JP Morgan Chase 2010 Annual Report Download - page 180

Notes to consolidated financial statements
180 JPMorgan Chase & Co./2010 Annual Report
Fair value measurements using significant unobservable inputs
Year ended
December 31, 2010
(in millions)
Fair value at
January 1, 2010
Total
realized/
unrealized
gains/(losses)
Purchases,
issuances
settlements, net
Transfers
into and/or
out of
level 3(e)
Fair value at
December 31,
2010
Change in
unrealized
gains/(losses)
related to financial
instruments held at
December 31, 2010
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies
$
260
$
24
$
(107)
$
(3)
$
174
$
(31
)
Residential – nonagency
1,115
178
(564)
(42)
687
110
Commercial – nonagency
1,770
230
(33)
102
2,069
130
Total m
ortgage
-
backed
securities 3,145 432 (704) 57 2,930 209
Obligations of U.S. states and
municipalities 1,971 2 142 142 2,257 (30 )
Non-U.S. government debt securities
734
(132)
140
(45)
697
(10
5
)
Corporate debt securities
5,241
(325)
115
(85)
4,94
6
28
Loans
13,218
(40)
1,296
(1,330)
13,144
(3
85
)
Asset-backed securities
7,975
3
33
(354)
11
7,965
29
2
Total debt instruments
32,284
270
635
(1,250)
31,939
9
Equity securities
1,956
133
(351)
(53)
1,685
199
Other
926
10
(762)
79
253
98
Total debt a
nd equity
instruments 35,166 413(a) (478) (1,224) 33,877 306
(a)
Net derivative receivables:
Interest rate
2,040
3,057
(2,520)
259
2,836
487
Credit
10,350
(1,757)
(3,102)
(105)
5,386
(1,0
48
)
Foreign exchange
1,082
(913)
(434)
(
349
)
(
6
14)
(464
)
Equity
(1,791)
7
(121)
136
(1,769)
(11
)
Commodity
(329)
(700)
134
90
(805)
(76
)
Total net d
erivative
receivables 11,352 (306)(a) (6,043) 31 5,034 (1,112
)(a)
Available-for-sale securities:
Asset-backed securities
12,732
(146)
1,189
—
13,7
75
(
129
)
Other
461
(
49
)
37
63
512
1
8
Total available
-
for
-
sale
securities 13,193 (195)(b) 1,226 63 14,287 (111
)(b)
Loans 990 145
(
a
)
323 8 1,466 37
(a)
Mortgage servicing rights 15,531 (2,268)
(
c
)
386 — 13,649 (2,268
)(c)
Other assets:
Private equity investments 6,563 1,038
(
a
)
715 (454) 7,862 688
(a)
All other 9,521 (113)
(
d
)
(5,132) (97) 4,179 37
(d)
Fair value measurements using significant unobservable inputs
Year ended
December 31, 2010
(in millions)
Fair value at
January 1, 2010
Total
realized/
unrealized
(gains)/losses
Purchases,
issuances
settlements, net
Transfers
into and/or
out of
level 3(e)
Fair value at
December 31,
2010
Change in
unrealized
(gains)/losses
related to financial
instruments held at
December 31, 2010
Liabilities
(f)
:
Deposits $ 476 $ 54
(
a
)
$ (226) $ 329 $ 633 $ (77
)(a)
Other borrowed funds 542 (123)
(
a
)
795 (242) 972 445
(a)
Trading liabilities:
Debt and equity instruments 10 2
(
a
)
19 23 54 —
(a)
Accounts payable and other liabilities 355 (138)
(d)
19 — 236 37
(d)
Beneficial interests issued by
consolidated VIEs 625 (7)(a) 87 168 873
(76
)(a)
Long-term debt 18,287 (532)
(
a
)
(4,796) 85 13,044 662
(a)