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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2018
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
192
•
Interest rate
Hedge floating-rate assets and liabilities
Cash flow hedge
Corporate
194
•
Foreign exchange
Hedge foreign currency-denominated assets and liabilities
Fair value hedge
Corporate
192
•
Foreign exchange
Hedge foreign currency-denominated forecasted revenue and expense
Cash flow hedge
Corporate
194
•
Foreign exchange
Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities
Net investment hedge
Corporate
195
•
Commodity
Hedge commodity inventory
Fair value hedge
CIB
192
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
195
•
Credit
Manage the credit risk of wholesale lending exposures
Specified risk management
CIB
195
•
Interest rate and foreign exchange
Manage the risk of certain other specified assets and liabilities
Specified risk management
Corporate
195
Market-making derivatives and other activities:
 
 
 
•
Various
Market-making and related risk management
Market-making and other
CIB
195
•
Various
Other derivatives
Market-making and other
CIB, Corporate
195
Notional amount of derivative contracts The following table summarizes the notional amount of derivative contracts outstanding as of December 31, 2018 and 2017.
 
Notional amounts(b)
December 31, (in billions)
2018
 
2017
 
Interest rate contracts
 
 
 
 
Swaps
$
21,763

 
$
21,043

 
Futures and forwards
3,562

 
4,904

 
Written options
3,997

 
3,576

 
Purchased options
4,322

 
3,987

 
Total interest rate contracts
33,644

 
33,510

 
Credit derivatives(a)
1,501

 
1,522

 
Foreign exchange contracts
 
 
 

 
Cross-currency swaps
3,548

 
3,953

 
Spot, futures and forwards
5,871

 
5,923

 
Written options
835

 
786

 
Purchased options
830

 
776

 
Total foreign exchange contracts
11,084

 
11,438

 
Equity contracts
 
 
 
 
Swaps
346

 
367

 
Futures and forwards
101

 
90

 
Written options
528

 
531

 
Purchased options
490

 
453

 
Total equity contracts
1,465

 
1,441

 
Commodity contracts
 
 
 

 
Swaps
134

 
133

(c) 
Spot, futures and forwards
156

 
168

 
Written options
135

 
98

 
Purchased options
120

 
93

 
Total commodity contracts
545

 
492

(c) 
Total derivative notional amounts
$
48,239

 
$
48,403

(c) 
(a)
For more information on volumes and types of credit derivative contracts, refer to the Credit derivatives discussion on pages 195-197.
(b)
Represents the sum of gross long and gross short third-party notional derivative contracts.
(c)
The prior period amounts have been revised to conform with the current period presentation.
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, 2018 and 2017, 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, 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

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross derivative receivables
 
 
 
Gross derivative payables
 
 
December 31, 2017
(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
$
314,962

(c) 
$
1,030

(c) 
$
315,992

 
$
24,673

 
$
284,433

(c) 
$
3

(c) 
$
284,436

 
$
7,129

Credit
23,205

 
—

 
23,205

 
869

 
23,252

 
—

 
23,252

 
1,299

Foreign exchange
159,740

 
491

 
160,231

 
16,151

 
154,601

 
1,221

 
155,822

 
12,473

Equity
40,040

 
—

 
40,040

 
7,882

 
45,395

 
—

 
45,395

 
9,192

Commodity
20,066

 
19

 
20,085

 
6,948

 
21,498

 
403

 
21,901

 
7,684

Total fair value of trading assets and liabilities
$
558,013

(c) 
$
1,540

(c) 
$
559,553

 
$
56,523

 
$
529,179

(c) 
$
1,627

(c) 
$
530,806

 
$
37,777

(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.
(c)
The prior period amounts have been revised to conform with the current period presentation.
Offsetting assets The following tables present, as of December 31, 2018 and 2017, 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.
 
2018
 
2017
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
$
258,227

$
(239,498
)
 
$
18,729

 
$
305,569

 
$
(284,917
)
 
$
20,652

 
OTC–cleared
6,404

(5,856
)
 
548

 
6,531

 
(6,318
)
 
213

 
Exchange-traded(a)
322

(136
)
 
186

 
185

 
(84
)
 
101

 
Total interest rate contracts
264,953

(245,490
)
 
19,463

 
312,285

 
(291,319
)
 
20,966

 
Credit contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
12,648

(12,261
)
 
387

 
15,390

 
(15,165
)
 
225

 
OTC–cleared
7,267

(7,222
)
 
45

 
7,225

 
(7,170
)
 
55

 
Total credit contracts
19,915

(19,483
)
 
432

 
22,615

 
(22,335
)
 
280

 
Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
163,862

(153,988
)
 
9,874

 
155,289

 
(142,420
)
 
12,869

 
OTC–cleared
235

(226
)
 
9

 
1,696

 
(1,654
)
 
42

 
Exchange-traded(a)
32

(21
)
 
11

 
141

 
(7
)
 
134

 
Total foreign exchange contracts
164,129

(154,235
)
 
9,894

 
157,126

 
(144,081
)
 
13,045

 
Equity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
26,178

(23,879
)
 
2,299

 
22,024

 
(19,917
)
 
2,107

 
Exchange-traded(a)
18,876

(15,460
)
 
3,416

 
14,188

 
(12,241
)
 
1,947

 
Total equity contracts
45,054

(39,339
)
 
5,715

 
36,212

 
(32,158
)
 
4,054

 
Commodity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
7,448

(5,261
)
 
2,187

 
7,204

(e) 
(4,436
)
 
2,768

(e) 
Exchange-traded(a)
8,815

(8,218
)
 
597

 
8,854

 
(8,701
)
 
153

 
Total commodity contracts
16,263

(13,479
)
 
2,784

 
16,058

(e) 
(13,137
)
 
2,921

(e) 
Derivative receivables with appropriate legal opinion
510,314

(472,026
)
 
38,288

(d) 
544,296

(e) 
(503,030
)
 
41,266

(d)(e) 
Derivative receivables where an appropriate legal opinion has not been either sought or obtained
15,925

 
 
15,925

 
15,257

(e) 
 
 
15,257

(e) 
Total derivative receivables recognized on the Consolidated balance sheets
$
526,239

 
 
$
54,213

 
$
559,553

 
 
 
$
56,523

 
Collateral not nettable on the Consolidated balance sheets(b)(c)
 
 
 
(13,046
)
 
 
 
 
 
(13,363
)
 
Net amounts
 
 
 
$
41,167

 
 
 
 
 
$
43,160

 
Offsetting liabilities
 
2018
 
2017
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
$
233,404

$
(228,369
)
 
$
5,035

 
$
276,960

 
$
(271,294
)
 
$
5,666

 
OTC–cleared
7,163

(6,494
)
 
669

 
6,004

 
(5,928
)
 
76

 
Exchange-traded(a)
210

(135
)
 
75

 
127

 
(84
)
 
43

 
Total interest rate contracts
240,777

(234,998
)
 
5,779

 
283,091

 
(277,306
)
 
5,785

 
Credit contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
13,412

(11,895
)
 
1,517

 
16,194

 
(15,170
)
 
1,024

 
OTC–cleared
6,716

(6,714
)
 
2

 
6,801

 
(6,784
)
 
17

 
Total credit contracts
20,128

(18,609
)
 
1,519

 
22,995

 
(21,954
)
 
1,041

 
Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
160,930

(152,161
)
 
8,769

 
150,966

 
(141,789
)
 
9,177

 
OTC–cleared
274

(268
)
 
6

 
1,555

 
(1,553
)
 
2

 
Exchange-traded(a)
16

(3
)
 
13

 
98

 
(7
)
 
91

 
Total foreign exchange contracts
161,220

(152,432
)
 
8,788

 
152,619

 
(143,349
)
 
9,270

 
Equity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
29,437

(25,544
)
 
3,893

 
28,193

 
(23,969
)
 
4,224

 
Exchange-traded(a)
16,285

(15,490
)
 
795

 
12,720

 
(12,234
)
 
486

 
Total equity contracts
45,722

(41,034
)
 
4,688

 
40,913

 
(36,203
)
 
4,710

 
Commodity contracts:
 
 
 
 
 
 
 
 
 
 
 
OTC
8,930

(4,838
)
 
4,092

 
7,697

(e) 
(5,508
)
 
2,189

(e) 
Exchange-traded(a)
8,259

(8,208
)
 
51

 
8,870

 
(8,709
)
 
161

 
Total commodity contracts
17,189

(13,046
)
 
4,143

 
16,567

(e) 
(14,217
)
 
2,350

(e) 
Derivative payables with appropriate legal opinion
485,036

(460,119
)
 
24,917

(d) 
516,185

(e) 
(493,029
)
 
23,156

(d)(e) 
Derivative payables where an appropriate legal opinion has not been either sought or obtained
16,852

 
 
16,852

 
14,621

(e) 
 
 
14,621

(e) 
Total derivative payables recognized on the Consolidated balance sheets
$
501,888

 
 
$
41,769

 
$
530,806

 
 
 
$
37,777

 
Collateral not nettable on the Consolidated balance sheets(b)(c)
 
 
 
(4,449
)
 
 
 
 
 
(4,180
)
 
Net amounts
 
 
 
$
37,320

 
 
 
 
 
$
33,597

 
(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 $55.2 billion and $55.5 billion at December 31, 2018 and 2017, respectively. Net derivatives payable included cash collateral netted of $43.3 billion and $45.5 billion at December 31, 2018 and 2017, respectively. Derivative cash collateral relates to OTC and OTC-cleared derivative instruments.
(e)
The prior period amounts have been revised to conform with the current period presentation.
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 v
alue 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, 2018 and 2017.
OTC and OTC-cleared derivative payables containing downgrade triggers
December 31, (in millions)
2018
2017
Aggregate fair value of net derivative payables
$
9,396

$
11,916

Collateral posted
8,907

9,973



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, 2018 and 2017, 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
 
2018
 
2017
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)
$
76

$
947

 
$
79

$
1,989

Amount required to settle contracts with termination triggers upon downgrade(b)
172

764

 
320

650

(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, 2018, 2017 and 2016, 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(f)

OCI impact
Year ended December 31, 2018
(in millions)
Derivatives
Hedged items
Income statement impact
 
Amortization approach
Changes in fair value

Derivatives - Gains/(losses) recorded in OCI(g)
Contract type
 
 
 
 
 
 
 
 
Interest rate(a)(b)
$
(1,145
)
$
1,782

$
637

 
$
—

$
623

 
$
—

Foreign exchange(c)
1,092

(616
)
476

 
(566
)
476

 
(140
)
Commodity(d)
789

(754
)
35

 
—

26

 
—

Total
$
736

$
412

$
1,148

 
$
(566
)
$
1,125

 
$
(140
)
 
 
 
 
 
 
 
 
 
 
Gains/(losses) recorded in income
 
Income statement impact due to:
 
 
Year ended December 31, 2017
(in millions)
Derivatives
Hedged items
Income statement impact
 
Hedge ineffectiveness(e)
Excluded components(f)
 
 
Contract type
 
 
 
 
 
 
 
 
Interest rate(a)(b)
$
(481
)
$
1,359

$
878

 
$
(18
)
$
896

 
 
Foreign exchange(c)
(3,509
)
3,507

(2
)
 
—

(2
)
 
 
Commodity(d)
(1,275
)
1,348

73

 
29

44

 
 
Total
$
(5,265
)
$
6,214

$
949

 
$
11

$
938

 
 
 
 
 
 
 
 
 
 
 
 
Gains/(losses) recorded in income
 
Income statement impact due to:
 
 
Year ended December 31, 2016
(in millions)
Derivatives
Hedged items
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

 
 
(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)
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, time values and cross-currency basis spreads. Under the new hedge accounting guidance, 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.
(g)
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 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:
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 $6.8 billion 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. The carrying amount excluded for available-for-sale securities is $14.6 billion and for long-term debt is $7.3 billion.
(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 years ended December 31, 2018, 2017 and 2016, 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)
Year ended December 31, 2018
(in millions)
Amounts reclassified from AOCI to income
Amounts recorded in OCI
Total change
in OCI
for period
Contract type
 
 
 
Interest rate(a)
$
44

$
(44
)
$
(88
)
Foreign exchange(b)
(26
)
(201
)
(175
)
Total
$
18

$
(245
)
$
(263
)
 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Year ended December 31, 2017
(in millions)
Amounts reclassified from AOCI to income
Amounts recorded in OCI(c)
Total change
in OCI
for period
Contract type
 
 
 
Interest rate(a)
$
(17
)
$
12

$
29

Foreign exchange(b)
(117
)
135

252

Total
$
(134
)
$
147

$
281

 
 
 
 
 
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Year ended December 31, 2016
(in millions)
Amounts reclassified from AOCI to income
Amounts recorded in OCI(c)
Total change
in OCI
for period
Contract type
 
 
 
Interest rate(a)
$
(74
)
$
(55
)
$
19

Foreign exchange(b)
(286
)
(395
)
(109
)
Total
$
(360
)
$
(450
)
$
(90
)
(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)
Represents the effective portion of changes in value of the related hedging derivative. 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. The Firm did not recognize any ineffectiveness on cash flow hedges during 2017 and 2016.
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, 2018, 2017 and 2016.
 
2018
 
2017
 
2016
Year ended December 31,
(in millions)
Amounts recorded in income(a)(b)
Amounts recorded in
OCI
 
Amounts recorded in income(a)(b)(c)
Amounts recorded in
OCI(d)
 
Amounts recorded in income(a)(b)(c)
Amounts recorded in
OCI(d)
Foreign exchange derivatives
$11
$1,219
 
$(152)
$(1,244)
 
$(280)
$262
(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. For additional information, refer to Note 23.
(c)
The prior period amounts have been revised to conform with the current period presentation.
(d)
Represents the effective portion of changes in value of the related hedging derivative. The Firm did not recognize any ineffectiveness on net investment hedges directly in income during 2017 and 2016.
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
Year ended December 31,
(in millions)
2018

 
2017

 
2016

 
Contract type
 
 
 
 
 
 
Interest rate(a)
$
79

 
$
331

 
$
1,174

 
Credit(b)
(21
)
 
(74
)
 
(282
)
 
Foreign exchange(c)
117

 
(107
)
(d) 
(20
)
(d) 
Total
$
175

 
$
150

(d) 
$
872

(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 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, 2018 (in millions)
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

 
 
 
 
 
 
 
 
 
Maximum payout/Notional amount
 
Protection sold
 
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
December 31, 2017 (in millions)
Credit derivatives
 
 
 
 
 
 
 
Credit default swaps
$
(690,224
)
 
 
$
702,098

 
$
11,874

$
5,045

Other credit derivatives(a)
(54,157
)
 
 
59,158

 
5,001

11,747

Total credit derivatives
(744,381
)
 
 
761,256

 
16,875

16,792

Credit-related notes
(18
)
 
 
—

 
(18
)
7,915

Total
$
(744,399
)
 
 
$
761,256

 
$
16,857

$
24,707

(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, 2018 and 2017, 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, 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

December 31, 2017
(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
$
(159,286
)
 
$
(319,726
)
 
$
(39,429
)
 
$
(518,441
)
 
$
8,516

 
$
(1,134
)
 
$
7,382

Noninvestment-grade
(73,394
)
 
(134,125
)
 
(18,439
)
 
(225,958
)
 
7,407

 
(5,313
)
 
2,094

Total
$
(232,680
)
 
$
(453,851
)
 
$
(57,868
)
 
$
(744,399
)
 
$
15,923

 
$
(6,447
)
 
$
9,476

(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.