JP Morgan Chase 2010 Annual Report Download - page 182

Notes to consolidated financial statements
182 JPMorgan Chase & Co./2010 Annual Report
Fair value measurements using significant unobservable inputs
Year ended
December 31, 2008
(in millions)
Fair value at
January 1, 2008
Total
realized/
unrealized
gains/(losses)
Purchases,
issuances
settlements, net
Transfers
into and/or
out of
level 3(e)
Fair value at
December 31,
2008
Change in
unrealized
gains/(losses)
related to financial
instruments held at
December 31, 2008
Assets:
Trading assets:
Debt and equity instruments $ 24,066 $(12,805)
(
a
)
$ 6,201 $ 23,958 $ 41,420 $ (9,860
)
(
a
)
Total net derivative receivables 633 4,556
(
a
)
2,290 2,028 9,507 1,814
(
a)
Available-for-sale securities 101 (1,232)
(
b
)
3,772 9,750 12,391 (422
)
(
b
)
Loans 8,380 (1,547)
(
a
)
12 (4,178) 2,667 (1,324
)
(
a
)
Mortgage servicing rights 8,632 (6,933)
(
c
)
7,704 — 9,403 (6,933
)
(
c
)
Other assets:
Private equity investments 6,763 (638)
(
a
)
320 (76) 6,369 (1,089
)
(
a
)
All other
(
g
)
5,978 (940)
(
d
)
2,787 289 8,114 (753
)
(
d
)
Fair value measurements using significant unobservable inputs
Year ended
December 31, 2008
(in millions)
Fair value at
January 1, 2008
Total
realized/
unrealized
(gains)/losses
Purchases,
issuances
settlements, net
Transfers
into and/or
out of
level 3(e)
Fair value at
December 31,
2008
Change in
unrealized
(gains)/losses
related to financial
instruments held at
December 31, 2008
Liabilities
(f)
:
Deposits $ 1,161 $ (57)
(
a
)
$ 79 $ 52 $ 1,235 $ (69
)
(
a
)
Other borrowed funds 105 (7)
(
a
)
53 (50) 101 (24
)
(
a
)
Trading liabilities:
Debt and equity instruments 480 (73)
(
a
)
(33) (86) 288 (125
)
(
a
)
Accounts payable and other liabilities 25 (25)
(
a
)
— — — —
Beneficial interests issued by
consolidated VIEs 82 (24)(a) (603) 545 — —
Long-term debt 21,938 (4,502)
(
a
)
(1,717) 829 16,548 (3,682
)
(
a
)
(a) Predominantly reported in principal transactions revenue, except for changes in fair value for Retail Financial Services mortgage loans originated with the intent to sell, which
are reported in mortgage fees and related income.
(b) Realized gains and losses on available-for-sale securities, as well as other-than-temporary impairment losses that are recorded in earnings, are reported in securities gains.
Unrealized gains and losses are reported in other comprehensive income.
(c) Changes in fair value for Retail Financial Services mortgage servicing rights are reported in mortgage fees and related income.
(d) Predominantly reported in other income.
(e) All transfers into and/or out of level 3 are assumed to occur at the beginning of the reporting period.
(f) Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 22%, 29% and
25% at December 31, 2010, 2009 and 2008, respectively.
(g) Includes certain assets that are classified within accrued interest receivable and other assets on the Consolidated Balance Sheet at December 31, 2009 and 2008.
Assets and liabilities measured at fair value on a nonrecurring basis
Certain assets, liabilities and unfunded lending-related commitments are measured at fair value on a nonrecurring basis; that is, they are not meas-
ured at fair value on an ongoing basis but instead are subject to fair value adjustments only in certain circumstances (for example, when there is
evidence of impairment). The following tables present the assets and liabilities carried on the Consolidated Balance Sheets by caption and level
within the valuation hierarchy (as described above) as of December 31, 2010 and 2009, for which a nonrecurring change in fair value has been
recorded during the reporting period.
Fair value hierarchy
December 31, 2010 (in millions) Level 1
(d)
Level 2
(d)
Level 3
(d)
Total fair value
Loans retained
(a)
$ — $ 5,484 $ 690 $ 6,174
Loans held-for-sale
(b)
— 312 3,200 3,512
Total loans
—
5,796
3,890
9,
686
Other real estate owned — 78 311 389
Other assets
—
—
2
2
Total other assets
—
78
313
391
Total assets at fair value on a nonrecurring basis
$
—
$
5,874
$
4,203
$
10,077
Accounts payable and other liabilities
(c)
$ — $ 53 $ 18 $ 71
Total liabilities at fair value on a nonrecurring basis
$
—
$
53
$
18
$
71