GE 2014 Annual Report Download - page 217

GE 2014 FORM 10-K 197
FINANCIAL STATEMENTS FAIR VALUE MEASUREMENTS
ASSETS AND LIABILITIES MEASURED AT FAIR VALUE ON A RECURRING BASIS
Netting
(In millions) Level 1(a) Level 2(a) Level 3 adjustment(b) Net balance
December 31, 2014
Assets
Investment securities
Debt
U.S. corporate $ - $ 20,659 $ 3,140 $ - $ 23,799
State and municipal - 5,171 578 - 5,749
Residential mortgage-backed - 1,709 16 - 1,725
Commercial mortgage-backed - 3,054 9 - 3,063
Asset-backed(c) - 343 7,575 - 7,918
Corporate – non-U.S. - 681 796 - 1,477
Government – non-U.S. 56 1,738 2 - 1,796
U.S. government and federal agency - 1,747 266 - 2,013
Retained interests - - 24 - 24
Equity
Available-for-sale 293 19 9 - 321
Trading 20 2 - - 22
Derivatives(d) - 10,038 144 (7,605) 2,577
Other(e) - - 324 - 324
Total $ 369 $ 45,161 $ 12,883 $ (7,605) $ 50,808
Liabilities
Derivatives $ - $ 4,971 $ 18 $ (4,407) $ 582
Other(f) - 1,180 - - 1,180
Total $ - $ 6,151 $ 18 $ (4,407) $ 1,762
December 31, 2013
Assets
Investment securities
Debt
U.S. corporate $ - $ 18,788 $ 2,953 $ - $ 21,741
State and municipal - 4,193 96 - 4,289
Residential mortgage-backed - 1,824 86 - 1,910
Commercial mortgage-backed - 3,025 10 - 3,035
Asset-backed(c) - 489 6,898 - 7,387
Corporate – non-U.S. 61 645 1,064 - 1,770
Government – non-U.S. 1,590 789 31 - 2,410
U.S. government and federal agency - 545 225 - 770
Retained interests - - 72 - 72
Equity
Available-for-sale 475 31 11 - 517
Trading 78 2 - - 80
Derivatives(d) - 8,304 175 (6,739) 1,740
Other(e) - - 494 - 494
Total $ 2,204 $ 38,635 $ 12,115 $ (6,739) $ 46,215
Liabilities
Derivatives $ - $ 5,409 $ 20 $ (4,355) $ 1,074
Other(f) - 1,170 - - 1,170
Total $ - $ 6,579 $ 20 $ (4,355) $ 2,244
(a) Included $487 million of Government – non-U.S. and $13 million of Corporate – non-U.S. available-for-sale debt securities transferred from Level 1 to Level 2 primarily
attributable to changes in market observable data during 2014. The fair value of securities transferred between Level 1 and Level 2 was $2 million during 2013.
(b) The netting of derivative receivables and payables (including the effects of any collateral posted or received) is permitted when a legally enforceable master netting
agreement exists.
(c) Includes investments in our CLL business in asset-backed securities collateralized by senior secured loans of high-quality, middle-market companies in a variety of
industries.
(d) The fair value of derivatives includes an adjustment for non-performance risk. The cumulative adjustment was a gain (loss) of $9 million and $(7) million at December 31,
2014 and 2013, respectively. See Note 22 for additional information on the composition of our derivative portfolio.
(e) Includes private equity investments and loans designated under the fair value option.
(f) Primarily represented the liability associated with certain of our deferred incentive compensation plans.