JP Morgan Chase 2015 Annual Report Download - page 206

Notes to consolidated financial statements
196 JPMorgan Chase & Co./2015 Annual Report
Fair value measurements using significant unobservable inputs
Year ended
December 31, 2015
(in millions)
Fair value
at January
1, 2015
Total
realized/
unrealized
gains/
(losses)
Transfers into
and/or out of
level 3(i)
Fair value
at Dec.
31, 2015
Change in
unrealized gains/
(losses) related
to financial
instruments held
at Dec. 31, 2015Purchases(g) Sales Settlements(h)
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies $ 922 $ (28) $ 327 $ (303) $ (132) $ (71) $ 715 $ (27)
Residential – nonagency 663 130 253 (611) (23) (218) 194 4
Commercial – nonagency 306 (14) 246 (262) (22) (139) 115 (5)
Total mortgage-backed securities 1,891 88 826 (1,176) (177) (428) 1,024 (28)
Obligations of U.S. states and
municipalities 1,273 14 352 (133) (27) (828) 651 (1)
Non-U.S. government debt
securities 302 9 205 (123) (64) (255) 74 (16)
Corporate debt securities 2,989 (77) 1,171 (1,038) (125) (2,184) 736 2
Loans 13,287 (174) 3,532 (4,661) (3,112) (2,268) 6,604 (181)
Asset-backed securities 1,264 (41) 1,920 (1,229) (35) (47) 1,832 (32)
Total debt instruments 21,006 (181) 8,006 (8,360) (3,540) (6,010) 10,921 (256)
Equity securities 431 96 89 (193) (26) (132) 265 82
Physical commodities 2(2) — — — — — —
Other 1,050 119 1,581 (1,313) 192 (885) 744 85
Total trading assets – debt and
equity instruments 22,489 32 (c) 9,676 (9,866) (3,374) (7,027) 11,930 (89) (c)
Net derivative receivables:(a)
Interest rate 626 962 513 (173) (732) (320) 876 263
Credit 189 118 129 (136) 165 84 549 260
Foreign exchange (526) 657 19 (149) (296) (430) (725) 49
Equity (1,785) 731 890 (1,262) (158) 70 (1,514) 5
Commodity (565) (856) 1 (24) 512 (3) (935) (41)
Total net derivative receivables (2,061) 1,612 (c) 1,552 (1,744) (509) (599) (1,749) 536 (c)
Available-for-sale securities:
Asset-backed securities 908 (32) 51 (43) (61) — 823 (28)
Other 129 — — — (29) (99) 1 —
Total available-for-sale securities 1,037 (32) (d) 51 (43) (90) (99) 824 (28) (d)
Loans 2,541 (133) (c) 1,290 (92) (1,241) (847) 1,518 (32) (c)
Mortgage servicing rights 7,436 (405) (e) 985 (486) (922) — 6,608 (405) (e)
Other assets:
Private equity investments 2,225 (120) (c) 281 (362) (187) (180) 1,657 (304) (c)
All other 959 91 (f) 65 (147) (224) — 744 15 (f)
Fair value measurements using significant unobservable inputs
Year ended
December 31, 2015
(in millions)
Fair value
at January
1, 2015
Total
realized/
unrealized
(gains)/
losses
Transfers into
and/or out of
level 3(i)
Fair value
at Dec.
31, 2015
Change in
unrealized
(gains)/losses
related to
financial
instruments held
at Dec. 31, 2015Purchases(g) Sales Issuances Settlements(h)
Liabilities:(b)
Deposits $ 2,859 $ (39) (c) $ — $ — $ 1,993 $ (850) $ (1,013) $ 2,950 $ (29) (c)
Other borrowed funds 1,453 (697) (c) — — 3,334 (2,963) (488) 639 (57) (c)
Trading liabilities – debt and equity
instruments 72 15 (c) (163) 160 — (17) (4) 63 (4) (c)
Accounts payable and other liabilities 26 — — — — (7) — 19 —
Beneficial interests issued by
consolidated VIEs 1,146 (82) (c) — — 286 (574) (227) 549 (63) (c)
Long-term debt 11,877 (480) (c) (58) — 9,359 (6,299) (2,786) 11,613 385 (c)