JP Morgan Chase 2010 Annual Report Download - page 176

Notes to consolidated financial statements
176 JPMorgan Chase & Co./2010 Annual Report
The following tables present assets and liabilities measured at fair value as of December 31, 2010 and 2009, by major product category and by
the fair value hierarchy (as described above).
Assets and liabilities measured at fair value on a recurring basis
Fair value hierarchy
December 31, 2010 (in millions) Level 1(i) Level 2(i) Level 3(i)
Netting
adjustments
Total
fair value
Federal funds sold and securities purc
hased under resale
agreements $ — $ 20,299 $ — $ — $ 20,299
Securities borrowed
—
13,961
—
—
13,961
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies
(a)
36,813 10,738 174 — 47,725
Residential – nonagency
—
2,807
687
—
3,494
Commercial – nonagency
—
1,093
2,069
—
3,162
Total mortgage
-
backed securities
36,813
14,638
2,930
—
54,381
U.S. Treasury and government agencies
(a)
12,863 9,026 — — 21,889
Obligations of U.S. states and municipalities
—
11,715
2,257
—
13,
972
Certificates of deposit, bankers’ acceptances and
commercial paper — 3,248 — — 3,248
Non-U.S. government debt securities
31,127
38,482
697
—
70,306
Corporate debt securities
—
42,280
4,946
—
47,226
Loans
(b)
— 21,736 13,144 — 34,880
Asset-backed securities
—
2,743
7,965
—
10,708
Total debt instruments
80,803
143,868
31,939
—
256,610
Equity securities
124,400
3,153
1,685
—
129,238
Physical commodities
(c)
18,327 2,708 — — 21,035
Other
—
2,275
253
—
2,528
Total debt and equity instruments
(d)
223,530 152,004 33,877 — 409,411
Derivative receivables:
Interest rate
2,278
1,120,282
5,422
(1,
095
,
427
)
32,555
Credit
(e)
— 111,827 17,902 (122,004) 7,725
Foreign exchange
1,121
163,114
4,236
(
142
,
613
)
25,858
Equity
30
38,041
5,562
(
39
,
429
)
4,204
Commodity
1,324
56,076
2,197
(
49
,
458
)
10,139
Total derivative receivables
(f)
4,753 1,489,340 35,319 (1,448,931) 80,481
Total trading assets
228,283
1,641,344
69,196
(1,448,931)
489,892
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies
(a)
104,736 15,490 — — 120,226
Residential – nonagency
—
48,969
5
—
48,974
Commercial – nonagency
—
5,403
251
—
5,654
Total mortgage
-
backed securities
104,73
6
69,862
256
—
174,854
U.S. Treasury and government agencies
(a)
522 10,826 — — 11,348
Obligations of U.S. states and municipalities
31
11,272
256
—
11,559
Certificates of deposit
6
3,641
—
—
3,647
Non-U.S. government debt securities
13,107
7,670
—
—
20,777
Corporate debt securities
1
61,793
—
—
61,794
Asset-backed securities:
Credit card receivables
—
7,608
—
—
7,608
Collateralized loan obligations
—
128
13,470
—
13,598
Other
—
8,777
305
—
9,
082
Equity securities
1,998
53
—
—
2,051
Total available
-
for
-
sale securities
120,401
181,630
14,287
—
316,318
Loans
—
5
10
1,466
—
1,97
6
Mortgage servicing rights
—
—
13,649
—
13,649
Other assets:
Private equity investments
(g)
49 826 7,862 — 8,737
All other
5,093
192
4,179
—
9,464
Total other assets
5,142
1,01
8
12,04
1
—
18,201
Total assets measured at fair value on a recu
r
ring
basis(h) $ 353,826 $1,858,762 $ 110,639 $ (1,448,931) $ 874,296