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Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2019
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
10-Q page reference
Manage specifically identified risk exposures in qualifying hedge accounting relationships:
 
 
 
•
Interest rate
Hedge fixed rate assets and liabilities
Fair value hedge
Corporate
109-110
•
Interest rate
Hedge floating-rate assets and liabilities
Cash flow hedge
Corporate
111
•
Foreign exchange
Hedge foreign currency-denominated assets and liabilities
Fair value hedge
Corporate
109-110
•
Foreign exchange
Hedge foreign currency-denominated forecasted revenue and expense
Cash flow hedge
Corporate
111
•
Foreign exchange
Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities
Net investment hedge
Corporate
112
•
Commodity
Hedge commodity inventory
Fair value hedge
CIB
109-110
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
112
•
Credit
Manage the credit risk of wholesale lending exposures
Specified risk management
CIB
112
•
Interest rate and foreign exchange
Manage the risk of certain other specified assets and liabilities
Specified risk management
Corporate
112
Market-making derivatives and other activities:
 
 
 
•
Various
Market-making and related risk management
Market-making and other
CIB
112
•
Various
Other derivatives
Market-making and other
CIB, AWM, Corporate
112
Notional amount of derivative contracts
The following table summarizes the notional amount of derivative contracts outstanding as of September 30, 2019, and December 31, 2018.
 
Notional amounts(b)
(in billions)
September 30, 2019

December 31, 2018

Interest rate contracts
 
 
Swaps
$
25,099

$
21,763

Futures and forwards
4,887

3,562

Written options
4,290

3,997

Purchased options
4,697

4,322

Total interest rate contracts
38,973

33,644

Credit derivatives(a)
1,365

1,501

Foreign exchange contracts
 
 
Cross-currency swaps
3,886

3,548

Spot, futures and forwards
7,111

5,871

Written options
832

835

Purchased options
852

830

Total foreign exchange contracts
12,681

11,084

Equity contracts
 
 
Swaps
389

346

Futures and forwards
131

101

Written options
692

528

Purchased options
632

490

Total equity contracts
1,844

1,465

Commodity contracts
 
 
Swaps
148

134

Spot, futures and forwards
218

156

Written options
166

135

Purchased options
153

120

Total commodity contracts
685

545

Total derivative notional amounts
$
55,548

$
48,239

(a)
Refer to the Credit derivatives discussion on page 113 for more information on volumes and types of credit derivative contracts.
(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 September 30, 2019, and December 31, 2018, 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
 
 
September 30, 2019
(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
$
375,082

 
$
851

 
$
375,933

 
$
28,507

 
$
338,711

 
$
2

 
$
338,713

 
$
10,223

Credit
15,717

 
—

 
15,717

 
838

 
17,062

 
—

 
17,062

 
2,159

Foreign exchange
162,364

 
768

 
163,132

 
12,681

 
164,583

 
1,159

 
165,742

 
15,016

Equity
46,378

 
—

 
46,378

 
7,409

 
50,891

 
—

 
50,891

 
10,603

Commodity
20,985

 
253

 
21,238

 
6,142

 
25,470

 
341

 
25,811

 
9,789

Total fair value of trading assets and liabilities
$
620,526

 
$
1,872

 
$
622,398

 
$
55,577

 
$
596,717

 
$
1,502

 
$
598,219

 
$
47,790

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross derivative receivables
 
 
 
Gross derivative payables
 
 
December 31, 2018
(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
$
267,871

 
$
833

 
$
268,704

 
$
23,214

 
$
242,782

 
$
—

 
$
242,782

 
$
7,784

Credit
20,095

 
—

 
20,095

 
612

 
20,276

 
—

 
20,276

 
1,667

Foreign exchange
167,057

 
628

 
167,685

 
13,450

 
164,392

 
825

 
165,217

 
12,785

Equity
49,285

 
—

 
49,285

 
9,946

 
51,195

 
—

 
51,195

 
10,161

Commodity
20,223

 
247

 
20,470

 
6,991

 
22,297

 
121

 
22,418

 
9,372

Total fair value of trading assets and liabilities
$
524,531

 
$
1,708

 
$
526,239

 
$
54,213

 
$
500,942

 
$
946

 
$
501,888

 
$
41,769


(a)
Balances exclude structured notes for which the fair value option has been elected. Refer to Note 3 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 September 30, 2019, and December 31, 2018, 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 securities) 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.
 
September 30, 2019
 
December 31, 2018
(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”)
$
356,075

$
(332,566
)
 
$
23,509

 
$
258,227

 
$
(239,498
)
 
$
18,729

 
OTC–cleared
14,438

(14,343
)
 
95

 
6,404

 
(5,856
)
 
548

 
Exchange-traded(a)
577

(517
)
 
60

 
322

 
(136
)
 
186

 
Total interest rate contracts
371,090

(347,426
)
 
23,664

 
264,953

 
(245,490
)
 
19,463

 
Credit contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
11,168

(10,682
)
 
486

 
12,648

 
(12,261
)
 
387

 
OTC–cleared
4,321

(4,197
)
 
124

 
7,267

 
(7,222
)
 
45

 
Total credit contracts
15,489

(14,879
)
 
610

 
19,915

 
(19,483
)
 
432

 
Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
160,181

(150,271
)
 
9,910

 
163,862

 
(153,988
)
 
9,874

 
OTC–cleared
176

(174
)
 
2

 
235

 
(226
)
 
9

 
Exchange-traded(a)
20

(6
)
 
14

 
32

 
(21
)
 
11

 
Total foreign exchange contracts
160,377

(150,451
)
 
9,926

 
164,129

 
(154,235
)
 
9,894

 
Equity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
22,195

(20,281
)
 
1,914

 
26,178

 
(23,879
)
 
2,299

 
Exchange-traded(a)
21,678

(18,688
)
 
2,990

 
18,876

 
(15,460
)
 
3,416

 
Total equity contracts
43,873

(38,969
)
 
4,904

 
45,054

 
(39,339
)
 
5,715

 
Commodity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
7,714

(5,954
)
 
1,760

 
7,448

 
(5,261
)
 
2,187

 
OTC–cleared
26

(25
)
 
1

 
—

 
—

 
—

 
Exchange-traded(a)
9,151

(9,117
)
 
34

 
8,815

 
(8,218
)
 
597

 
Total commodity contracts
16,891

(15,096
)
 
1,795

 
16,263

 
(13,479
)
 
2,784

 
Derivative receivables with appropriate legal opinion
607,720

(566,821
)
 
40,899

(d) 
510,314

 
(472,026
)
 
38,288

(d) 
Derivative receivables where an appropriate legal opinion has not been either sought or obtained
14,678

 
 
14,678

 
15,925

 
 
 
15,925

 
Total derivative receivables recognized on the Consolidated balance sheets
$
622,398

 
 
$
55,577

 
$
526,239

 
 
 
$
54,213

 
Collateral not nettable on the Consolidated balance sheets(b)(c)
 
 
 
(13,224
)
 
 
 
 
 
(13,046
)
 
Net amounts
 
 
 
$
42,353

 
 
 
 
 
$
41,167

 
Offsetting liabilities
 
September 30, 2019
 
December 31, 2018
(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
$
321,553

$
(313,017
)
 
$
8,536

 
$
233,404

 
$
(228,369
)
 
$
5,035

 
OTC–cleared
15,176

(14,960
)
 
216

 
7,163

 
(6,494
)
 
669

 
Exchange-traded(a)
585

(513
)
 
72

 
210

 
(135
)
 
75

 
Total interest rate contracts
337,314

(328,490
)
 
8,824

 
240,777

 
(234,998
)
 
5,779

 
Credit contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
13,130

(11,254
)
 
1,876

 
13,412

 
(11,895
)
 
1,517

 
OTC–cleared
3,797

(3,649
)
 
148

 
6,716

 
(6,714
)
 
2

 
Total credit contracts
16,927

(14,903
)
 
2,024

 
20,128

 
(18,609
)
 
1,519

 
Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
162,336

(150,537
)
 
11,799

 
160,930

 
(152,161
)
 
8,769

 
OTC–cleared
190

(185
)
 
5

 
274

 
(268
)
 
6

 
Exchange-traded(a)
14

(4
)
 
10

 
16

 
(3
)
 
13

 
Total foreign exchange contracts
162,540

(150,726
)
 
11,814

 
161,220

 
(152,432
)
 
8,788

 
Equity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
27,010

(21,600
)
 
5,410

 
29,437

 
(25,544
)
 
3,893

 
Exchange-traded(a)
20,365

(18,688
)
 
1,677

 
16,285

 
(15,490
)
 
795

 
Total equity contracts
47,375

(40,288
)
 
7,087

 
45,722

 
(41,034
)
 
4,688

 
Commodity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
10,450

(6,874
)
 
3,576

 
8,930

 
(4,838
)
 
4,092

 
OTC–cleared
25

(25
)
 
—

 
—

 
—

 
—

 
Exchange-traded(a)
10,004

(9,123
)
 
881

 
8,259

 
(8,208
)
 
51

 
Total commodity contracts
20,479

(16,022
)
 
4,457

 
17,189

 
(13,046
)
 
4,143

 
Derivative payables with appropriate legal opinion
584,635

(550,429
)
 
34,206

(d) 
485,036

 
(460,119
)
 
24,917

(d) 
Derivative payables where an appropriate legal opinion has not been either sought or obtained
13,584

 
 
13,584

 
16,852

 
 
 
16,852

 
Total derivative payables recognized on the Consolidated balance sheets
$
598,219

 
 
$
47,790

 
$
501,888

 
 
 
$
41,769

 
Collateral not nettable on the Consolidated balance sheets(b)(c)
 
 
 
(9,236
)
 
 
 
 
 
(4,449
)
 
Net amounts
 
 
 
$
38,554

 
 
 
 
 
$
37,320

 
(a)
Exchange-traded derivative balances that relate to futures contracts are settled daily.
(b)
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.
(c)
Derivative collateral relates only to OTC and OTC-cleared derivative instruments.
(d)
Net derivatives receivable included cash collateral netted of $78.8 billion and $55.2 billion at September 30, 2019, and December 31, 2018, respectively. Net derivatives payable included cash collateral netted of $62.4 billion and $43.3 billion at September 30, 2019, and December 31, 2018, respectively. Derivative cash collateral relates to OTC and OTC-cleared derivative instruments.
Current credit risk of derivative receivables and liquidity risk of derivative payables
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 September 30, 2019, and December 31, 2018.
OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)
September 30, 2019
 
 
December 31, 2018
 
Aggregate fair value of net derivative payables
 
$
15,466

 
 
$
9,396

Collateral posted
 
14,388

 
 
8,907


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, N.A., at September 30, 2019, and December 31, 2018, 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
 
 
 
 
 
September 30, 2019
 
December 31, 2018
(in millions)
Single-notch downgrade
Two-notch downgrade
 
Single-notch downgrade
Two-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)
$
223

$
1,420

 
$
76

$
947

Amount required to settle contracts with termination triggers upon downgrade(b)
184

1,475

 
172

764

(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 three and nine months ended September 30, 2019 and 2018, respectively. The Firm includes gains/(losses) on the hedging derivative in the same line item in the Consolidated statements of income as the related hedged item.
 
Gains/(losses) recorded in income
 
Income statement impact of
excluded components(e)
 
OCI impact
Three months ended September 30, 2019
(in millions)
Derivatives
Hedged items
Income statement impact
 
Amortization approach
Changes in fair value
 
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
 
 
 
 
 
 
 
 
Interest rate(a)(b)
$
1,770

$
(1,550
)
$
220

 
$
—

$
228

 
$
—

Foreign exchange(c)
(167
)
293

126

 
(224
)
126

 
(1
)
Commodity(d)
278

(232
)
46

 
—

49

 
—

Total
$
1,881

$
(1,489
)
$
392

 
$
(224
)
$
403

 
$
(1
)
 
Gains/(losses) recorded in income
 
Income statement impact of
excluded components(e)

 
OCI impact
Three months ended September 30, 2018
(in millions)
Derivatives
Hedged items
Income statement impact
 
Amortization approach
Changes in fair value
 
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
 
 
 
 
 
 
 
 
Interest rate(a)(b)
$
(870
)
$
1,032

$
162

 
$
—

$
160

 
$
—

Foreign exchange(c)
277

(165
)
112

 
(137
)
112

 
45

Commodity(d)
454

(461
)
(7
)
 
—

(5
)
 
—

Total
$
(139
)
$
406

$
267

 
$
(137
)
$
267

 
$
45

 
Gains/(losses) recorded in income
 
Income statement impact of
excluded components(e)
 
OCI impact
Nine months ended September 30, 2019
(in millions)
Derivatives
Hedged items
Income statement impact
 
Amortization approach
Changes in fair value
 
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
 
 
 
 
 
 
 
 
Interest rate(a)(b)
$
4,996

$
(4,399
)
$
597

 
$
—

$
596

 
$
—

Foreign exchange(c)
(31
)
401

370

 
(675
)
370

 
114

Commodity(d)
(164
)
237

73

 
—

67

 
—

Total
$
4,801

$
(3,761
)
$
1,040

 
$
(675
)
$
1,033

 
$
114

 
Gains/(losses) recorded in income
 
Income statement impact of
excluded components(e)
 
OCI impact
Nine months ended September 30, 2018
(in millions)
Derivatives
Hedged items
Income statement impact
 
Amortization approach
Changes in fair value
 
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
 
 
 
 
 
 
 
 
Interest rate(a)(b)
$
(2,747
)
$
3,214

$
467

 
$
—

$
459

 
$
—

Foreign exchange(c)
797

(452
)
345

 
(404
)
345

 
(96
)
Commodity(d)
649

(626
)
23

 
—

29

 
—

Total
$
(1,301
)
$
2,136

$
835

 
$
(404
)
$
833

 
$
(96
)
(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. Also excludes the accrual of interest on interest rate swaps and the related hedged items.
(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 and the income statement impact of excluded components 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 net realizable value (net realizable value approximates fair value). Gains and losses were recorded in principal transactions revenue.
(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, time values and cross-currency basis spreads. The initial amount of the excluded components may be amortized into income over the life of the derivative, or changes in fair value may be recognized in current period earnings.
(f)
Represents the change in value of amounts excluded from the assessment of effectiveness under the amortization approach, predominantly cross-currency basis spreads. The amount excluded at inception of the hedge is recognized in earnings over the life of the derivative.
Schedule of amounts recorded on Consolidated Balance Sheets related to certain cumulative fair value hedge basis adjustments
As of September 30, 2019 and December 31, 2018, the following amounts were recorded on the Consolidated balance sheets related to certain cumulative fair value hedge basis adjustments that are expected to reverse through the income statement in future periods as an adjustment to yield.
 
 
Carrying amount of the hedged items(a)(b)
 
Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items:

September 30, 2019
(in millions)
 
 
Active hedging relationships
Discontinued hedging relationships(d)
Total
Assets
 
 
 
 
 
 
Investment securities - AFS

 
$
123,914

(c) 
$
3,664

$
261

$
3,925

Liabilities
 
 
 
 
 
 
Long-term debt
 
$
163,494

 
$
9,957

$
125

$
10,082

Beneficial interests issued by consolidated VIEs
 
2,362

 
—

(11
)
(11
)
 
 
 
 
 
 
 
 
 
Carrying amount of the hedged items(a)(b)
 
Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items:
December 31, 2018
(in millions)
 
 
Active hedging relationships
Discontinued hedging relationships(d)
Total
Assets
 
 
 
 
 
 
Investment securities - AFS
 
$
55,313

(c) 
$
(1,105
)
$
381

$
(724
)
Liabilities
 
 
 
 
 
 
Long-term debt
 
$
139,915

 
$
141

$
8

$
149

Beneficial interests issued by consolidated VIEs
 
6,987

 
—

(33
)
(33
)
(a)
Excludes physical commodities with a carrying value of $10.3 billion and $6.8 billion at September 30, 2019 and December 31, 2018, respectively, to which the Firm applies fair value hedge accounting. As a result of the application of hedge accounting, these inventories are carried at fair value, thus recognizing unrealized gains and losses in current periods. Given the Firm exits these positions at fair value, there is no incremental impact to net income in future periods.
(b)
Excludes hedged items where only foreign currency risk is the designated hedged risk, as basis adjustments related to foreign currency hedges will not reverse through the income statement in future periods. At September 30, 2019 and December 31, 2018, the carrying amount excluded for available-for-sale securities is $15.3 billion and $14.6 billion, respectively, and for long-term debt is $4.1 billion and $7.3 billion, respectively.
(c)
Carrying amount represents the amortized cost.
(d)
Represents hedged items no longer designated in qualifying fair value hedging relationships for which an associated basis adjustment exists at the balance sheet date.
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 three and nine months ended September 30, 2019 and 2018, respectively. The Firm includes the gain/(loss) on the hedging derivative in the same line item in the Consolidated statements of income as the change in cash flows on the related hedged item.
 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended September 30, 2019
(in millions)
Amounts reclassified from AOCI to income
Amounts recorded in OCI
Total change
in OCI
for period
Contract type
 
 
 
Interest rate(a)
$
(16
)
$
290

$
306

Foreign exchange(b)
(21
)
(68
)
(47
)
Total
$
(37
)
$
222

$
259

 
 
 
 
 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended September 30, 2018
(in millions)
Amounts reclassified from AOCI to income
Amounts recorded in OCI
Total change
in OCI
for period
Contract type
 
 
 
Interest rate(a)
$
10

$
(30
)
$
(40
)
Foreign exchange(b)
(19
)
(92
)
(73
)
Total
$
(9
)
$
(122
)
$
(113
)
 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Nine months ended September 30, 2019
(in millions)
Amounts reclassified from AOCI to income
Amounts recorded in OCI
Total change
in OCI
for period
Contract type
 
 
 
Interest rate(a)
$
(12
)
$
501

$
513

Foreign exchange(b)
(90
)
(37
)
53

Total
$
(102
)
$
464

$
566

 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Nine months ended September 30, 2018
(in millions)
Amounts reclassified from AOCI to income
Amounts recorded in OCI
Total change
in OCI
for period
Contract type
 
 
 
Interest rate(a)
$
36

$
(141
)
$
(177
)
Foreign exchange(b)
26

(224
)
(250
)
Total
$
62

$
(365
)
$
(427
)
(a)
Primarily consists of 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.
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 three and nine months ended September 30, 2019 and 2018.
 
Gains/(losses) recorded in income and other comprehensive income/(loss)
 
2019
 
2018
Three months ended September 30,
(in millions)
Amounts recorded in
income(a)(b)
Amounts recorded in OCI
 
Amounts recorded in
income(a)(b)
Amounts recorded in OCI
Foreign exchange derivatives
 
$
17

 
$
866

 
 
$
2

 
$
311

 
 
 
 
 
 
 
 
 
 
 
Gains/(losses) recorded in income and other comprehensive income/(loss)
 
2019
 
2018
Nine months ended September 30,
(in millions)
Amounts recorded in
income(a)(b)
Amounts recorded in OCI
 
Amounts recorded in
income(a)(b)(c)
Amounts recorded in OCI
Foreign exchange derivatives
 
$
65

 
$
705

 
 
$
(8
)
 
$
1,126

(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. The Firm elects to record changes in fair value of these amounts directly in other income.
(b)
Excludes amounts reclassified from AOCI to income on the sale or liquidation of hedged entities. During the nine months ended September 30, 2019, the Firm reclassified net pre-tax gains of $5 million to other income related to the liquidation of certain legal entities. During the nine months ended September 30, 2018, the Firm reclassified net pre-tax losses of $23 million to other expense related to the liquidation of a legal entity.
(c)
The prior period amount has been revised to conform with the current period presentation.
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, and foreign currency-denominated assets and liabilities.
 
Derivatives gains/(losses)
recorded in income
 
 
Three months ended September 30,
 
Nine months ended September 30,
 
(in millions)
2019
2018
 
2019
2018
 
Contract type
 
 
 
 
 
 
Interest rate(a)
$
769

$
(42
)
 
$
1,718

$
(277
)
 
Credit(b)
(21
)
(7
)
 
(33
)
(17
)
 
Foreign exchange(c)
40

52

 
15

167

(d) 
Total
$
788

$
3

 
$
1,700

$
(127
)
(d) 

(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)
The prior period amounts have been revised to conform with the current period presentation.
Credit derivatives table
Total credit derivatives and credit-related notes
 
Maximum payout/Notional amount
September 30, 2019 (in millions)
Protection sold
Protection
purchased with
identical underlyings(b)
Net protection (sold)/purchased(c)
 
Other protection purchased(d)
Credit derivatives
 
 
 
 
 
 
Credit default swaps
$
(610,946
)
 
$
623,709

$
12,763

 
$
3,630

Other credit derivatives(a)
(55,919
)
 
61,847

5,928

 
8,503

Total credit derivatives
(666,865
)
 
685,556

18,691

 
12,133

Credit-related notes
—

 
—

—

 
9,297

Total
$
(666,865
)
 
$
685,556

$
18,691

 
$
21,430

 
 
 
 
 
 
 
 
Maximum payout/Notional amount
December 31, 2018 (in millions)
Protection sold
Protection
purchased with
identical underlyings(b)
Net protection (sold)/purchased(c)
 
Other protection purchased(d)
Credit derivatives
 
 
 
 
 
 
Credit default swaps
$
(697,220
)
 
$
707,282

$
10,062

 
$
4,053

Other credit derivatives(a)
(41,244
)
 
42,484

1,240

 
8,488

Total credit derivatives
(738,464
)
 
749,766

11,302

 
12,541

Credit-related notes
—

 
—

—

 
8,425

Total
$
(738,464
)
 
$
749,766

$
11,302

 
$
20,966

(a)
Other credit derivatives predominantly consist of credit swap options and total return swaps.
(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 September 30, 2019, and December 31, 2018, 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
 
 
 
September 30, 2019
(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
$
(106,698
)
 
$
(316,946
)
 
$
(75,615
)
 
$
(499,259
)
 
$
5,621

 
$
(1,260
)
 
$
4,361

Noninvestment-grade
(39,180
)
 
(103,249
)
 
(25,177
)
 
(167,606
)
 
4,699

 
(3,415
)
 
1,284

Total
$
(145,878
)
 
$
(420,195
)
 
$
(100,792
)
 
$
(666,865
)
 
$
10,320

 
$
(4,675
)
 
$
5,645

December 31, 2018
(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
$
(115,443
)
 
$
(402,325
)
 
$
(43,611
)
 
$
(561,379
)
 
$
5,720

 
$
(2,791
)
 
$
2,929

Noninvestment-grade
(45,897
)
 
(119,348
)
 
(11,840
)
 
(177,085
)
 
4,719

 
(5,660
)
 
(941
)
Total
$
(161,340
)
 
$
(521,673
)
 
$
(55,451
)
 
$
(738,464
)
 
$
10,439

 
$
(8,451
)
 
$
1,988


(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.