JP Morgan Chase 2015 Annual Report Download - page 200

Notes to consolidated financial statements
190 JPMorgan Chase & Co./2015 Annual Report
Fair value hierarchy
December 31, 2014 (in millions) Level 1 Level 2 Level 3
Derivative
netting
adjustments Total fair value
Federal funds sold and securities purchased under resale agreements $ — $ 28,585 $ — $ — $ 28,585
Securities borrowed — 992 — — 992
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a) 14 31,904 922 — 32,840
Residential – nonagency — 1,381 663 — 2,044
Commercial – nonagency — 927 306 — 1,233
Total mortgage-backed securities 14 34,212 1,891 — 36,117
U.S. Treasury and government agencies(a) 17,816 8,460 — — 26,276
Obligations of U.S. states and municipalities — 9,298 1,273 — 10,571
Certificates of deposit, bankers’ acceptances and commercial paper — 1,429 — — 1,429
Non-U.S. government debt securities 25,854 27,294 302 — 53,450
Corporate debt securities — 28,099 2,989 — 31,088
Loans(b) — 23,080 13,287 — 36,367
Asset-backed securities — 3,088 1,264 — 4,352
Total debt instruments 43,684 134,960 21,006 — 199,650
Equity securities 104,890 624 431 — 105,945
Physical commodities(c) 2,739 1,741 2 — 4,482
Other — 8,762 1,050 — 9,812
Total debt and equity instruments(d) 151,313 146,087 22,489 — 319,889
Derivative receivables:
Interest rate 473 945,635 (g) 4,149 (916,532) (g) 33,725
Credit — 73,853 2,989 (75,004) 1,838
Foreign exchange 758 212,153 (g) 2,276 (193,934) (g) 21,253
Equity — 39,937 (g) 2,552 (34,312) (g) 8,177
Commodity 247 42,807 599 (29,671) 13,982
Total derivative receivables(e) 1,478 1,314,385 (g) 12,565 (1,249,453) (g) 78,975
Total trading assets 152,791 1,460,472 (g) 35,054 (1,249,453) (g) 398,864
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a) — 65,319 — — 65,319
Residential – nonagency — 50,865 30 — 50,895
Commercial – nonagency — 21,009 99 — 21,108
Total mortgage-backed securities — 137,193 129 — 137,322
U.S. Treasury and government agencies(a) 13,591 54 — — 13,645
Obligations of U.S. states and municipalities — 30,068 — — 30,068
Certificates of deposit — 1,103 — — 1,103
Non-U.S. government debt securities 24,074 28,669 — — 52,743
Corporate debt securities — 18,532 — — 18,532
Asset-backed securities:
Collateralized loan obligations — 29,402 792 — 30,194
Other — 12,499 116 — 12,615
Equity securities 2,530 — — — 2,530
Total available-for-sale securities 40,195 257,520 1,037 — 298,752
Loans — 70 2,541 — 2,611
Mortgage servicing rights — — 7,436 — 7,436
Other assets:
Private equity investments(f) 648 2,624 2,225 — 5,497
All other 4,018 17 959 — 4,994
Total other assets 4,666 2,641 3,184 — 10,491
Total assets measured at fair value on a recurring basis $ 197,652 $ 1,750,280 (g) $ 49,252 $ (1,249,453) (g) $ 747,731
Deposits $ — $ 5,948 $ 2,859 $ — $ 8,807
Federal funds purchased and securities loaned or sold under repurchase agreements — 2,979 — — 2,979
Other borrowed funds — 13,286 1,453 — 14,739
Trading liabilities:
Debt and equity instruments(d) 62,914 18,713 72 — 81,699
Derivative payables:
Interest rate 499 914,357 (g) 3,523 (900,634) (g) 17,745
Credit — 73,095 2,800 (74,302) 1,593
Foreign exchange 746 221,066 (g) 2,802 (201,644) (g) 22,970
Equity — 41,925 (g) 4,337 (34,522) (g) 11,740
Commodity 141 44,318 1,164 (28,555) 17,068
Total derivative payables(e) 1,386 1,294,761 (g) 14,626 (1,239,657) (g) 71,116
Total trading liabilities 64,300 1,313,474 (g) 14,698 (1,239,657) (g) 152,815
Accounts payable and other liabilities (g) 4,129 — 26 — 4,155
Beneficial interests issued by consolidated VIEs — 1,016 1,146 — 2,162
Long-term debt — 18,349 11,877 — 30,226
Total liabilities measured at fair value on a recurring basis $ 68,429 $ 1,355,052 (g) $ 32,059 $ (1,239,657) (g) $ 215,883
Note: Effective April 1, 2015, the Firm adopted new accounting guidance for investments in certain entities that calculate net asset value per share (or its equivalent). As a result of the
adoption of this new guidance, certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be
classified in the fair value hierarchy. At December 31, 2015 and 2014, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other
funds, were $1.2 billion and $1.5 billion, respectively, of which $337 million and $1.2 billion had been previously classified in level 2 and level 3, respectively, at December 31, 2014.
Included on the Firm’s balance sheet at December 31, 2015 and 2014, were trading assets of $61 million and $124 million, respectively, and other assets of $1.2 billion and $1.4 billion,
respectively. The guidance was required to be applied retrospectively, and accordingly, prior period amounts have been revised to conform with the current period presentation.