JP Morgan Chase 2008 Annual Report Download - page 149

JPMorgan Chase & Co./ 2008 Annual Report 147
Assets and liabilities measured at fair value on a recurring basis
Quoted market Internal models with Internal models with Total carrying value
prices in active significant observable significant unobservable FIN 39 in the Consolidated
December 31, 2007 (in millions) markets (Level 1) market parameters (Level 2) market parameters (Level 3) netting(d) Balance Sheets
Federal funds sold and securities
purchased under resale agreements $ — $ 19,131 $ — $ — $ 19,131
Trading assets:
Debt and equity instruments:
U.S. government, agency, sponsored
enterprise and non-U.S. governments 106,572 40,362 258 — 147,192
State and municipal securities 7,230 5,860 — — 13,090
Certificates of deposit, bankers’
acceptances and commercial paper 3,019 5,233 — — 8,252
Corporate debt and other 6 52,137 7,972 — 60,115
Equity securities 82,499 9,552 1,197 — 93,248
Loans — 46,038 11,776 — 57,814
Mortgage- and asset-backed securities — 27,209 2,863 — 30,072
Physical commodities(a) — 4,490 — — 4,490
Total debt and equity instruments: 199,326 190,881 24,066 — 414,273
Derivative receivables 18,574 871,105 20,188 (832,731) 77,136
Total trading assets 217,900 1,061,986 44,254 (832,731) 491,409
Available-for-sale securities 71,941 13,364 101 — 85,406
Loans — 359 8,380 — 8,739
Mortgage servicing rights — — 8,632 — 8,632
Other assets:
Private equity investments 68 322 6,763 — 7,153
All other 10,784 1,054 3,160 — 14,998
Total other assets 10,852 1,376 9,923 — 22,151
Total assets at fair value $300,693 $ 1,096,216 $ 71,290 $(832,731) $ 635,468
Deposits $ — $ 5,228 $ 1,161 $ — $ 6,389
Federal funds purchased and securities
loaned or sold under repurchase
agreements — 5,768 — — 5,768
Other borrowed funds — 10,672 105 — 10,777
Trading liabilities:
Debt and equity instruments 73,023 15,659 480 — 89,162
Derivative payables 19,553 852,055 19,555 (822,458) 68,705
Total trading liabilities 92,576 867,714 20,035 (822,458) 157,867
Accounts payable and
other liabilities(c) — — 25 — 25
Beneficial interests issued by
consolidated VIEs — 2,922 82 — 3,004
Long-term debt — 48,518 21,938 — 70,456
Total liabilities at fair value $ 92,576 $ 940,822 $ 43,346 $(822,458) $ 254,286
(a) Physical commodities inventories are accounted for at the lower of cost or fair value.
(b) Includes assets for which the Firm serves as an intermediary between two parties and does not bear market risk. The assets are predominantly reflected within derivative receivables.
(c) Includes the fair value adjustment for unfunded lending-related commitments accounted for at fair value.
(d) As permitted under FIN 39, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable
master netting agreement exists. The increase in FIN 39 netting from December 31, 2007, primarily relates to the decline in interest rates, widening credit spreads and volatile foreign
exchange rates reflected in interest rate, credit and foreign exchange derivatives, respectively.
Balances for which the Firm did not bear economic exposure at December 31, 2007, were not significant.