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Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2013
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Notional amount of derivative contracts
The following table summarizes the notional amount of derivative contracts outstanding as of March 31, 2013, and December 31, 2012.
 
Notional amounts(b)
(in billions)
March 31, 2013
December 31, 2012
Interest rate contracts
 
 
Swaps
$
33,131

$
33,183

Futures and forwards
12,692

11,824

Written options
3,944

3,866

Purchased options
4,008

3,911

Total interest rate contracts
53,775

52,784

Credit derivatives(a)
6,489

5,981

Foreign exchange contracts
 
 

Cross-currency swaps
3,280

3,355

Spot, futures and forwards
4,097

4,033

Written options
753

651

Purchased options
756

661

Total foreign exchange contracts
8,886

8,700

Equity contracts
 
 
Swaps
167

163

Futures and forwards
58

49

Written options
482

442

Purchased options
415

403

Total equity contracts
1,122

1,057

Commodity contracts
 
 

Swaps
299

313

Spot, futures and forwards
184

190

Written options
260

265

Purchased options
253

260

Total commodity contracts
996

1,028

Total derivative notional amounts
$
71,268

$
69,550

(a)
Primarily consists of credit default swaps. For more information on volumes and types of credit derivative contracts, see the Credit derivatives discussion on pages 118–119 of this Note.
(b)
Represents the sum of gross long and gross short third-party notional derivative contracts.
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
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 March 31, 2013, and December 31, 2012, by accounting designation (e.g., whether the derivatives were designated in qualifying hedge accounting relationships or not) and contract type.
Derivative receivables and payables(a)
 
 
 
 
 
 
 
 
 
 
Gross derivative receivables
 
 
 
Gross derivative payables
 
 
March 31, 2013
(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
$
1,168,894

 
$
4,895

$
1,173,789

 
$
34,280

 
$
1,131,880

 
$
2,816

$
1,134,696

 
$
18,611

Credit
103,399

 
—

103,399

 
3,664

 
101,350

 
—

101,350

 
3,134

Foreign exchange
139,523

 
1,968

141,491

 
12,346

 
155,613

 
801

156,414

 
14,806

Equity
46,438

 
—

46,438

 
10,035

 
48,708

 
—

48,708

 
13,347

Commodity
59,826

 
1,099

60,925

 
10,284

 
64,568

 
71

64,639

 
12,091

Total fair value of trading assets and liabilities
$
1,518,080

 
$
7,962

$
1,526,042

 
$
70,609

 
$
1,502,119

 
$
3,688

$
1,505,807

 
$
61,989

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross derivative receivables
 
 
 
Gross derivative payables
 
 
December 31, 2012
(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
$
1,323,184

 
$
6,064

$
1,329,248

 
$
39,205

 
$
1,284,494

 
$
3,120

$
1,287,614

 
$
24,906

Credit
100,310

 
—

100,310

 
1,735

 
100,027

 
—

100,027

 
2,504

Foreign exchange
146,682

 
1,577

148,259

 
14,142

 
159,509

 
2,133

161,642

 
18,601

Equity
42,662

(c) 
—

42,662

(c) 
9,266

 
44,534

(c) 
—

44,534

(c) 
11,819

Commodity
51,312

(c) 
586

51,898

(c) 
10,635

 
55,094

(c) 
644

55,738

(c) 
12,826

Total fair value of trading assets and liabilities
$
1,664,150

 
$
8,227

$
1,672,377

 
$
74,983

 
$
1,643,658

 
$
5,897

$
1,649,555

 
$
70,656

(a)
Balances exclude structured notes for which the fair value option has been elected. See Note 4 on pages 107–108 of this Form 10-Q 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.
(c)
The prior period amounts have been revised.
Offsetting Assets
The following table presents, as of March 31, 2013 and December 31, 2012, the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal opinion with respect to the enforceability of the netting (“U.S. GAAP nettable derivative receivables”); where such a legal opinion has not been either sought or obtained, the receivables are not netted, and are shown separately in the table below (“Derivative receivables not nettable under U.S. GAAP”).
 
 
March 31, 2013
 
December 31, 2012
(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
 
 
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
 
 
 
Over–the–counter (“OTC”)
$
742,239

$
(717,741
)
 
$
24,498

 
$
821,198

$
(798,365
)
 
$
22,833

 
OTC–cleared
421,814

(421,768
)
 
46

 
491,947

(491,678
)
 
269

 
Exchange traded(a)
—

—

 
—

 
—

—

 
—

Total interest rate contracts
1,164,053

(1,139,509
)
 
24,544

 
1,313,145

(1,290,043
)
 
23,102

Credit contracts:
 
 
 
 
 
 


 
 
 
OTC
92,182

(89,199
)
 
2,983

 
90,744

(90,104
)
 
640

 
OTC–cleared
10,537

(10,536
)
 
1

 
8,471

(8,471
)
 
—

Total credit contracts
102,719

(99,735
)
 
2,984

 
99,215

(98,575
)
 
640

Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
 
OTC
136,683

(129,105
)
 
7,578

 
142,059

(134,094
)
 
7,965

 
OTC–cleared
40

(40
)
 
—

 
23

(23
)
 
—

 
Exchange traded(a)
—

—

 
—

 
—

—

 
—

Total foreign exchange contracts
136,723

(129,145
)
 
7,578

 
142,082

(134,117
)
 
7,965

Equity contracts:
 
 
 
 
 
 
 
 
 
 
OTC
28,741

(27,009
)
 
1,732

 
26,008

(24,628
)
 
1,380

 
OTC–cleared
—

—

 
—

 
—

—

 
—

 
Exchange traded(a)
15,599

(9,394
)
 
6,205

 
12,841

(8,768
)
 
4,073

Total equity contracts
44,340

(36,403
)
 
7,937

 
38,849

(33,396
)
 
5,453

Commodity contracts:
 
 
 
 
 
 
 
 
 
 
OTC
37,838

(30,877
)
 
6,961

 
34,977

(28,856
)
 
6,121

 
OTC–cleared
—

—

 
—

 
—

—

 
—

 
Exchange traded(a)
21,495

(19,764
)
 
1,731

 
15,108

(12,407
)
 
2,701

Total commodity contracts
59,333

(50,641
)
 
8,692

 
50,085

(41,263
)
 
8,822

U.S. GAAP nettable derivative receivables
$
1,507,168

$
(1,455,433
)
(b) 
$
51,735

 
$
1,643,376

$
(1,597,394
)
(b) 
$
45,982

Derivative receivables not nettable under U.S. GAAP
18,874

 
 
18,874

 
29,001

 
 
29,001

Total derivative receivables recognized on the Consolidated Balance Sheets
$
1,526,042

 
 
$
70,609

 
$
1,672,377

 
 
$
74,983

(a)
Exchange traded derivative amounts that relate to futures contracts are settled daily.
(b)
Included cash collateral netted of $72.5 billion and $79.2 billion at March 31, 2013 and December 31, 2012, respectively.
Offsetting Liabilities
The following table presents, as of March 31, 2013 and December 31, 2012, the gross and net derivatives payables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP. Derivatives payables have been netted with respect to those payables as to which the netting requirements have been met, including obtaining a legal opinion with respect to the enforceability of the netting (“U.S. GAAP nettable derivative payables”); where such a legal opinion has not been either sought or obtained, the payables are not netted, and are shown separately in the table below (“Derivative payables not nettable under U.S. GAAP”).
 
 
March 31, 2013
 
December 31, 2012
(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
 
 
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
 
 
 
OTC
$
719,641

$
(703,862
)
 
$
15,779

 
$
801,664

$
(780,945
)
 
$
20,719

 
OTC–cleared
412,283

(412,223
)
 
60

 
482,018

(481,763
)
 
255

 
Exchange traded(a)
—

—

 
—

 
—

—

 
—

Total interest rate contracts
1,131,924

(1,116,085
)
 
15,839

 
1,283,682

(1,262,708
)

20,974

Credit contracts:
 
 
 
 
 
 
 
 
 
 
OTC
88,702

(87,322
)
 
1,380

 
89,170

(88,151
)
 
1,019

 
OTC–cleared
10,894

(10,894
)
 
—

 
9,372

(9,372
)
 
—

Total credit contracts
99,596

(98,216
)
 
1,380

 
98,542

(97,523
)

1,019

Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
 
OTC
151,880

(141,571
)
 
10,309

 
154,271

(143,018
)
 
11,253

 
OTC–cleared
38

(37
)
 
1

 
29

(23
)
 
6

 
Exchange traded(a)
—

—

 
—

 
—

—

 
—

Total foreign exchange contracts
151,918

(141,608
)
 
10,310

 
154,300

(143,041
)

11,259

Equity contracts:
 
 
 
 
 
 
 
 
 
 
OTC
30,628

(25,967
)
 
4,661

 
28,320

(23,948
)
 
4,372

 
OTC–cleared
—

—

 
—

 
—

—

 
—

 
Exchange traded(a)
14,368

(9,394
)
 
4,974

 
12,000

(8,767
)
 
3,233

Total equity contracts
44,996

(35,361
)
 
9,635

 
40,320

(32,715
)

7,605

Commodity contracts:
 
 
 
 
 
 
 
 
 
 
OTC
39,447

(32,783
)
 
6,664

 
36,857

(30,505
)
 
6,352

 
OTC–cleared
—

—

 
—

 
—

—

 
—

 
Exchange traded(a)
21,420

(19,765
)
 
1,655

 
14,488

(12,407
)
 
2,081

Total commodity contracts
60,867

(52,548
)
 
8,319

 
51,345

(42,912
)

8,433

U.S. GAAP nettable derivative payables
$
1,489,301

$
(1,443,818
)
(b) 
$
45,483

 
$
1,628,189

$
(1,578,899
)
(b) 
$
49,290

Derivative payables not nettable under U.S. GAAP
16,506

 
 
16,506

 
21,366

 
 
21,366

Total derivative payables recognized on the Consolidated Balance Sheets
$
1,505,807

 
 
$
61,989

 
$
1,649,555

 
 
$
70,656

(a)
Exchange traded derivative balances that relate to futures contracts are settled daily.
(b)
Included cash collateral netted of $60.9 billion and $60.7 billion related to OTC and OTC-cleared derivatives at March 31, 2013, and December 31, 2012, respectively.
Disclosure of Current Credit And Liquidity Risk of Derivatives
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 downgrade and the associated collateral the Firm has posted in the normal course of business at March 31, 2013, and December 31, 2012.
OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)
March 31, 2013
December 31, 2012
Aggregate fair value of net derivative payables
$
40,212

$
40,844

Collateral posted
33,642

34,414





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 March 31, 2013 and December 31, 2012, 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 or termination payment requirements. The liquidity impact in the table is calculated based upon a downgrade below the lowest current rating provided by major rating agencies.
Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives
 
 
 
 
 
 
March 31, 2013
 
December 31, 2012
(in millions)
Single-notch downgrade
Two-notch downgrade
 
Single-notch downgrade
Two-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)
$
1,114

$
3,702

 
$
1,234

$
4,090

Amount required to settle contracts with termination triggers upon downgrade(b)
797

1,162

 
857

1,270

(a)
Includes the additional collateral to be posted for initial margin. Prior period amounts have been revised to conform with the current presentation.
(b)
Amounts represent fair value of derivative payables, and do not reflect collateral posted.
The following tables present information regarding certain non-cash financial instrument collateral received and transferred as of March 31, 2013, and December 31, 2012 that is not eligible for net presentation under U.S. GAAP. The collateral included in these tables relates only to the U.S. GAAP nettable derivative instruments and excludes additional collateral that exceeds the fair value exposure and excludes all collateral related to derivative instruments not nettable under U.S. GAAP.
Derivative receivable collateral
 
 
 
 
 
 
March 31, 2013
 
December 31, 2012
(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
U.S. GAAP nettable derivative receivables
$
51,735

$
(10,508
)
(a) 
$
41,227

 
$
45,982

$
(11,350
)
(a) 
$
34,632

Derivative payable collateral(b)
 
 
 
 
 
 
March 31, 2013
 
December 31, 2012
(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)
U.S. GAAP nettable derivative payables
$
45,483

$
(12,953
)
(a) 
$
32,530

 
$
49,290

$
(20,109
)
(a) 
$
29,181

(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 counterparty exposure to the Firm.
Disclosure of 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 three months ended March 31, 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:
Three months ended March 31, 2013 (in millions)
Derivatives
Hedged items
Total income statement impact
 
Hedge ineffectiveness(e)
Excluded components(f)
Contract type
 
 
 
 
 
 
 
Interest rate(a)
$
(499
)
 
$
875

$
376

 
$
(40
)
$
416

Foreign exchange(b)
3,753

(d) 
(3,752
)
1

 
—

1

Commodity(c)
751

 
(725
)
26

 
(18
)
44

Total
$
4,005

 
$
(3,602
)
$
403

 
$
(58
)
$
461

 
 
 
 
 
 
 
 
 
Gains/(losses) recorded in income
 
Income statement impact due to:
Three months ended March 31, 2012 (in millions)
Derivatives
Hedged items

Total income statement impact
 
Hedge ineffectiveness(e)

Excluded components(f)

Contract type
 
 
 
 
 
 
 
Interest rate(a)
$
(556
)
 
$
640

$
84

 
$
28

$
56

Foreign exchange(b)
(2,960
)
(d) 
2,950

(10
)
 
—

(10
)
Commodity(c)
(2,176
)
 
1,694

(482
)
 
27

(509
)
Total
$
(5,692
)
 
$
5,284

$
(408
)
 
$
55

$
(463
)
(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. Prior period amounts have been revised to conform with the current presentation.
(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)
Included $4.0 billion and $(2.8) billion for the three months ended March 31, 2013 and 2012, respectively, of revenue related to certain foreign exchange trading derivatives designated as fair value hedging instruments.
(e)
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.
(f)
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.
Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)
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 three months ended March 31, 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)
Three months ended March 31, 2013 (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
Contract type
 
 
 
 
 
Interest rate(a)
$
(27
)
$
—

$
(27
)
$
(26
)
$
1

Foreign exchange(b)
(2
)
—

(2
)
(104
)
(102
)
Total
$
(29
)
$
—

$
(29
)
$
(130
)
$
(101
)
 
Gains/(losses) recorded in income and other comprehensive income/(loss)(c)
Three months ended March 31, 2012 (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
Contract type
 
 
 
 
 
Interest rate(a)
$
21

$
5

$
26

$
(120
)
$
(141
)
Foreign exchange(b)
(1
)
—

(1
)
79

80

Total
$
20

$
5

$
25

$
(41
)
$
(61
)
(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 net interest income, noninterest revenue and compensation expense.
(c)
The Firm did not experience any forecasted transactions that failed to occur for the three months ended March 31, 2013 and 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.
Schedule of Net Investment Hedges in Accumulated Other Comprehensive Income (Loss)
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 three months ended March 31, 2013 and 2012.
 
Gains/(losses) recorded in income and
other comprehensive income/(loss)
 
2013
 
2012
Three months ended March 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
Foreign exchange derivatives
 
$
(77
)
 
$
420

 
 
$
(55
)
 
$
(267
)
(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 ineffectiveness for net investment hedge accounting relationships during the three months ended March 31, 2013 and 2012.
Schedule of Price Risk Derivatives
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
 
Three months ended March 31,
(in millions)
2013
2012
Contract type
 
 
Interest rate(a)
$
458

$
536

Credit(b)
(31
)
(74
)
Foreign exchange(c)
1

5

Commodity(d)
34

(10
)
Total
$
462

$
457

(a)
Primarily relates to interest rate derivatives used to hedge the interest rate risks associated with the mortgage pipeline, warehouse loans and MSRs. 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, and single-name credit derivatives used to mitigate credit risk arising from certain AFS securities. These derivatives do not include the synthetic credit portfolio or credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, both of which are 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 liabilities. Gains and losses were recorded in principal transactions revenue and net interest income.
(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.
Disclosure of Credit Derivatives
 
Maximum payout/Notional amount
March 31, 2013 (in millions)
Protection sold
Protection purchased with
identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
Credit derivatives
 
 
 
 
 
Credit default swaps
$
(3,191,033
)
 
$
3,158,710

$
(32,323
)
$
12,971

Other credit derivatives(a)
(78,120
)
 
18,681

(59,439
)
29,595

Total credit derivatives
(3,269,153
)
 
3,177,391

(91,762
)
42,566

Credit-related notes
(194
)
 
—

(194
)
3,575

Total
$
(3,269,347
)
 
$
3,177,391

$
(91,956
)
$
46,141

 
 
 
 
 
 
 
Maximum payout/Notional amount
December 31, 2012 (in millions)
Protection sold
Protection purchased with
identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
Credit derivatives
 
 
 
 
 
Credit default swaps
$
(2,954,705
)
 
$
2,879,105

$
(75,600
)
$
42,460

Other credit derivatives(a)
(66,244
)
 
5,649

(60,595
)
33,174

Total credit derivatives
(3,020,949
)
 
2,884,754

(136,195
)
75,634

Credit-related notes
(233
)
 
—

(233
)
3,255

Total
$
(3,021,182
)
 
$
2,884,754

$
(136,428
)
$
78,889

(a)
Primarily consists of total return swaps and CDS options.
(b)
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.
(c)
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.
(d)
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 and fair value amounts of credit derivatives and credit-related notes as of March 31, 2013, and December 31, 2012, 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
 
 
 
March 31, 2013 (in millions)
<1 year
1–5 years
>5 years
Total
notional amount
Fair value of receivables(b)
Fair value of payables(b)
Net fair value
Risk rating of reference entity
 
 
 
 
 
 
 
Investment-grade
$
(439,302
)
$
(1,596,456
)
$
(297,138
)
$
(2,332,896
)
$
20,988

$
(22,255
)
$
(1,267
)
Noninvestment-grade
(231,664
)
(621,285
)
(83,502
)
(936,451
)
22,922

(32,756
)
(9,834
)
Total
$
(670,966
)
$
(2,217,741
)
$
(380,640
)
$
(3,269,347
)
$
43,910

$
(55,011
)
$
(11,101
)
December 31, 2012 (in millions)
<1 year
1–5 years
>5 years
Total
notional amount
Fair value of receivables(b)
Fair value of payables(b)
Net fair value
Risk rating of reference entity
 
 
 
 
 
 
 
Investment-grade
$
(409,748
)
$
(1,383,644
)
$
(224,001
)
$
(2,017,393
)
$
16,690

$
(22,393
)
$
(5,703
)
Noninvestment-grade
(214,949
)
(722,115
)
(66,725
)
(1,003,789
)
22,355

(36,815
)
(14,460
)
Total
$
(624,697
)
$
(2,105,759
)
$
(290,726
)
$
(3,021,182
)
$
39,045

$
(59,208
)
$
(20,163
)
(a)
The ratings scale is based on the Firm’s internal ratings, which generally correspond to ratings as defined by S&P and Moody’s.
(b)
Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral received by the Firm.