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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2016
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
182
◦ Interest rate
Hedge floating-rate assets and liabilities
Cash flow hedge
Corporate
183
◦
 Foreign exchange
Hedge foreign currency-denominated assets and liabilities
Fair value hedge
Corporate
182
◦
 Foreign exchange
Hedge forecasted revenue and expense
Cash flow hedge
Corporate
183
◦
 Foreign exchange
Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities
Net investment hedge
Corporate
184
◦
 Commodity
Hedge commodity inventory
Fair value hedge
CIB
182
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
184
◦
 Credit
Manage the credit risk of wholesale lending exposures
Specified risk management
CIB
184
◦
 Commodity
Manage the risk of certain commodities-related contracts and investments
Specified risk management
CIB
184
◦
 Interest rate and
foreign exchange
Manage the risk of certain other specified assets and liabilities
Specified risk management
Corporate
184
Market-making derivatives and other activities:
 
 
 
◦
 Various
Market-making and related risk management
Market-making and other
CIB
184
◦
 Various
Other derivatives
Market-making and other
CIB, Corporate
184
Notional amount of derivative contracts
The following table summarizes the notional amount of derivative contracts outstanding as of December 31, 2016 and 2015.
 
Notional amounts(b)
December 31, (in billions)
2016
 
2015
Interest rate contracts
 
 
 
Swaps
$
22,000

 
$
24,162

Futures and forwards
5,289

 
5,167

Written options
3,091

 
3,506

Purchased options
3,482

 
3,896

Total interest rate contracts
33,862

 
36,731

Credit derivatives(a)
2,032

 
2,900

Foreign exchange contracts
 
 
 

Cross-currency swaps
3,359

 
3,199

Spot, futures and forwards
5,341

 
5,028

Written options
734

 
690

Purchased options
721

 
706

Total foreign exchange contracts
10,155

 
9,623

Equity contracts
 
 
 
Swaps
258

 
232

Futures and forwards
59

 
43

Written options
417

 
395

Purchased options
345

 
326

Total equity contracts
1,079

 
996

Commodity contracts
 
 
 

Swaps
102

 
83

Spot, futures and forwards
130

 
99

Written options
83

 
115

Purchased options
94

 
112

Total commodity contracts
409

 
409

Total derivative notional amounts
$
47,537

 
$
50,659

(a)
For more information on volumes and types of credit derivative contracts, see the Credit derivatives discussion on pages 184–186.
(b)
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, 2016 and 2015, 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, 2016
(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
$
601,557

 
$
4,406

 
$
605,963

 
$
28,302

 
$
567,894

 
$
2,884

$
570,778

 
$
10,815

Credit
29,645

 
—

 
29,645

 
1,294

 
28,666

 
—

28,666

 
1,411

Foreign exchange
232,137

 
1,289

 
233,426

 
23,271

 
233,823

 
1,148

234,971

 
20,508

Equity
34,940

 
—

 
34,940

 
4,939

 
38,362

 
—

38,362

 
8,140

Commodity
18,505

 
137

 
18,642

 
6,272

 
20,283

 
179

20,462

 
8,357

Total fair value of trading assets and liabilities
$
916,784

 
$
5,832

 
$
922,616

 
$
64,078

 
$
889,028

 
$
4,211

$
893,239

 
$
49,231

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross derivative receivables
 
 
 
Gross derivative payables
 
 
December 31, 2015
(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
$
665,531

 
$
4,080

 
$
669,611

 
$
26,363

 
$
632,928

 
$
2,238

$
635,166

 
$
10,221

Credit
51,468

 
—

 
51,468

 
1,423

 
50,529

 
—

50,529

 
1,541

Foreign exchange
179,072

 
803

 
179,875

 
17,177

 
189,397

 
1,503

190,900

 
19,769

Equity
35,859

 
—

 
35,859

 
5,529

 
38,663

 
—

38,663

 
9,183

Commodity
23,713

 
1,352

 
25,065

 
9,185

 
27,653

 
1

27,654

 
12,076

Total fair value of trading assets and liabilities
$
955,643

 
$
6,235

 
$
961,878

 
$
59,677

 
$
939,170

 
$
3,742

$
942,912

 
$
52,790

(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 tables present, as of December 31, 2016 and 2015, gross and net derivative receivables and payables by contract and settlement type. Derivative receivables and payables, as well as the related cash collateral from the same counterparty, have been netted on the Consolidated balance sheets where 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, amounts are not eligible for netting on the Consolidated balance sheets, and those derivative receivables and payables are shown separately in the tables below.
In addition to the cash collateral received and transferred that is presented on a net basis with derivative receivables and payables, the Firm receives and transfers additional collateral (financial instruments and cash). These amounts mitigate counterparty credit risk associated with the Firm’s derivative instruments, but are not eligible for net presentation:
•
collateral that consists of non-cash financial instruments (generally U.S. government and agency securities and other G7 government bonds) and cash collateral held at third party custodians, which are shown separately as “Collateral not nettable on the Consolidated balance sheets” in the tables below, up to the fair value exposure amount.
•
the amount of collateral held or transferred that exceeds the fair value exposure at the individual counterparty level, as of the date presented, which is excluded from the tables below; and
•
collateral held or transferred that relates to derivative receivables or payables where an appropriate legal opinion has not been either sought or obtained with respect to the master netting agreement, which is excluded from the tables below.
 
2016
 
2015
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
$
365,227

$
(342,173
)
 
$
23,054

 
$
417,386

 
$
(396,506
)
 
$
20,880

OTC–cleared
235,399

(235,261
)
 
138

 
246,750

 
(246,742
)
 
8

Exchange-traded(a)
241

(227
)
 
14

 
—

 
—

 
—

Total interest rate contracts
600,867

(577,661
)
 
23,206

 
664,136

 
(643,248
)
 
20,888

Credit contracts:
 
 
 
 
 
 
 
 
 
 
OTC
23,130

(22,612
)
 
518

 
44,082

 
(43,182
)
 
900

OTC–cleared
5,746

(5,739
)
 
7

 
6,866

 
(6,863
)
 
3

Total credit contracts
28,876

(28,351
)
 
525

 
50,948

 
(50,045
)
 
903

Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
 
OTC
226,271

(208,962
)
 
17,309

 
175,060

 
(162,377
)
 
12,683

OTC–cleared
1,238

(1,165
)
 
73

 
323

 
(321
)
 
2

Exchange-traded(a)
104

(27
)
 
77

 
—

 
—

 
—

Total foreign exchange contracts
227,613

(210,154
)
 
17,459

 
175,383

 
(162,698
)
 
12,685

Equity contracts:
 
 
 
 
 
 
 
 
 
 
OTC
20,868

(20,570
)
 
298

 
20,690

 
(20,439
)
 
251

OTC–cleared
—

—

 
—

 
—

 
—

 
—

Exchange-traded(a)
11,439

(9,431
)
 
2,008

 
12,285

 
(9,891
)
 
2,394

Total equity contracts
32,307

(30,001
)
 
2,306

 
32,975

 
(30,330
)
 
2,645

Commodity contracts:
 
 
 
 
 
 
 
 
 
 
OTC
11,571

(5,605
)
 
5,966

 
15,001

 
(6,772
)
 
8,229

OTC–cleared
—

—

 
—

 
—

 
—

 
—

Exchange-traded(a)
6,794

(6,766
)
 
28

 
9,199

 
(9,108
)
 
91

Total commodity contracts
18,365

(12,371
)
 
5,994

 
24,200

 
(15,880
)
 
8,320

Derivative receivables with appropriate legal opinions
908,028

(858,538
)
(b) 
49,490

 
947,642

 
(902,201
)
(b) 
45,441

Derivative receivables where an appropriate legal opinion has not been either sought or obtained
14,588

 
 
14,588

 
14,236

 
 
 
14,236

Total derivative receivables recognized on the Consolidated balance sheets
$
922,616

 
 
$
64,078

 
$
961,878

 
 
 
$
59,677

Collateral not nettable on the Consolidated balance sheets(c)(d)
 
 
 
(18,638
)
 
 
 
 
 
(13,543
)
Net amounts
 
 
 
$
45,440

 
 
 
 
 
$
46,134
Offsetting liabilities

 
2016
 
2015
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
$
338,502

$
(329,325
)
 
$
9,177

 
$
393,709

 
$
(384,576
)
 
$
9,133

OTC–cleared
230,464

(230,463
)
 
1

 
240,398

 
(240,369
)
 
29

Exchange-traded(a)
196

(175
)
 
21

 
—

 
—

 
—

Total interest rate contracts
569,162

(559,963
)
 
9,199

 
634,107

 
(624,945
)
 
9,162

Credit contracts:
 
 
 
 
 
 
 
 
 
 
OTC
22,366

(21,614
)
 
752

 
44,379

 
(43,019
)
 
1,360

OTC–cleared
5,641

(5,641
)
 
—

 
5,969

 
(5,969
)
 
—

Total credit contracts
28,007

(27,255
)
 
752

 
50,348

 
(48,988
)
 
1,360

Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
 
OTC
228,300

(213,296
)
 
15,004

 
185,178

 
(170,830
)
 
14,348

OTC–cleared
1,158

(1,158
)
 
—

 
301

 
(301
)
 
—

Exchange-traded(a)
328

(9
)
 
319

 
—

 
—

 
—

Total foreign exchange contracts
229,786

(214,463
)
 
15,323

 
185,479

 
(171,131
)
 
14,348

Equity contracts:
 
 
 
 
 
 
 
 
 
 
OTC
24,688

(20,808
)
 
3,880

 
23,458

 
(19,589
)
 
3,869

OTC–cleared
—

—

 
—

 
—

 
—

 
—

Exchange-traded(a)
10,004

(9,414
)
 
590

 
10,998

 
(9,891
)
 
1,107

Total equity contracts
34,692

(30,222
)
 
4,470

 
34,456

 
(29,480
)
 
4,976

Commodity contracts:
 
 
 
 
 
 
 
 
 
 
OTC
12,885

(5,252
)
 
7,633

 
16,953

 
(6,256
)
 
10,697

OTC–cleared
—

—

 
—

 
—

 
—

 
—

Exchange-traded(a)
7,099

(6,853
)
 
246

 
9,374

 
(9,322
)
 
52

Total commodity contracts
19,984

(12,105
)
 
7,879

 
26,327

 
(15,578
)
 
10,749

Derivative payables with appropriate legal opinions
881,631

(844,008
)
(b) 
37,623

 
930,717

 
(890,122
)
(b) 
40,595

Derivative payables where an appropriate legal opinion has not been either sought or obtained
11,608

 
 
11,608

 
12,195

 
 
 
12,195

Total derivative payables recognized on the Consolidated balance sheets
$
893,239

 
 
$
49,231

 
$
942,912

 
 
 
$
52,790

Collateral not nettable on the Consolidated balance sheets(c)(d)(e)
 
 
 
(8,925
)
 
 
 
 
 
(7,957
)
Net amounts
 
 
 
$
40,306

 
 
 
 
 
$
44,833

(a)
Exchange-traded derivative balances that relate to futures contracts are settled daily.
(b)
Net derivatives receivable included cash collateral netted of $71.9 billion and $73.7 billion at December 31, 2016 and 2015, respectively. Net derivatives payable included cash collateral netted of $57.3 billion and $61.6 billion related to OTC and OTC-cleared derivatives at December 31, 2016 and 2015, respectively.
(c)
Excludes all collateral related to derivative instruments where an appropriate legal opinion has not been either sought or obtained.
(d)
Represents liquid security collateral as well as cash collateral held at third-party custodians related to derivative instruments where an appropriate legal opinion has been obtained. 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.
(e)
Derivative payables collateral relates only to OTC and OTC-cleared derivative instruments. Amounts exclude collateral transferred related to exchange-traded derivative instruments.
Current credit risk of derivative receivables and liquidity risk of derivative payables
While derivative receivables expose the Firm to credit risk, derivative payables expose the Firm to liquidity risk, as the derivative contracts typically require the Firm to post cash or securities collateral with counterparties as the fair value of the contracts moves in the counterparties’ favor or upon specified downgrades in the Firm’s and its subsidiaries’ respective credit ratings. Certain derivative contracts also provide for termination of the contract, generally upon a downgrade of either the Firm or the counterparty, at the fair value of the derivative contracts. 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, 2016 and 2015.
OTC and OTC-cleared derivative payables containing downgrade triggers
December 31, (in millions)
2016
2015
Aggregate fair value of net derivative payables
$
21,550

$
22,328

Collateral posted
19,383

18,942



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, 2016 and 2015, 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), nor in termination payments 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
 
2016
 
2015
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)
$
560

$
2,497

 
$
807

$
3,028

Amount required to settle contracts with termination triggers upon downgrade(b)
606

1,049

 
271

1,093

(a)
Includes the additional collateral to be posted for initial margin.
(b)
Amounts represent fair values 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 pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the years ended December 31, 2016, 2015 and 2014, 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, 2016 (in millions)
Derivatives
Hedged items
Total income statement impact
 
Hedge ineffectiveness(e)
Excluded components(f)
Contract type
 
 
 
 
 
 
 
 
 
Interest rate(a)(b)
$
(482
)
 
$
1,338

 
$
856

 
$
6

 
$
850

Foreign exchange(c)
2,435

 
(2,261
)
 
174

 
—

 
174

Commodity(d)
(536
)
 
586

 
50

 
(9
)
 
59

Total
$
1,417

 
$
(337
)
 
$
1,080

 
$
(3
)
 
$
1,083

 
 
 
 
 
 
 
 
 
 
 
Gains/(losses) recorded in income
 
Income statement impact due to:
Year ended December 31, 2015 (in millions)
Derivatives
Hedged items
Total income statement impact
 
Hedge ineffectiveness(e)
Excluded components(f)
Contract type
 
 
 
 
 
 
 
 
 
Interest rate(a)(b)
$
38

 
$
911

 
$
949

 
$
3

 
$
946

Foreign exchange(c)
6,030

 
(6,006
)
 
24

 
—

 
24

Commodity(d)
1,153

 
(1,142
)
 
11

 
(13
)
 
24

Total
$
7,221

 
$
(6,237
)
 
$
984

 
$
(10
)
 
$
994

 
 
 
 
 
 
 
 
 
 
 
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(e)
Excluded components(f)
Contract type
 
 
 
 
 
 
 
 
 
Interest rate(a)(b)
$
2,106

 
$
(801
)
 
$
1,305

 
$
131

 
$
1,174

Foreign exchange(c)
8,279

 
(8,532
)
 
(253
)
 
—

 
(253
)
Commodity(d)
49

 
145

 
194

 
42

 
152

Total
$
10,434

 
$
(9,188
)
 
$
1,246

 
$
173

 
$
1,073

(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.
(b)
Excludes the amortization expense associated with the inception hedge accounting adjustment applied to the hedged item. This expense is recorded in net interest income and substantially offsets the income statement impact of the excluded components. 
(c)
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 primarily in principal transactions revenue and net interest income.
(d)
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.
(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.

Cash flow hedge gains and losses
The following tables present derivative instruments, by contract type, used in cash flow hedge accounting relationships, and the pre-tax gains/(losses) recorded on such derivatives, for the years ended December 31, 2016, 2015 and 2014, 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)
Year ended December 31, 2016
(in millions)
Derivatives – effective portion reclassified from AOCI to income
Hedge ineffectiveness recorded directly in income(c)
Total income statement impact
Derivatives – effective portion recorded in OCI
 
Total change
in OCI
for period
Contract type
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate(a)
 
$
(74
)
 
 
$
—

 
 
$
(74
)
 
$
(55
)
 
$
19

Foreign exchange(b)
 
(286
)
 
 
—

 
 
(286
)
 
(395
)
 
(109
)
Total
 
$
(360
)
 
 
$
—

 
 
$
(360
)
 
$
(450
)
 
$
(90
)
 
 
Gains/(losses) recorded in income and other comprehensive income/(loss)

Year ended December 31, 2015
(in millions)
Derivatives – effective portion reclassified from AOCI to income
Hedge ineffectiveness recorded directly in income(c)
Total income statement impact
Derivatives – effective portion recorded in OCI
 
Total change
in OCI
for period
Contract type
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate(a)
 
$
(99
)
 
 
$
—

 
 
$
(99
)
 
$
(44
)
 
$
55

Foreign exchange(b)
 
(81
)
 
 
—

 
 
(81
)
 
(53
)
 
28

Total
 
$
(180
)
 
 
$
—

 
 
$
(180
)
 
$
(97
)
 
$
83

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gains/(losses) recorded in income and other comprehensive income/(loss)
Year ended December 31, 2014
(in millions)
Derivatives – effective portion reclassified from AOCI to income
Hedge ineffectiveness recorded directly in income(c)
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

(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, and for the forecasted transactions that the Firm determined during the year ended December 31, 2015, were probable of not occurring, in other 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)
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 pre-tax gains/(losses) recorded on such instruments for the years ended December 31, 2016, 2015 and 2014.
 
Gains/(losses) recorded in income and other comprehensive income/(loss)
 
2016
 
2015
 
2014
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
$(282)
$262
 
$(379)
$1,885
 
$(448)
$1,698
(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 other 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 2016, 2015 and 2014.
Risk management derivatives gains and losses (not designated as hedging instruments)
The following table presents pre-tax 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, foreign currency denominated assets and liabilities, and commodities-related contracts and investments.
 
Derivatives gains/(losses)
recorded in income
Year ended December 31,
(in millions)
2016

2015

2014

Contract type
 
 
 
Interest rate(a)
$
1,174

$
853

$
2,308

Credit(b)
(282
)
70

(58
)
Foreign exchange(c)
27

25

(7
)
Commodity(d)
—

(12
)
156

Total
$
919

$
936

$
2,399

(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 derivatives used to mitigate 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 and credit-related notes
Total credit derivatives and credit-related notes
 
Maximum payout/Notional amount
 
Protection sold
 
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
December 31, 2016 (in millions)
Credit derivatives
 
 
 
 
 
 
 
Credit default swaps
$
(961,003
)
 
 
$
974,252

 
$
13,249

$
7,935

Other credit derivatives(a)
(36,829
)
 
 
31,859

 
(4,970
)
19,991

Total credit derivatives
(997,832
)
 
 
1,006,111

 
8,279

27,926

Credit-related notes
(41
)
 
 
—

 
(41
)
4,505

Total
$
(997,873
)
 
 
$
1,006,111

 
$
8,238

$
32,431

 
 
 
 
 
 
 
 
 
Maximum payout/Notional amount
 
Protection sold
 
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
December 31, 2015 (in millions)
Credit derivatives
 
 
 
 
 
 
 
Credit default swaps
$
(1,386,071
)
 
 
$
1,402,201

 
$
16,130

$
12,011

Other credit derivatives(a)
(42,738
)
 
 
38,158

 
(4,580
)
18,792

Total credit derivatives
(1,428,809
)
 
 
1,440,359

 
11,550

30,803

Credit-related notes
(30
)
 
 
—

 
(30
)
4,715

Total
$
(1,428,839
)
 
 
$
1,440,359

 
$
11,520

$
35,518

(a)
Other credit derivatives largely consists of credit swap 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 amounts by the ratings, maturity profile, and total fair value, of credit derivatives and credit-related notes as of December 31, 2016 and 2015, 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, 2016
(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
$
(273,688
)
 
$
(383,586
)
 
$
(39,281
)
 
$
(696,555
)
 
$
7,841

 
$
(3,055
)
 
$
4,786

Noninvestment-grade
(107,955
)
 
(170,046
)
 
(23,317
)
 
(301,318
)
 
8,184

 
(8,570
)
 
(386
)
Total
$
(381,643
)
 
$
(553,632
)
 
$
(62,598
)
 
$
(997,873
)
 
$
16,025

 
$
(11,625
)
 
$
4,400

December 31, 2015
(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
$
(307,211
)
 
$
(699,227
)
 
$
(46,970
)
 
$
(1,053,408
)
 
$
13,539

 
$
(6,836
)
 
$
6,703

Noninvestment-grade
(109,195
)
 
(245,151
)
 
(21,085
)
 
(375,431
)
 
10,823

 
(18,891
)
 
(8,068
)
Total
$
(416,406
)
 
$
(944,378
)
 
$
(68,055
)
 
$
(1,428,839
)
 
$
24,362

 
$
(25,727
)
 
$
(1,365
)
(a)
The ratings scale is primarily based on external credit ratings 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.