JP Morgan Chase 2012 Annual Report Download - page 191

JPMorgan Chase & Co./2012 Annual Report 201
The following table presents the asset and liabilities measured at fair value as of December 31, 2012 and 2011 by major
product category and fair value hierarchy.
Assets and liabilities measured at fair value on a recurring basis
Fair value hierarchy
December 31, 2012 (in millions) Level 1 Level 2 Level 3 Netting Total fair value
Federal funds sold and securities purchased under resale agreements $ — $ 24,258 $ — $ — $ 24,258
Securities borrowed — 10,177 — — 10,177
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a) — 36,240 498 — 36,738
Residential – nonagency — 1,509 663 — 2,172
Commercial – nonagency — 1,565 1,207 — 2,772
Total mortgage-backed securities — 39,314 2,368 — 41,682
U.S. Treasury and government agencies(a) 12,240 10,185 — — 22,425
Obligations of U.S. states and municipalities — 16,726 1,436 — 18,162
Certificates of deposit, bankers’ acceptances and commercial paper — 4,759 — — 4,759
Non-U.S. government debt securities 23,500 45,121 67 — 68,688
Corporate debt securities — 33,384 5,308 — 38,692
Loans(b) — 30,754 10,787 — 41,541
Asset-backed securities — 4,182 3,696 — 7,878
Total debt instruments 35,740 184,425 23,662 — 243,827
Equity securities 106,898 2,687 1,114 — 110,699
Physical commodities(c) 10,107 6,066 — — 16,173
Other — 3,483 863 — 4,346
Total debt and equity instruments(d) 152,745 196,661 25,639 — 375,045
Derivative receivables:
Interest rate 476 1,322,155 6,617 (1,290,043) 39,205
Credit — 93,821 6,489 (98,575) 1,735
Foreign exchange 450 144,758 3,051 (134,117) 14,142
Equity — 36,017 4,921 (31,672) 9,266
Commodity 316 41,129 2,180 (32,990) 10,635
Total derivative receivables(e) 1,242 1,637,880 23,258 (1,587,397) 74,983
Total trading assets 153,987 1,834,541 48,897 (1,587,397) 450,028
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a) — 98,388 — — 98,388
Residential – nonagency — 74,189 450 — 74,639
Commercial – nonagency — 12,948 255 — 13,203
Total mortgage-backed securities — 185,525 705 — 186,230
U.S. Treasury and government agencies(a) 8,907 3,223 — — 12,130
Obligations of U.S. states and municipalities 35 21,489 187 — 21,711
Certificates of deposit — 2,783 — — 2,783
Non-U.S. government debt securities 41,218 24,826 — — 66,044
Corporate debt securities — 38,609 — — 38,609
Asset-backed securities:
Collateralized loan obligations — — 27,896 — 27,896
Other — 12,843 128 — 12,971
Equity securities 2,733 38 — — 2,771
Total available-for-sale securities 52,893 289,336 28,916 — 371,145
Loans — 273 2,282 — 2,555
Mortgage servicing rights — — 7,614 — 7,614
Other assets:
Private equity investments(f) 578 — 7,181 — 7,759
All other 4,188 253 4,258 — 8,699
Total other assets 4,766 253 11,439 — 16,458
Total assets measured at fair value on a recurring basis $ 211,646 $ 2,158,838 (g) $ 99,148 (g) $ (1,587,397) $ 882,235
Deposits $ — $ 3,750 $ 1,983 $ — $ 5,733
Federal funds purchased and securities loaned or sold under repurchase agreements — 4,388 — — 4,388
Other borrowed funds — 9,972 1,619 — 11,591
Trading liabilities:
Debt and equity instruments(d) 46,580 14,477 205 — 61,262
Derivative payables:
Interest rate 490 1,283,829 3,295 (1,262,708) 24,906
Credit — 95,411 4,616 (97,523) 2,504
Foreign exchange 428 156,413 4,801 (143,041) 18,601
Equity — 36,083 6,727 (30,991) 11,819
Commodity 176 45,363 1,926 (34,639) 12,826
Total derivative payables(e) 1,094 1,617,099 21,365 (1,568,902) 70,656
Total trading liabilities 47,674 1,631,576 21,570 (1,568,902) 131,918
Accounts payable and other liabilities — — 36 — 36
Beneficial interests issued by consolidated VIEs — 245 925 — 1,170
Long-term debt — 22,312 8,476 — 30,788
Total liabilities measured at fair value on a recurring basis $ 47,674 $ 1,672,243 $ 34,609 $ (1,568,902) $ 185,624