v2.4.1.9
|
Derivative Instruments (Tables)
|
12 Months Ended |
|
|
| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
| Schedule of uses and disclosure of derivatives |
The following table outlines the Firm’s primary uses of derivatives and the related hedge accounting designation or disclosure category. | | | | | | Type of Derivative | Use of Derivative | Designation and disclosure | Affected segment or unit | Page reference | Manage specifically identified risk exposures in qualifying hedge accounting relationships: | | | | ◦ Interest rate | Hedge fixed rate assets and liabilities | Fair value hedge | Corporate | 211 | ◦ Interest rate | Hedge floating rate assets and liabilities | Cash flow hedge | Corporate | 212 | | Hedge foreign currency-denominated assets and liabilities | Fair value hedge | Corporate | 211 | | Hedge forecasted revenue and expense | Cash flow hedge | Corporate | 212 | | Hedge the value of the Firm’s investments in non-U.S. subsidiaries | Net investment hedge | Corporate | 213 | | Hedge commodity inventory | Fair value hedge | CIB | 211 | Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships: | | | | | Manage the risk of the mortgage pipeline, warehouse loans and MSRs | Specified risk management | CCB | 213 | | Manage the credit risk of wholesale lending exposures | Specified risk management | CIB | 213 | | Manage the risk of certain commodities-related contracts and investments | Specified risk management | CIB | 213 | ◦ Interest rate and foreign exchange | Manage the risk of certain other specified assets and liabilities | Specified risk management | Corporate | 213 | Market-making derivatives and other activities: | | | | | Market-making and related risk management | Market-making and other | CIB | 213 | | Other derivatives(a) | Market-making and other | CIB, Corporate | 213 |
| | (a) | Other derivatives included the synthetic credit portfolio. The synthetic credit portfolio was a portfolio of index credit derivatives, including short and long positions, that was originally held by CIO. On July 2, 2012, CIO transferred the synthetic credit portfolio, other than a portion that aggregated to a notional amount of approximately $12 billion, to CIB; these retained positions were effectively closed out during the third quarter of 2012. CIB effectively sold the positions that had been transferred to it by the end of 2014. The results of the synthetic credit portfolio, including the portion transferred to CIB, have been included in the gains and losses on derivatives related to market-making activities and other derivatives category discussed on page 213 of this Note. |
|
| Notional amount of derivative contracts |
| | | | | | | | | Notional amounts(c) | December 31, (in billions) | 2014 |
| 2013 |
| | | | Swaps | $ | 29,734 |
| $ | 35,221 |
| Futures and forwards(a) | 10,189 |
| 11,238 |
| Written options(a) | 3,903 |
| 4,059 |
| Purchased options | 4,259 |
| 4,187 |
| | 48,085 |
| 54,705 |
| Credit derivatives(a)(b) | 4,249 |
| 5,331 |
| | | |
| Cross-currency swaps | 3,346 |
| 3,488 |
| Spot, futures and forwards | 4,669 |
| 3,773 |
| Written options | 790 |
| 659 |
| Purchased options | 780 |
| 652 |
| | 9,585 |
| 8,572 |
| | | | Swaps(a) | 206 |
| 187 |
| Futures and forwards(a) | 50 |
| 50 |
| Written options | 432 |
| 425 |
| Purchased options | 375 |
| 380 |
| | 1,063 |
| 1,042 |
| | | |
| Swaps | 126 |
| 124 |
| Spot, futures and forwards | 193 |
| 234 |
| Written options | 181 |
| 202 |
| Purchased options | 180 |
| 203 |
| | 680 |
| 763 |
| Total derivative notional amounts | $ | 63,662 |
| $ | 70,413 |
|
| | (a) | The prior period amounts have been revised. This revision had no impact on the Firm’s Consolidated balance sheets or its results of operations. |
| | (b) | For more information on volumes and types of credit derivative contracts, see the Credit derivatives discussion on pages 213–215 of this Note. |
| | (c) | Represents the sum of gross long and gross short third-party notional derivative contracts. |
|
| Impact of derivatives on the Consolidated Balance Sheets |
The following table summarizes information on derivative receivables and payables (before and after netting adjustments) that are reflected on the Firm’s Consolidated balance sheets as of December 31, 2014 and 2013, by accounting designation (e.g., whether the derivatives were designated in qualifying hedge accounting relationships or not) and contract type. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Free-standing derivative receivables and payables(a) | | | | | | | | | | Gross derivative receivables | | | | Gross derivative payables | | | (in millions) | Not designated as hedges | Designated as hedges | Total derivative receivables | | Net derivative receivables(b) | | Not designated as hedges | Designated as hedges | Total derivative payables | | Net derivative payables(b) | Trading assets and liabilities | | | | | | | | | | | | | Interest rate | $ | 951,151 |
| $ | 5,372 |
| | $ | 956,523 |
| | $ | 33,725 |
| | $ | 921,634 |
| $ | 3,011 |
| $ | 924,645 |
| | $ | 17,745 |
| Credit | 76,842 |
| — |
| | 76,842 |
| | 1,838 |
| | 75,895 |
| — |
| 75,895 |
| | 1,593 |
| Foreign exchange | 205,271 |
| 3,650 |
| | 208,921 |
| | 21,253 |
| | 217,722 |
| 626 |
| 218,348 |
| | 22,970 |
| Equity | 46,792 |
| — |
| | 46,792 |
| | 8,177 |
| | 50,565 |
| — |
| 50,565 |
| | 11,740 |
| Commodity | 43,151 |
| 502 |
| | 43,653 |
| | 13,982 |
| | 45,455 |
| 168 |
| 45,623 |
| | 17,068 |
| Total fair value of trading assets and liabilities | $ | 1,323,207 |
| $ | 9,524 |
| | $ | 1,332,731 |
| | $ | 78,975 |
| | $ | 1,311,271 |
| $ | 3,805 |
| $ | 1,315,076 |
| | $ | 71,116 |
| | | | | | | | | | | | | | | Gross derivative receivables | | | | Gross derivative payables | | | (in millions) | Not designated as hedges | Designated as hedges | Total derivative receivables | | Net derivative receivables(b) | | Not designated as hedges | Designated as hedges | Total derivative payables | | Net derivative payables(b) | Trading assets and liabilities | | | | | | | | | | | | | Interest rate | $ | 851,189 |
| $ | 3,490 |
| | $ | 854,679 |
| | $ | 25,782 |
| | $ | 820,811 |
| $ | 4,543 |
| $ | 825,354 |
| | $ | 13,283 |
| Credit | 83,520 |
| — |
| | 83,520 |
| | 1,516 |
| | 82,402 |
| — |
| 82,402 |
| | 2,281 |
| Foreign exchange | 152,240 |
| 1,359 |
| | 153,599 |
| | 16,790 |
| | 158,728 |
| 1,397 |
| 160,125 |
| | 15,947 |
| Equity | 52,931 |
| — |
| | 52,931 |
| | 12,227 |
| | 54,654 |
| — |
| 54,654 |
| | 14,719 |
| Commodity | 34,344 |
| 1,394 |
| | 35,738 |
| | 9,444 |
| | 37,605 |
| 9 |
| 37,614 |
| | 11,084 |
| Total fair value of trading assets and liabilities | $ | 1,174,224 |
| $ | 6,243 |
| | $ | 1,180,467 |
| | $ | 65,759 |
| | $ | 1,154,200 |
| $ | 5,949 |
| $ | 1,160,149 |
| | $ | 57,314 |
|
| | (a) | Balances exclude structured notes for which the fair value option has been elected. See Note 4 for further information. |
| | (b) | As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral receivables and payables when a legally enforceable master netting agreement exists. |
|
| Offsetting assets |
The following table presents, as of December 31, 2014 and 2013, the gross and net derivative receivables by contract and settlement type. Derivative receivables have been netted on the Consolidated balance sheets against derivative payables and cash collateral payables to the same counterparty with respect to derivative contracts for which the Firm has obtained an appropriate legal opinion with respect to the master netting agreement. Where such a legal opinion has not been either sought or obtained, the receivables are not eligible under U.S. GAAP for netting on the Consolidated balance sheets, and are shown separately in the table below. | | | | | | | | | | | | | | | | | | | | | | | | | 2014 | | 2013 | December 31, (in millions) | Gross derivative receivables | Amounts netted on the Consolidated balance sheets | Net derivative receivables | | Gross derivative receivables | Amounts netted on the Consolidated balance sheets | Net derivative receivables | U.S. GAAP nettable derivative receivables | | | | | | | | | | | | | | | | | | | | OTC | $ | 548,373 |
| $ | (521,180 | ) | | $ | 27,193 |
| | $ | 486,449 |
| $ | (466,493 | ) | | $ | 19,956 |
| OTC–cleared | 401,656 |
| (401,618 | ) | | 38 |
| | 362,426 |
| (362,404 | ) | | 22 |
| Exchange-traded(a) | — |
| — |
| | — |
| | — |
| — |
| | — |
| | 950,029 |
| (922,798 | ) | | 27,231 |
| | 848,875 |
| (828,897 | ) | | 19,978 |
| | | | | | | | | | | OTC | 66,636 |
| (65,720 | ) | | 916 |
| | 66,269 |
| (65,725 | ) | | 544 |
| OTC–cleared | 9,320 |
| (9,284 | ) | | 36 |
| | 16,841 |
| (16,279 | ) | | 562 |
| | 75,956 |
| (75,004 | ) | | 952 |
| | 83,110 |
| (82,004 | ) | | 1,106 |
| | | | | | | | | | | OTC | 202,537 |
| (187,634 | ) | | 14,903 |
| | 148,953 |
| (136,763 | ) | | 12,190 |
| OTC–cleared | 36 |
| (34 | ) | | 2 |
| | 46 |
| (46 | ) | | — |
| Exchange-traded(a) | — |
| — |
| | — |
| | — |
| — |
| | — |
| | 202,573 |
| (187,668 | ) | | 14,905 |
| | 148,999 |
| (136,809 | ) | | 12,190 |
| | | | | | | | | | | OTC | 23,258 |
| (22,826 | ) | | 432 |
| | 31,870 |
| (29,289 | ) | | 2,581 |
| OTC–cleared | — |
| — |
| | — |
| | — |
| — |
| | — |
| Exchange-traded(a) | 18,143 |
| (15,789 | ) | | 2,354 |
| | 17,732 |
| (11,415 | ) | | 6,317 |
| | 41,401 |
| (38,615 | ) | | 2,786 |
| | 49,602 |
| (40,704 | ) | | 8,898 |
| | | | | | | | | | | OTC | 22,555 |
| (14,327 | ) | | 8,228 |
| | 21,619 |
| (15,082 | ) | | 6,537 |
| OTC–cleared | — |
| — |
| | — |
| | — |
| — |
| | — |
| Exchange-traded(a) | 19,500 |
| (15,344 | ) | | 4,156 |
| | 12,528 |
| (11,212 | ) | | 1,316 |
| | 42,055 |
| (29,671 | ) | | 12,384 |
| | 34,147 |
| (26,294 | ) | | 7,853 |
| Derivative receivables with appropriate legal opinion | $ | 1,312,014 |
| $ | (1,253,756 | ) | (b) | $ | 58,258 |
| | $ | 1,164,733 |
| $ | (1,114,708 | ) | (b) | $ | 50,025 |
| Derivative receivables where an appropriate legal opinion has not been either sought or obtained | 20,717 |
| | | 20,717 |
| | 15,734 |
| | | 15,734 |
| Total derivative receivables recognized on the Consolidated balance sheets | $ | 1,332,731 |
| | | $ | 78,975 |
| | $ | 1,180,467 |
| | | $ | 65,759 |
|
| | (a) | Exchange-traded derivative amounts that relate to futures contracts are settled daily. |
| | (b) | Included cash collateral netted of $74.0 billion and $63.9 billion at December 31, 2014, and 2013, respectively. |
|
| Offsetting liabilities |
The following table presents, as of December 31, 2014 and 2013, the gross and net derivative payables by contract and settlement type. Derivative payables have been netted on the Consolidated balance sheets against derivative receivables and cash collateral receivables from the same counterparty with respect to derivative contracts for which the Firm has obtained an appropriate legal opinion with respect to the master netting agreement. Where such a legal opinion has not been either sought or obtained, the payables are not eligible under U.S. GAAP for netting on the Consolidated balance sheets, and are shown separately in the table below. | | | | | | | | | | | | | | | | | | | | | | | | | 2014 | | 2013 | December 31, (in millions) | Gross derivative payables | Amounts netted on the Consolidated balance sheets | Net derivative payables | | Gross derivative payables | Amounts netted on the Consolidated balance sheets | Net derivative payables | U.S. GAAP nettable derivative payables | | | | | | | | | | | | | | | | | | | | OTC | $ | 522,170 |
| $ | (509,650 | ) | | $ | 12,520 |
| | $ | 467,850 |
| $ | (458,081 | ) | | $ | 9,769 |
| OTC–cleared | 398,518 |
| (397,250 | ) | | 1,268 |
| | 354,698 |
| (353,990 | ) | | 708 |
| Exchange-traded(a) | — |
| — |
| | — |
| | — |
| — |
| | — |
| | 920,688 |
| (906,900 | ) | | 13,788 |
| | 822,548 |
| (812,071 | ) | | 10,477 |
| | | | | | | | | | | OTC | 65,432 |
| (64,904 | ) | | 528 |
| | 65,223 |
| (63,671 | ) | | 1,552 |
| OTC–cleared | 9,398 |
| (9,398 | ) | | — |
| | 16,506 |
| (16,450 | ) | | 56 |
| | 74,830 |
| (74,302 | ) | | 528 |
| | 81,729 |
| (80,121 | ) | | 1,608 |
| | | | | | | | | | | OTC | 211,732 |
| (195,312 | ) | | 16,420 |
| | 155,110 |
| (144,119 | ) | | 10,991 |
| OTC–cleared | 66 |
| (66 | ) | | — |
| | 61 |
| (59 | ) | | 2 |
| Exchange-traded(a) | — |
| — |
| | — |
| | — |
| — |
| | — |
| | 211,798 |
| (195,378 | ) | | 16,420 |
| | 155,171 |
| (144,178 | ) | | 10,993 |
| | | | | | | | | | | OTC | 27,908 |
| (23,036 | ) | | 4,872 |
| | 33,295 |
| (28,520 | ) | | 4,775 |
| OTC–cleared | — |
| — |
| | — |
| | — |
| — |
| | — |
| Exchange-traded(a) | 17,167 |
| (15,789 | ) | | 1,378 |
| | 17,349 |
| (11,415 | ) | | 5,934 |
| | 45,075 |
| (38,825 | ) | | 6,250 |
| | 50,644 |
| (39,935 | ) | | 10,709 |
| | | | | | | | | | | OTC | 25,129 |
| (13,211 | ) | | 11,918 |
| | 21,993 |
| (15,318 | ) | | 6,675 |
| OTC–cleared | — |
| — |
| | — |
| | — |
| — |
| | — |
| Exchange-traded(a) | 18,486 |
| (15,344 | ) | | 3,142 |
| | 12,367 |
| (11,212 | ) | | 1,155 |
| | 43,615 |
| (28,555 | ) | | 15,060 |
| | 34,360 |
| (26,530 | ) | | 7,830 |
| Derivative payables with appropriate legal opinions | $ | 1,296,006 |
| $ | (1,243,960 | ) | (b) | $ | 52,046 |
| | $ | 1,144,452 |
| $ | (1,102,835 | ) | (b) | $ | 41,617 |
| Derivative payables where an appropriate legal opinion has not been either sought or obtained | 19,070 |
| | | 19,070 |
| | 15,697 |
| | | 15,697 |
| Total derivative payables recognized on the Consolidated balance sheets | $ | 1,315,076 |
| | | $ | 71,116 |
| | $ | 1,160,149 |
| | | $ | 57,314 |
|
| | (a) | Exchange-traded derivative balances that relate to futures contracts are settled daily. |
| | (b) | Included cash collateral netted of $64.2 billion and $52.1 billion related to OTC and OTC-cleared derivatives at December 31, 2014, and 2013, respectively. |
|
| Current credit risk of derivative receivables and liquidity risk of derivative payables |
The following tables present information regarding certain financial instrument collateral received and transferred as of December 31, 2014 and 2013, that is not eligible for net presentation under U.S. GAAP. The collateral included in these tables relates only to the derivative instruments for which appropriate legal opinions have been obtained; excluded are (i) additional collateral that exceeds the fair value exposure and (ii) all collateral related to derivative instruments where an appropriate legal opinion has not been either sought or obtained. | | | | | | | | | | | | | | | | | | | | | | | Derivative receivable collateral | | | | | | | 2014 | | 2013 | December 31, (in millions) | Net derivative receivables | Collateral not nettable on the Consolidated balance sheets | | Net exposure | | Net derivative receivables | Collateral not nettable on the Consolidated balance sheets | | Net exposure | Derivative receivables with appropriate legal opinions | $ | 58,258 |
| $ | (16,194 | ) | (a) | $ | 42,064 |
| | $ | 50,025 |
| $ | (12,414 | ) | (a) | $ | 37,611 |
|
| | | | | | | | | | | | | | | | | | | | | | | Derivative payable collateral(b) | | | | | | | 2014 | | 2013 | December 31, (in millions) | Net derivative payables | Collateral not nettable on the Consolidated balance sheets | | Net amount(c) | | Net derivative payables | Collateral not nettable on the Consolidated balance sheets | | Net amount(c) | Derivative payables with appropriate legal opinions | $ | 52,046 |
| $ | (10,505 | ) | (a) | $ | 41,541 |
| | $ | 41,617 |
| $ | (6,873 | ) | (a) | $ | 34,744 |
|
| | (a) | Represents liquid security collateral as well as cash collateral held at third party custodians. For some counterparties, the collateral amounts of financial instruments may exceed the derivative receivables and derivative payables balances. Where this is the case, the total amount reported is limited to the net derivative receivables and net derivative payables balances with that counterparty. |
| | (b) | Derivative payable collateral relates only to OTC and OTC-cleared derivative instruments. Amounts exclude collateral transferred related to exchange-traded derivative instruments. |
| | (c) | Net amount represents exposure of counterparties to the Firm. |
The following table shows the aggregate fair value of net derivative payables related to OTC and OTC-cleared derivatives that contain contingent collateral or termination features that may be triggered upon a ratings downgrade, and the associated collateral the Firm has posted in the normal course of business, at December 31, 2014 and 2013. | | | | | | | | OTC and OTC-cleared derivative payables containing downgrade triggers | December 31, (in millions) | 2014 | 2013 | Aggregate fair value of net derivative payables | $ | 32,303 |
| $ | 24,631 |
| Collateral posted | 27,585 |
| 20,346 |
|
The following table shows the impact of a single-notch and two-notch downgrade of the long-term issuer ratings of JPMorgan Chase & Co. and its subsidiaries, predominantly JPMorgan Chase Bank, National Association (“JPMorgan Chase Bank, N.A.”), at December 31, 2014 and 2013, related to OTC and OTC-cleared derivative contracts with contingent collateral or termination features that may be triggered upon a ratings downgrade. Derivatives contracts generally require additional collateral to be posted or terminations to be triggered when the predefined threshold rating is breached. A downgrade by a single rating agency that does not result in a rating lower than a preexisting corresponding rating provided by another major rating agency will generally not result in additional collateral, except in certain instances in which additional initial margin may be required upon a ratings downgrade, or termination payment requirements. The liquidity impact in the table is calculated based upon a downgrade below the lowest current rating of the rating agencies referred to in the derivative contract.
| | | | | | | | | | | | | | | Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives | | | | | | | 2014 | | 2013 | December 31, (in millions) | Single-notch downgrade | Two-notch downgrade | | Single-notch downgrade | Two-notch downgrade | Amount of additional collateral to be posted upon downgrade(a) | $ | 1,046 |
| $ | 3,331 |
| | $ | 952 |
| $ | 3,244 |
| Amount required to settle contracts with termination triggers upon downgrade(b) | 366 |
| 1,388 |
| | 540 |
| 876 |
|
| | (a) | Includes the additional collateral to be posted for initial margin. |
| | (b) | Amounts represent fair value of derivative payables, and do not reflect collateral posted. |
|
| Fair value hedge gains and losses |
The following tables present derivative instruments, by contract type, used in fair value hedge accounting relationships, as well as pretax gains/(losses) recorded on such derivatives and the related hedged items for the years ended December 31, 2014, 2013 and 2012, respectively. The Firm includes gains/(losses) on the hedging derivative and the related hedged item in the same line item in the Consolidated statements of income. | | | | | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income | | Income statement impact due to: | | Derivatives | Hedged items | Total income statement impact | | Hedge ineffectiveness(d) | Excluded components(e) | | | | | | | | | | | Interest rate(a) | $ | 2,106 |
| | $ | (801 | ) | | $ | 1,305 |
| | $ | 131 |
| | $ | 1,174 |
| Foreign exchange(b) | 8,279 |
| | (8,532 | ) | | (253 | ) | | — |
| | (253 | ) | Commodity(c) | 49 |
| | 145 |
| | 194 |
| | 42 |
| | 152 |
| Total | $ | 10,434 |
| | $ | (9,188 | ) | | $ | 1,246 |
| | $ | 173 |
| | $ | 1,073 |
| | | | | | | | | | | | Gains/(losses) recorded in income | | Income statement impact due to: | | Derivatives | Hedged items | Total income statement impact | | Hedge ineffectiveness(d) | Excluded components(e) | | | | | | | | | | | Interest rate(a) | $ | (3,469 | ) | | $ | 4,851 |
| | $ | 1,382 |
| | $ | (132 | ) | | $ | 1,514 |
| Foreign exchange(b) | (1,096 | ) | | 864 |
| | (232 | ) | | — |
| | (232 | ) | Commodity(c) | 485 |
| | (1,304 | ) | | (819 | ) | | 38 |
| | (857 | ) | Total | $ | (4,080 | ) | | $ | 4,411 |
| | $ | 331 |
| | $ | (94 | ) | | $ | 425 |
| | | | | | | | | | | | Gains/(losses) recorded in income | | Income statement impact due to: | | Derivatives | Hedged items | Total income statement impact | | Hedge ineffectiveness(d) | Excluded components(e) | | | | | | | | | | | Interest rate(a) | $ | (1,238 | ) | | $ | 1,879 |
| | $ | 641 |
| | $ | (28 | ) | | $ | 669 |
| Foreign exchange(b) | (3,027 | ) | | 2,925 |
| | (102 | ) | | — |
| | (102 | ) | Commodity(c) | (2,530 | ) | | 1,131 |
| | (1,399 | ) | | 107 |
| | (1,506 | ) | Total | $ | (6,795 | ) | | $ | 5,935 |
| | $ | (860 | ) | | $ | 79 |
| | $ | (939 | ) |
| | (a) | Primarily consists of hedges of the benchmark (e.g., London Interbank Offered Rate (“LIBOR”)) interest rate risk of fixed-rate long-term debt and AFS securities. Gains and losses were recorded in net interest income. The current presentation excludes accrued interest. |
| | (b) | Primarily consists of hedges of the foreign currency risk of long-term debt and AFS securities for changes in spot foreign currency rates. Gains and losses related to the derivatives and the hedged items, due to changes in foreign currency rates, were recorded in principal transactions revenue and net interest income. |
| | (c) | Consists of overall fair value hedges of physical commodities inventories that are generally carried at the lower of cost or market (market approximates fair value). Gains and losses were recorded in principal transactions revenue. |
| | (d) | Hedge ineffectiveness is the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk. |
| | (e) | The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward points on foreign exchange forward contracts and time values. |
|
| Cash flow hedge gains and losses |
The following tables present derivative instruments, by contract type, used in cash flow hedge accounting relationships, and the pretax gains/(losses) recorded on such derivatives, for the years ended December 31, 2014, 2013 and 2012, respectively. The Firm includes the gain/(loss) on the hedging derivative and the change in cash flows on the hedged item in the same line item in the Consolidated statements of income. | | | | | | | | | | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income and other comprehensive income/(loss)(c) | | (in millions) | Derivatives – effective portion reclassified from AOCI to income | Hedge ineffectiveness recorded directly in income(d) | Total income statement impact | Derivatives – effective portion recorded in OCI | Total change in OCI for period | | | | | | | | | | | | | | | Interest rate(a) | | $ | (54 | ) | | | $ | — |
| | | $ | (54 | ) | | $ | 189 |
| | $ | 243 |
| | Foreign exchange(b) | | 78 |
| | | — |
| | | 78 |
| | (91 | ) | | (169 | ) | | Total | | $ | 24 |
| | | $ | — |
| | | $ | 24 |
| | $ | 98 |
| | $ | 74 |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income and other comprehensive income/(loss)(c) | | (in millions) | Derivatives – effective portion reclassified from AOCI to income | Hedge ineffectiveness recorded directly in income(d) | Total income statement impact | Derivatives – effective portion recorded in OCI | Total change
in OCI
for period | | | | | | | | | | | | | | | Interest rate(a) | | $ | (108 | ) | | | $ | — |
| | | $ | (108 | ) | | $ | (565 | ) | | $ | (457 | ) | | Foreign exchange(b) | | 7 |
| | | — |
| | | 7 |
| | 40 |
| | 33 |
| | Total | | $ | (101 | ) | | | $ | — |
| | | $ | (101 | ) | | $ | (525 | ) | | $ | (424 | ) | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income and other comprehensive income/(loss)(c) | | (in millions) | Derivatives – effective portion reclassified from AOCI to income | Hedge ineffectiveness recorded directly in income(d) | Total income statement impact | Derivatives – effective portion recorded in OCI | | Total change
in OCI
for period | | | | | | | | | | | | | | | | Interest rate(a) | | $ | (3 | ) | | | $ | 5 |
| | | $ | 2 |
| | $ | 13 |
| | $ | 16 |
| | Foreign exchange(b) | | 31 |
| | | — |
| | | 31 |
| | 128 |
| | 97 |
| | Total | | $ | 28 |
| | | $ | 5 |
| | | $ | 33 |
| | $ | 141 |
| | $ | 113 |
| |
| | (a) | Primarily consists of benchmark interest rate hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income. |
| | (b) | Primarily consists of hedges of the foreign currency risk of non-U.S. dollar-denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily noninterest revenue and compensation expense. |
| | (c) | The Firm did not experience any forecasted transactions that failed to occur for the years ended December 31, 2014, 2013 or 2012. |
| | (d) | Hedge ineffectiveness is the amount by which the cumulative gain or loss on the designated derivative instrument exceeds the present value of the cumulative expected change in cash flows on the hedged item attributable to the hedged risk. |
|
| Net investment hedge gains and losses |
The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pretax gains/(losses) recorded on such instruments for the years ended December 31, 2014, 2013 and 2012. | | | | | | | | | | | Gains/(losses) recorded in income and other comprehensive income/(loss) | | 2014 | | 2013 | | 2012 | Year ended December 31, (in millions) | Excluded components recorded directly in income(a) | Effective portion recorded in OCI | | Excluded components recorded directly in income(a) | Effective portion recorded in OCI | | Excluded components recorded directly in income(a) | Effective portion recorded in OCI | Foreign exchange derivatives | $(448) | $1,698 | | $(383) | $773 | | $(306) | $(82) |
| | (a) | Certain components of hedging derivatives are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on foreign exchange forward contracts. Amounts related to excluded components are recorded in current-period income. The Firm measures the ineffectiveness of net investment hedge accounting relationships based on changes in spot foreign currency rates, and therefore there was no significant ineffectiveness for net investment hedge accounting relationships during 2014, 2013 and 2012. |
|
| Risk management derivatives gains and losses (not designated as hedging instruments) |
The following table presents pretax gains/(losses) recorded on a limited number of derivatives, not designated in hedge accounting relationships, that are used to manage risks associated with certain specified assets and liabilities, including certain risks arising from the mortgage pipeline, warehouse loans, MSRs, wholesale lending exposures, AFS securities, foreign currency-denominated liabilities, and commodities-related contracts and investments. | | | | | | | | | | | | Derivatives gains/(losses) recorded in income | Year ended December 31, (in millions) | 2014 |
| 2013 |
| 2012 |
| | | | | Interest rate(a) | $ | 2,308 |
| $ | 617 |
| $ | 5,353 |
| Credit(b) | (58 | ) | (142 | ) | (175 | ) | Foreign exchange(c) | (7 | ) | 1 |
| 47 |
| Commodity(d) | 156 |
| 178 |
| 94 |
| Total | $ | 2,399 |
| $ | 654 |
| $ | 5,319 |
|
| | (a) | Primarily represents interest rate derivatives used to hedge the interest rate risk inherent in the mortgage pipeline, warehouse loans and MSRs, as well as written commitments to originate warehouse loans. Gains and losses were recorded predominantly in mortgage fees and related income. |
| | (b) | Relates to credit derivatives used to mitigate credit risk associated with lending exposures in the Firm’s wholesale businesses. These derivatives do not include credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, which is included in gains and losses on derivatives related to market-making activities and other derivatives. Gains and losses were recorded in principal transactions revenue. |
| | (c) | Primarily relates to hedges of the foreign exchange risk of specified foreign currency-denominated assets and liabilities. Gains and losses were recorded in principal transactions revenue. |
| | (d) | Primarily relates to commodity derivatives used to mitigate energy price risk associated with energy-related contracts and investments. Gains and losses were recorded in principal transactions revenue. |
|
| Credit Derivatives Table |
Total credit derivatives and credit-related notes | | | | | | | | | | | | | | | | | | | Maximum payout/Notional amount | | | Protection sold | | Protection purchased with identical underlyings(c) | Net protection (sold)/purchased(d) | Other protection purchased(e) | | | | Credit derivatives | | | | | | | | | Credit default swaps | $ | (2,056,982 | ) | | | $ | 2,078,096 |
| | $ | 21,114 |
| $ | 18,631 |
| | Other credit derivatives(a) | (43,281 | ) | | | 32,048 |
| | (11,233 | ) | 19,475 |
| | Total credit derivatives | (2,100,263 | ) | | | 2,110,144 |
| | 9,881 |
| 38,106 |
| | Credit-related notes | (40 | ) | | | — |
| | (40 | ) | 3,704 |
| | Total | $ | (2,100,303 | ) | | | $ | 2,110,144 |
| | $ | 9,841 |
| $ | 41,810 |
| | | | | | | | | | | | Maximum payout/Notional amount | | | Protection sold | | Protection purchased with identical underlyings(c) | Net protection (sold)/purchased(d) | Other protection purchased(e) | | | | Credit derivatives | | | | | | | | | Credit default swaps | $ | (2,601,581 | ) | | | $ | 2,610,198 |
| | $ | 8,617 |
| $ | 8,722 |
| | Other credit derivatives(a) | (44,137 | ) | (b) | | 45,921 |
| | 1,784 |
| 20,480 |
| (b) | Total credit derivatives | (2,645,718 | ) | | | 2,656,119 |
| | 10,401 |
| 29,202 |
| | Credit-related notes | (130 | ) | | | — |
| | (130 | ) | 2,720 |
| | Total | $ | (2,645,848 | ) | | | $ | 2,656,119 |
| | $ | 10,271 |
| $ | 31,922 |
| |
| | (a) | Other credit derivatives predominantly consists of credit swap options. |
| | (b) | The prior period amounts have been revised. This revision had no impact on the Firm’s Consolidated balance sheets or its results of operations. |
| | (c) | Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold. |
| | (d) | Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value. |
| | (e) | Represents protection purchased by the Firm on referenced instruments (single-name, portfolio or index) where the Firm has not sold any protection on the identical reference instrument. |
|
| Protection sold - credit derivatives and credit-related notes ratings/maturity profile |
The following tables summarize the notional amounts by the ratings and maturity profile, and the total fair value, of credit derivatives as of December 31, 2014 and 2013, where JPMorgan Chase is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives and credit-related notes where JPMorgan Chase is the purchaser of protection are comparable to the profile reflected below. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Protection sold – credit derivatives and credit-related notes ratings(a)/maturity profile | | | | | | (in millions) | <1 year | | 1–5 years | | >5 years | | Total notional amount | | Fair value of receivables(c) | | Fair value of payables(c) | | Net fair value | | Risk rating of reference entity | | | | | | | | | | | | | | | Investment-grade | $ | (323,398 | ) | | $ | (1,118,293 | ) | | $ | (79,486 | ) | | $ | (1,521,177 | ) | | $ | 25,767 |
| | $ | (6,314 | ) | | $ | 19,453 |
| | Noninvestment-grade | (157,281 | ) | | (396,798 | ) | | (25,047 | ) | | (579,126 | ) | | 20,677 |
| | (22,455 | ) | | (1,778 | ) | | Total | $ | (480,679 | ) | | $ | (1,515,091 | ) | | $ | (104,533 | ) | | $ | (2,100,303 | ) | | $ | 46,444 |
| | $ | (28,769 | ) | | $ | 17,675 |
| |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | (in millions) | <1 year | | 1–5 years | | >5 years | | Total notional amount | | Fair value of receivables(c) | | Fair value of payables(c) | | Net fair value | | Risk rating of reference entity | | | | | | | | | | | | | | | Investment-grade | $ | (368,712 | ) | (b) | $ | (1,469,773 | ) | (b) | $ | (93,209 | ) | (b) | $ | (1,931,694 | ) | (b) | $ | 31,730 |
| (b) | $ | (5,664 | ) | (b) | $ | 26,066 |
| (b) | Noninvestment-grade | (140,540 | ) | | (544,671 | ) | | (28,943 | ) | | (714,154 | ) | | 27,426 |
| | (16,674 | ) | | 10,752 |
| | Total | $ | (509,252 | ) | | $ | (2,014,444 | ) | | $ | (122,152 | ) | | $ | (2,645,848 | ) | | $ | 59,156 |
| | $ | (22,338 | ) | | $ | 36,818 |
| |
| | (a) | The ratings scale is primarily based on external credit ratings defined by S&P and Moody’s. |
| | (b) | The prior period amounts have been revised. This revision had no impact on the Firm’s Consolidated balance sheets or its results of operations. |
| | (c) | Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral received by the Firm. |
|
| X |
- Definition
Disclosure of the current credit risk of derivative receivables and the liquidity risk of derivative payables.
+ References+ Details
| Name: |
jpm_DisclosureOfCurrentCreditAndLiquidityRiskOfDerivativesTableTextBlock |
| Namespace Prefix: |
jpm_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Definition
Disclosure of Fair value hedge gains and losses.
+ References+ Details
| Name: |
jpm_DisclosureOfFairValueHedgeGainsAndLossesTableTextBlock |
| Namespace Prefix: |
jpm_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Definition
Protection Sold Credit Derivatives And Credit Related Notes Ratings Maturity Profile [Table Text Block]
+ References+ Details
| Name: |
jpm_ProtectionSoldCreditDerivativesAndCreditRelatedNotesRatingsMaturityProfileTableTextBlock |
| Namespace Prefix: |
jpm_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Definition
Schedule of Uses and Disclosure of Derivatives [Table Text Block]
+ References+ Details
| Name: |
jpm_ScheduleofUsesandDisclosureofDerivativesTableTextBlock |
| Namespace Prefix: |
jpm_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Details
| Name: |
us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
xbrli:stringItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Definition
Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).
+ References+ Details
| Name: |
us-gaap_DisclosureOfCreditDerivativesTextBlock |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Definition
Tabular disclosure of derivative and other financial assets that are subject to offsetting, including master netting arrangements.
+ References+ Details
| Name: |
us-gaap_OffsettingAssetsTableTextBlock |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Definition
Tabular disclosure of derivative and other financial liabilities that are subject to offsetting, including master netting arrangements.
+ References+ Details
| Name: |
us-gaap_OffsettingLiabilitiesTableTextBlock |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Definition
Tabular disclosure of the effective portion of gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in cash flow hedges recorded in accumulated other comprehensive income (loss) during the term of the hedging relationship and reclassified into earnings during the current period.
+ References+ Details
| Name: |
us-gaap_ScheduleOfCashFlowHedgesIncludedInAccumulatedOtherComprehensiveIncomeLossTableTextBlock |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Definition
Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.
+ References+ Details
| Name: |
us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Definition
Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.
+ References+ Details
| Name: |
us-gaap_ScheduleOfDerivativeInstrumentsTextBlock |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Definition
Tabular disclosure of the effective portion of gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in net investment hedges recorded in accumulated other comprehensive income (loss) during the term of the hedging relationship and reclassified into earnings during the current period.
+ References+ Details
| Name: |
us-gaap_ScheduleOfNetInvestmentHedgesInAccumulatedOtherComprehensiveIncomeLossTableTextBlock |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- Definition
Tabular disclosure of price risk derivatives, including, but not limited to, the fair value of the derivatives, statement of financial position location, and statement of financial performance location of these instruments.
+ References+ Details
| Name: |
us-gaap_ScheduleOfPriceRiskDerivativesTableTextBlock |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
|
