JP Morgan Chase 2008 Annual Report Download - page 161

JPMorgan Chase & Co./ 2008 Annual Report 159
Included in trading assets and trading liabilities are the reported
receivables (unrealized gains) and payables (unrealized losses) relat-
ed to derivatives. 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 netted amount of cash collateral
received and paid was $103.6 billion and $72.4 billion, respectively,
at December 31, 2008, and $34.9 billion and $24.6 billion, respec-
tively, at December 31, 2007. The Firm received and paid excess col-
lateral of $22.2 billion and $3.7 billion, respectively, at December 31,
2008, and $17.4 billion and $2.4 billion, respectively, at December
31, 2007. This additional collateral received and paid secures poten-
tial exposure that could arise in the derivatives portfolio should the
mark-to-market of the transactions move in the Firm’s favor or the
client’s favor, respectively, and is not nettable against the derivative
receivables or payables in the table above. The above amounts also
exclude liquid securities held and posted as collateral by the Firm to
secure derivative receivables and derivative payables. Collateral
amounts held and posted in securities form are not recorded on the
Firm's balance sheet, and are therefore not nettable against derivative
receivables. The Firm held securities collateral of $19.8 billion and
$9.8 billion at December 31, 2008 and 2007, respectively, related to
derivative receivables. The Firm posted $11.8 billion and $5.9 billion
of securities collateral at December 31, 2008 and 2007, respectively,
related to derivative payables.
Average trading assets and liabilities were as follows for the periods
indicated.
Year ended December 31, (in millions) 2008 2007 2006
Trading assets – debt and
equity instruments $ 384,102 $ 381,415 $280,079
Trading assets – derivative receivables 121,417 65,439 57,368
Trading liabilities – debt and
equity instruments(a) $ 78,841 $ 94,737 $102,794
Trading liabilities – derivative payables 93,200 65,198 57,938
(a) Primarily represent securities sold, not yet purchased.
Private equity investments
Private equity investments are recorded in other assets on the
Consolidated Balance Sheets. The following table presents the carry-
ing value and cost of the private equity investment portfolio held by
the Private Equity business within Corporate/Private Equity for the
dates indicated.
December 31, 2008 2007
(in millions) Carrying value Cost Carrying value Cost
Total private equity
investments $6,852 $8,257 $7,153 $6,231
The above private equity investments include investments in buyouts,
growth equity and venture opportunities. These investments are
accounted for under investment company guidelines. Accordingly, these
investments, irrespective of the percentage of equity ownership interest
held, are carried on the Consolidated Balance Sheets at fair value.
Realized and unrealized gains and losses arising from changes in fair
The following table presents the fair value of trading assets and trad-
ing liabilities for the dates indicated.
December 31, (in millions) 2008 2007
Trading assets
Debt and equity instruments:(a)
U.S. government and federal agency obligations:
U.S. treasuries $ 22,121 $ 32,378
Mortgage-backed securities 6,037 791
Agency obligations 35 2,264
U.S. government-sponsored enterprise obligations:
Mortgage-backed securities 52,871 33,910
Direct obligations 9,149 9,928
Obligations of state and political subdivisions 13,002 13,090
Certificates of deposit, bankers’ acceptances
and commercial paper 7,492 8,252
Debt securities issued by non-U.S. governments 38,647 67,921
Corporate debt securities 60,323 53,941
Equity securities 78,546 93,248
Loans 31,802 57,814
Mortgage-backed securities:
Prime 1,725 6,136
Alt-A 787 3,572
Subprime 680 1,459
Non-U.S. residential 805 974
Commercial 2,816 8,256
Asset-backed securities:
Credit card receivables 1,296 321
Automobile loans 722 605
Other consumer loans 1,343 2,675
Commercial and industrial loans 1,604 169
Collateralized debt obligations 3,868 4,879
Other 687 1,026
Physical commodities 3,581 4,490
Other 7,418 6,174
Total debt and equity instruments 347,357 414,273
Derivative receivables:
Interest rate 64,101 36,020
Credit 44,695 22,083
Commodity 14,830 9,419
Foreign exchange 24,715 5,616
Equity 14,285 3,998
Total derivative receivables 162,626 77,136
Total trading assets $ 509,983 $ 491,409
December 31, (in millions) 2008 2007
Trading liabilities
Debt and equity instruments(b) $ 45,274 $ 89,162
Derivative payables:
Interest rate 48,449 25,542
Credit 23,566 11,613
Commodity 11,921 6,942
Foreign exchange 20,352 7,552
Equity 17,316 17,056
Total derivative payables 121,604 68,705
Total trading liabilities $166,878 $157,867
(a) Prior periods have been revised to reflect the current presentation.
(b) Primarily represents securities sold, not yet purchased.