XML 145 R65.htm IDEA: XBRL DOCUMENT v2.4.1.9
Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2014
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
◦
 Foreign exchange
Hedge foreign currency-denominated assets and liabilities
Fair value hedge
Corporate
211
◦
 Foreign exchange
Hedge forecasted revenue and expense
Cash flow hedge
Corporate
212
◦
 Foreign exchange
Hedge the value of the Firm’s investments in non-U.S. subsidiaries
Net investment hedge
Corporate
213
◦
 Commodity
Hedge commodity inventory
Fair value hedge
CIB
211
Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships:
 
 
 
◦
 Interest rate
Manage the risk of the mortgage pipeline, warehouse loans and MSRs
Specified risk management
CCB
213
◦
 Credit
Manage the credit risk of wholesale lending exposures
Specified risk management
CIB
213
◦
 Commodity
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:
 
 
 
•
 Various
Market-making and related risk management
Market-making and other
CIB
213
•
 Various
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
The following table summarizes the notional amount of derivative contracts outstanding as of December 31, 2014 and 2013.
 
Notional amounts(c)
December 31, (in billions)
2014

2013

Interest rate contracts
 
 
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

Total interest rate contracts
48,085

54,705

Credit derivatives(a)(b)
4,249

5,331

Foreign exchange contracts
 
 

Cross-currency swaps
3,346

3,488

Spot, futures and forwards
4,669

3,773

Written options
790

659

Purchased options
780

652

Total foreign exchange contracts
9,585

8,572

Equity contracts
 
 
Swaps(a)
206

187

Futures and forwards(a)
50

50

Written options
432

425

Purchased options
375

380

Total equity contracts
1,063

1,042

Commodity contracts
 
 

Swaps
126

124

Spot, futures and forwards
193

234

Written options
181

202

Purchased options
180

203

Total commodity contracts
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
 
 
December 31, 2014
(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
 
 
December 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
$
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
 
 
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
 
 
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)
—

—

 
—

 
—

—

 
—

Total interest rate contracts
950,029

(922,798
)
 
27,231

 
848,875

(828,897
)
 
19,978

Credit contracts:
 
 
 
 
 
 
 
 
 
OTC
66,636

(65,720
)
 
916

 
66,269

(65,725
)
 
544

OTC–cleared
9,320

(9,284
)
 
36

 
16,841

(16,279
)
 
562

Total credit contracts
75,956

(75,004
)
 
952

 
83,110

(82,004
)
 
1,106

Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
OTC
202,537

(187,634
)
 
14,903

 
148,953

(136,763
)
 
12,190

OTC–cleared
36

(34
)
 
2

 
46

(46
)
 
—

Exchange-traded(a)
—

—

 
—

 
—

—

 
—

Total foreign exchange contracts
202,573

(187,668
)
 
14,905

 
148,999

(136,809
)
 
12,190

Equity contracts:
 
 
 
 
 
 
 
 
 
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

Total equity contracts
41,401

(38,615
)
 
2,786

 
49,602

(40,704
)
 
8,898

Commodity contracts:
 
 
 
 
 
 
 
 
 
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

Total commodity contracts
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
 
 
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
 
 
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)
—

—

 
—

 
—

—

 
—

Total interest rate contracts
920,688

(906,900
)
 
13,788

 
822,548

(812,071
)
 
10,477

Credit contracts:
 
 
 
 
 
 
 
 
 
OTC
65,432

(64,904
)
 
528

 
65,223

(63,671
)
 
1,552

OTC–cleared
9,398

(9,398
)
 
—

 
16,506

(16,450
)
 
56

Total credit contracts
74,830

(74,302
)
 
528

 
81,729

(80,121
)
 
1,608

Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
OTC
211,732

(195,312
)
 
16,420

 
155,110

(144,119
)
 
10,991

OTC–cleared
66

(66
)
 
—

 
61

(59
)
 
2

Exchange-traded(a)
—

—

 
—

 
—

—

 
—

Total foreign exchange contracts
211,798

(195,378
)
 
16,420

 
155,171

(144,178
)
 
10,993

Equity contracts:
 
 
 
 
 
 
 
 
 
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

Total equity contracts
45,075

(38,825
)
 
6,250

 
50,644

(39,935
)
 
10,709

Commodity contracts:
 
 
 
 
 
 
 
 
 
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

Total commodity contracts
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:
Year ended December 31, 2014 (in millions)
Derivatives
Hedged items
Total income statement impact
 
Hedge ineffectiveness(d)
Excluded components(e)
Contract type
 
 
 
 
 
 
 
 
 
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:
Year ended December 31, 2013 (in millions)
Derivatives
Hedged items
Total income statement impact
 
Hedge ineffectiveness(d)
Excluded components(e)
Contract type
 
 
 
 
 
 
 
 
 
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:
Year ended December 31, 2012 (in millions)
Derivatives
Hedged items
Total income statement impact
 
Hedge ineffectiveness(d)
Excluded components(e)
Contract type
 
 
 
 
 
 
 
 
 
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)
 
Year ended December 31, 2014
(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)
 
$
(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)
 
Year ended December 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)
 
$
(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)
 
Year ended December 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)
 
$
(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

Contract type
 
 
 
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)
 
December 31, 2014 (in millions)
 
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)
 
December 31, 2013 (in millions)
 
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
 
 
 
 
 
December 31, 2014
(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

 
December 31, 2013
(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.