of derivatives, the range of modified rates in effect at December 31, 2004, for total long-term debt was 0.14% to 11.74%, versus the contractual range of 0.20% to 13.00% presented in the table above.
(c) Included on the Consolidated balance sheets in Beneficial interests issued by consolidated variable interest entities.
(d) At December 31, 2004, long-term debt aggregating $23.3 billion was redeemable at the option of JPMorgan Chase, in whole or in part, prior to maturity, based on the terms specified in the respective notes.
(e) The aggregate principal amount of debt that matures in each of the five years subsequent to 2004 is $15.8 billion in 2005, $15.4 billion in 2006, $15.5 billion in 2007, $11.6 billion in 2008 and $11.9 billion in 2009.
(f) Includes $1.5 billion of outstanding zero-coupon notes at December 31, 2004.
The aggregate principal amount of these notes at their respective maturities is $4.6 billion.
(g) Heritage JPMorgan Chase only.
The weighted-average contractual interest rate for total long-term debt was 4.50% and 4.71% as of December 31, 2004 and 2003, respectively.
In order to modify exposure to interest rate and currency exchange rate movements, JPMorgan Chase utilizes derivative instruments, primarily interest rate and cross-currency interest rate swaps, in conjunction with some of its debt issues.
The use of these instruments modifies the Firm’s interest expense on the associated debt.
The modified weighted-average interest rate for total long- term debt, including the effects of related derivative instruments, was 3.97% and 2.79% as of December 31, 2004 and 2003, respectively.
JPMorgan Chase has guaranteed certain debt of its subsidiaries, including both long-term debt and structured notes sold as part of the Firm’s trading activities.
These guarantees rank on a parity with all of the Firm’s other unsecured and unsubordinated indebtedness.
Guaranteed liabilities totaled $320 million and $509 million at December 31, 2004 and 2003, respectively Junior subordinated deferrable interest debentures held by trusts that issued guaranteed capital debt securities At December 31, 2004, the Firm had 22 wholly-owned Delaware statutory business trusts (“issuer trusts”) that issued guaranteed preferred beneficial interests in the Firm’s junior subordinated deferrable interest debentures.
As a result of the adoption of FIN 46, JPMorgan Chase deconsolidated all the issuer trusts.
Accordingly, the junior subordinated deferrable interest deben- tures issued by the Firm to the issuer trusts, totaling $10.3 billion and $6.8 billion at December 31, 2004 and 2003, respectively, were reflected in the Firm’s Consolidated balance sheets in the Liabilities section under the caption “Junior subordinated deferrable interest debentures held by trusts that issued guaranteed capital debt securities.
” JPMorgan Chase records interest expens- es on the corresponding junior subordinated debentures in its Consolidated statements of income.
The Firm also records the common capital securities issued by the issuer trusts in Other assets in its Consolidated balance sheets at December 31, 2004 and 200
In a managed credit-linked note structure, the CLNs and associated credit derivative generally reference all or part of an actively managed portfolio of credits.
An agreement exists between a portfolio manager and the VIE that gives the portfolio manager the ability to substitute each referenced credit in the portfolio for an alternative credit.
By participating in a structure where a portfolio manager has the ability to substitute credits within pre-agreed terms, the investors who own the CLNs seek to reduce the risk that any single credit in the portfolio will default.
The Firm does not act as portfolio manager; its involvement with the VIE is generally limited to being a derivative counterparty.
As a net buyer of credit protection, the Firm pays a premium to the VIE in return for the receipt of a payment (up to the notional of the derivative) if one or more of the credits within the portfolio defaults, or if the losses resulting from the default of reference credits exceed specified levels.
Exposure to nonconsolidated credit-linked note VIEs at December 31, 2008 and 2007, was as follows.
## Table 1 ##
(a) Excluded fair value of collateral of $2.1 billion and $2.5 billion at December 31, 2008 and 2007, respectively, which was consolidated as the Firm, in its role as secondary market maker, held a majority of the issued CLNs of certain vehicles.
(b) Includes synthetic collateralized debt obligation vehicles, which have similar risk characteristics to managed credit-linked note vehicles.
At December 31, 2008 and 2007, trading assets included $7 million and $291 million, respectively, of transactions with subprime collateral.
(c) Trading assets principally comprise notes issued by VIEs, which from time to time are held as part of the termination of a deal or to support limited market-making.
(d) On-balance sheet exposure that includes derivative receivables and trading assets.
(e) The Firm’s maximum exposure arises through the derivatives executed with the VIEs; the exposure varies over time with changes in the fair value of the derivatives.
The Firm relies upon the collateral held by the VIEs to pay any amounts due under the derivatives; the vehicles are structured at inception so that the par value of the collateral is expected to be sufficient to pay amounts due under the derivative contracts.
Asset Swap Vehicles The Firm also structures and executes transactions with asset swap vehicles on behalf of investors.
In such transactions, the VIE purchases a specific asset or assets and then enters into a derivative with the Firm in order to tailor the interest rate or currency risk, or both, of the assets according to investors’ requirements.
Generally, the assets are held by the VIE to maturity, and the tenor of the derivatives would match the maturity of the assets.
Investors typically invest in the notes issued by such VIEs in order to obtain exposure to the credit risk of the specific assets as well as exposure to foreign exchange and interest rate risk that is tailored to their specific needs; for example, an interest rate derivative may add additional interest rate exposure into the VIE in order to increase the return on the issued notes; or to convert an interest bearing asset into a zerocoupon bond.
The Firm’s exposure to the asset swap vehicles is generally limited to its rights and obligations under the interest rate and/or foreign exchange derivative contracts, as the Firm does not provide any contractual financial support to the VIE.
In addition, the Firm historically has not provided any financial support to the asset swap vehicles over and above its contractual obligations.
Accordingly, the Firm typically does not consolidate the asset swap vehicles.
As a derivative counterparty, the Firm has a senior claim on the collateral of the VIE and reports such derivatives on its balance sheet at fair value.
Substantially all of the assets purchased by such VIEs are investment-grade.
Management’s discussion and analysis 144 JPMorgan Chase & Co. /2010 Annual Report compared with $57 million for 2009.
Decreases in CIO and Mortgage Banking VaR for 2010 were again driven by the decline in market volatility and position changes.
The decline in Mortgage Banking VaR at December 31, 2010, reflects management’s decision to reduce risk given market volatility at the time.
The Firm’s average IB and other VaR diversification benefit was $59 million or 37% of the sum for 2010, compared with $82 million or 28% of the sum for 2009.
The Firm experienced an increase in the diversification benefit in 2010 as positions changed and correlations decreased.
In general, over the course of the year, VaR exposure can vary significantly as positions change, market volatility fluctuates and diversification benefits change.
VaR back-testing The Firm conducts daily back-testing of VaR against its market riskrelated revenue, which is defined as the change in value of: principal transactions revenue for IB and CIO (less Private Equity gains/losses and revenue from longer-term CIO investments); trading-related net interest income for IB, CIO and Mortgage Banking; IB brokerage commissions, underwriting fees or other revenue; revenue from syndicated lending facilities that the Firm intends to distribute; and mortgage fees and related income for the Firm’s mortgage pipeline and warehouse loans, MSRs, and all related hedges.
Daily firmwide market risk–related revenue excludes gains and losses from DVA.
The following histogram illustrates the daily market risk–related gains and losses for IB, CIO and Mortgage Banking positions for 2010.
The chart shows that the Firm posted market risk–related gains on 248 out of 261 days in this period, with 12 days exceeding $210 million.
The inset graph looks at those days on which the Firm experienced losses and depicts the amount by which the 95% confidence-level VaR exceeded the actual loss on each of those days.
During 2010, losses were sustained on 13 days, none of which exceeded the VaR measure.
## Table 2 ##
The following table summarizes the ratings profile of the Firm’s derivative receivables MTM, net of other liquid securities collateral, for the dates indicated.
Ratings profile of derivative receivables MTM
As noted above, the Firm uses collateral agreements to mitigate counterparty credit risk in derivatives.
The percentage of the Firm’s derivatives transactions subject to collateral agreements – excluding foreign exchange spot trades, which are not typically covered by collateral agreements due to their short maturity – was 88% as of December 31, 2010, largely unchanged from 89% at December 31, 2009.
The Firm posted $58.3 billion and $56.7 billion of collateral at December 31, 2010 and 2009, respectively.
Credit derivatives For risk management purposes, the Firm is primarily a purchaser of credit protection.
As a purchaser of credit protection, the Firm has risk that the counterparty providing the credit protection will default.
As a seller of credit protection, the Firm has risk that the underlying instrument referenced in the contract will be subject to a credit event.
The Firm uses credit derivatives for two primary purposes: first, in its capacity as a market-maker in the dealer/client business to meet the needs of customers; and second, in order to mitigate the Firm’s own credit risk associated with its overall derivative receivables and traditional commercial credit lending exposures (loans and unfunded commitments).

<table><tr><td colspan="2">By remaining contractual maturity at December 31, 2004</td><td rowspan="2">Under 1 year</td><td></td><td rowspan="2">After 5 years</td><td rowspan="2"> 2004  total</td><td></td><td rowspan="2">2003 total<sup>(g)</sup></td></tr><tr><td>(in millions)</td><td></td><td>1-5 years</td><td></td></tr><tr><td> Parent company</td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr><tr><td>Senior debt:<sup>(a)</sup></td><td>Fixed rate</td><td>$2,864</td><td>$20,029</td><td>$2,670</td><td>$25,563</td><td></td><td>$15,044</td></tr><tr><td></td><td>Variable rate</td><td>6,221</td><td>8,295</td><td>612</td><td>15,128</td><td></td><td>10,696</td></tr><tr><td></td><td>Interest rates<sup>(b)</sup></td><td>1.22-7.63%</td><td>0.20-6.88%</td><td>1.12-5.00%</td><td>0.20-7.63</td><td> %</td><td>0.96-7.50%</td></tr><tr><td>Subordinated debt:</td><td>Fixed rate</td><td>$1,419</td><td>$7,536</td><td>$13,100</td><td>$22,055</td><td></td><td>$14,382</td></tr><tr><td></td><td>Variable rate</td><td>309</td><td>46</td><td>2,331</td><td>2,686</td><td></td><td>513</td></tr><tr><td></td><td>Interest rates<sup>(b)</sup></td><td>4.78-7.13%</td><td>5.75-9.88%</td><td>1.92-10.00%</td><td>1.92-10.00</td><td> %</td><td>4.78-8.25%</td></tr><tr><td></td><td>Subtotal</td><td>$10,813</td><td>$35,906</td><td>$18,713</td><td>$65,432</td><td></td><td>$40,635</td></tr><tr><td> Subsidiaries</td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr><tr><td>Senior debt:<sup>(a)</sup></td><td>Fixed rate</td><td>$283</td><td>$4,133</td><td>$1,833</td><td>$6,249</td><td></td><td>$2,829</td></tr><tr><td></td><td>Variable rate</td><td>4,234</td><td>13,547</td><td>4,316</td><td>22,097</td><td></td><td>3,842</td></tr><tr><td></td><td>Interest rates<sup>(b)</sup></td><td>2.13-10.45%</td><td>1.71-11.74%</td><td>2.19-13.00%</td><td>1.71-13.00</td><td> %</td><td>1.13-13.00%</td></tr><tr><td>Subordinated debt:</td><td>Fixed rate</td><td>$503</td><td>$831</td><td>$310</td><td>$1,644</td><td></td><td>$708</td></tr><tr><td></td><td>Variable rate</td><td>—</td><td>—</td><td>—</td><td>—</td><td></td><td>—</td></tr><tr><td></td><td>Interest rates<sup>(b)</sup></td><td>6.00-7.00%</td><td>6.13-6.70%</td><td>8.25%</td><td>6.00-8.25</td><td> %</td><td>6.13-7.00%</td></tr><tr><td></td><td>Subtotal</td><td>$5,020</td><td>$18,511</td><td>$6,459</td><td>$29,990</td><td></td><td>$7,379</td></tr><tr><td>Total long-term debt</td><td></td><td>$15,833</td><td>$54,417</td><td>$25,172</td><td>$95,422</td><td><sup> (d)</sup><sup> (e)</sup><sup> (f)</sup></td><td>$48,014</td></tr><tr><td colspan="2"> FIN 46R long-term beneficial interests:<sup>(c)</sup></td><td></td><td></td><td></td><td></td><td></td><td></td></tr><tr><td></td><td>Fixed rate</td><td>$—</td><td>$341</td><td>$434</td><td>$775</td><td></td><td>$353</td></tr><tr><td></td><td>Variable rate</td><td>3,072</td><td>570</td><td>1,976</td><td>5,618</td><td></td><td>2,076</td></tr><tr><td></td><td>Interest rates<sup>(b)</sup></td><td>2.02-2.84%</td><td>0.54-7.35%</td><td>2.25-12.79%</td><td>0.54-12.79</td><td> %</td><td>1.12-10.00%</td></tr><tr><td colspan="2">Total FIN 46R long-term beneficial interests</td><td>$3,072</td><td>$911</td><td>$2,410</td><td>$6,393</td><td></td><td>$2,429</td></tr></table>
<table><tr><td></td><td colspan="4"> 2008</td><td colspan="4">2007</td></tr><tr><td>December 31,</td><td rowspan="2">Derivative receivables</td><td rowspan="2">Trading assets<sup>(c)</sup></td><td rowspan="2">Total exposure<sup>(d)</sup></td><td rowspan="2">Par value of collateral held by VIEs<sup>(e)</sup></td><td rowspan="2">Derivative receivables</td><td rowspan="2">Trading assets<sup>(c)</sup></td><td rowspan="2">Total exposure<sup>(d)</sup></td><td rowspan="2">Par value of collateral held by VIEs<sup>(e)</sup></td></tr><tr><td>(in billions)</td></tr><tr><td>Credit-linked notes<sup>(a)</sup></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr><tr><td>Static structure</td><td>$3.6</td><td>$0.7</td><td>$4.3</td><td>$14.5</td><td>$0.8</td><td>$0.4</td><td>$1.2</td><td>$13.5</td></tr><tr><td>Managed structure<sup>(b)</sup></td><td>7.7</td><td>0.3</td><td>8.0</td><td>16.6</td><td>4.5</td><td>0.9</td><td>5.4</td><td>12.8</td></tr><tr><td> Total</td><td>$11.3</td><td>$1.0</td><td>$12.3</td><td>$31.1</td><td>$5.3</td><td>$1.3</td><td>$6.6</td><td>$26.3</td></tr></table>
<table><tr><td>December 31, (in millions)</td><td>1 Basis point increase in JPMorgan Chase’s credit spread</td></tr><tr><td>2010</td><td>$35</td></tr><tr><td>2009</td><td>$39</td></tr></table>

Question: on what percent of trading days were there market gains above $ 210 million?
Answer: 0.04598