JP Morgan Chase 2009 Annual Report Download - page 165

JPMorgan Chase & Co./2009 Annual Report 163
Fair value hierarchy
December 31, 2008 (in millions) Level 1 Level 2 Level 3
Netting
adjustments
Total
fair value
Federal funds sold and securities purchased under resale
agreements $ —
$ 20,843 $ — $ — $ 20,843
Securities borrowed — 3,381 — — 3,381
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a) 48,761 9,984 163 — 58,908
Residential – nonagency(b) — 658 3,339 — 3,997
Commercial – nonagency(b) — 329 2,487 — 2,816
Total mortgage-backed securities 48,761 10,971 5,989 — 65,721
U.S. Treasury and government agencies(a) 29,646 1,659 — — 31,305
Obligations of U.S. states and municipalities — 10,361 2,641 — 13,002
Certificates of deposit, bankers’ acceptances and
commercial paper 1,180 6,312 — — 7,492
Non-U.S. government debt securities 19,986 17,954 707 — 38,647
Corporate debt securities 1 55,042 5,280 — 60,323
Loans(c) — 14,711 17,091 — 31,802
Asset-backed securities — 2,414 7,106 — 9,520
Total debt instruments 99,574 119,424 38,814 — 257,812
Equity securities 73,174 3,992 1,380 — 78,546
Physical commodities(d) 3,455 126 — — 3,581
Other 4 6,188 1,226 — 7,418
Total debt and equity instruments 176,207 129,730 41,420 — 347,357
Derivative receivables(e) 3,630 2,685,101 52,991 (2,579,096) 162,626
Total trading assets 179,837 2,814,831 94,411 (2,579,096) 509,983
Available-for-sale securities :
Mortgage-backed securities:
U.S. government agencies(a) 109,009 8,376 — — 117,385
Residential – nonagency(b) — 9,115 49 — 9,164
Commercial – nonagency(b) — 3,939 — — 3,939
Total mortgage-backed securities 109,009 21,430 49 — 130,488
U.S. Treasury and government agencies(a) 615 9,742 — — 10,357
Obligations of U.S. states and municipalities 34 2,463 838 — 3,335
Certificates of deposit — 17,282 — — 17,282
Non-U.S. government debt securities 6,112 2,232 — — 8,344
Corporate debt securities — 9,497 57 — 9,554
Asset-backed securities:
Credit card receivables — 11,391 — — 11,391
Collateralized debt and loan obligations — — 11,195 — 11,195
Other — 643 252 — 895
Equity securities 3,053 15 — — 3,068
Total available-for-sale securities 118,823 74,695 12,391 — 205,909
Loans — 5,029 2,667 — 7,696
Mortgage servicing rights — — 9,403 — 9,403
Other assets:
Private equity investments(f) 151 332 6,369 — 6,852
All other(g) 5,977 11,355 8,114 — 25,446
Total other assets 6,128 11,687 14,483 — 32,298
Total assets measured at fair value on a recurring
basis $ 304,788 $ 2,930,466 $ 133,355 $ (2,579,096) $ 789,513
Less: Level 3 assets for which the Firm does not bear economic
exposure(i) 21,169
Total recurring level 3 assets for which the
Firm bears economic exposure $ 112,186