Derivative Instruments (Tables)
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3 Months Ended |
Mar. 31, 2020 |
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| 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: | | Hedge fixed rate assets and liabilities | Fair value hedge | Corporate | 109-110 | | Hedge floating-rate assets and liabilities | Cash flow hedge | Corporate | 111 | | Hedge foreign currency-denominated assets and liabilities | Fair value hedge | Corporate | 109-110 | | Hedge foreign currency-denominated forecasted revenue and expense | Cash flow hedge | Corporate | 111 | | Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities | Net investment hedge | Corporate | 112 | | Hedge commodity inventory | Fair value hedge | CIB | 109-110 | Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships: | | Manage the risk associated with mortgage commitments, warehouse loans and MSRs | Specified risk management | CCB | 112 | | Manage the credit risk associated with wholesale lending exposures | Specified risk management | CIB | 112 | • Interest rate and foreign exchange | Manage the risk associated with certain other specified assets and liabilities | Specified risk management | Corporate | 112 | Market-making derivatives and other activities: | | Market-making and related risk management | Market-making and other | CIB | 112 | | 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 March 31, 2020, and December 31, 2019. | | | | | | | | | Notional amounts(b) | (in billions) | March 31, 2020 |
| December 31, 2019 |
| Interest rate contracts | | | Swaps | $ | 27,659 |
| $ | 21,228 |
| Futures and forwards | 7,504 |
| 3,152 |
| Written options | 3,889 |
| 3,938 |
| Purchased options | 4,277 |
| 4,361 |
| Total interest rate contracts | 43,329 |
| 32,679 |
| Credit derivatives(a) | 1,560 |
| 1,242 |
| Foreign exchange contracts | | | Cross-currency swaps | 3,604 |
| 3,604 |
| Spot, futures and forwards | 7,518 |
| 5,577 |
| Written options | 838 |
| 700 |
| Purchased options | 821 |
| 718 |
| Total foreign exchange contracts | 12,781 |
| 10,599 |
| Equity contracts | | | Swaps | 330 |
| 406 |
| Futures and forwards | 122 |
| 142 |
| Written options | 720 |
| 646 |
| Purchased options | 683 |
| 611 |
| Total equity contracts | 1,855 |
| 1,805 |
| Commodity contracts | | | Swaps | 139 |
| 147 |
| Spot, futures and forwards | 219 |
| 211 |
| Written options | 169 |
| 135 |
| Purchased options | 155 |
| 124 |
| Total commodity contracts | 682 |
| 617 |
| Total derivative notional amounts | $ | 60,207 |
| $ | 46,942 |
|
| | (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 March 31, 2020, and December 31, 2019, 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 | | | March 31, 2020
(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 | $ | 401,677 |
| | $ | 826 |
| | $ | 402,503 |
| | $ | 36,901 |
| | $ | 365,052 |
| | $ | 1 |
| | $ | 365,053 |
| | $ | 13,399 |
| Credit | 20,080 |
| | — |
| | 20,080 |
| | 1,185 |
| | 20,878 |
| | — |
| | 20,878 |
| | 2,112 |
| Foreign exchange | 241,466 |
| | 2,056 |
| | 243,522 |
| | 18,983 |
| | 255,304 |
| | 739 |
| | 256,043 |
| | 23,294 |
| Equity | 96,145 |
| | — |
| | 96,145 |
| | 13,215 |
| | 94,202 |
| | — |
| | 94,202 |
| | 12,037 |
| Commodity | 35,960 |
| | 1,695 |
| | 37,655 |
| | 11,364 |
| | 39,069 |
| | 931 |
| | 40,000 |
| | 14,245 |
| Total fair value of trading assets and liabilities | $ | 795,328 |
| | $ | 4,577 |
| | $ | 799,905 |
| | $ | 81,648 |
| | $ | 774,505 |
| | $ | 1,671 |
| | $ | 776,176 |
| | $ | 65,087 |
| | | | | | | | | | | | | | | | | | Gross derivative receivables | | | | Gross derivative payables | | | December 31, 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 | $ | 312,451 |
| | $ | 843 |
| | $ | 313,294 |
| | $ | 27,421 |
| | $ | 279,272 |
| | $ | 1 |
| | $ | 279,273 |
| | $ | 8,603 |
| Credit | 14,876 |
| | — |
| | 14,876 |
| | 701 |
| | 15,121 |
| | — |
| | 15,121 |
| | 1,652 |
| Foreign exchange | 138,179 |
| | 308 |
| | 138,487 |
| | 9,005 |
| | 144,125 |
| | 983 |
| | 145,108 |
| | 13,158 |
| Equity | 45,727 |
| | — |
| | 45,727 |
| | 6,477 |
| | 52,741 |
| | — |
| | 52,741 |
| | 12,537 |
| Commodity | 16,914 |
| | 328 |
| | 17,242 |
| | 6,162 |
| | 19,736 |
| | 149 |
| | 19,885 |
| | 7,758 |
| Total fair value of trading assets and liabilities | $ | 528,147 |
| | $ | 1,479 |
| | $ | 529,626 |
| | $ | 49,766 |
| | $ | 510,995 |
| | $ | 1,133 |
| | $ | 512,128 |
| | $ | 43,708 |
|
| | (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 March 31, 2020, and December 31, 2019, 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. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2020 | | December 31, 2019 | (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”) | $ | 378,111 |
| $ | (348,926 | ) | | $ | 29,185 |
| | $ | 299,205 |
| | $ | (276,255 | ) | | $ | 22,950 |
| | OTC–cleared | 15,768 |
| (15,527 | ) | | 241 |
| | 9,442 |
| | (9,360 | ) | | 82 |
| | Exchange-traded(a) | 1,381 |
| (1,149 | ) | | 232 |
| | 347 |
| | (258 | ) | | 89 |
| | Total interest rate contracts | 395,260 |
| (365,602 | ) | | 29,658 |
| | 308,994 |
| | (285,873 | ) | | 23,121 |
| | Credit contracts: | | | | | | | | | | | | OTC | 16,918 |
| (16,106 | ) | | 812 |
| | 10,743 |
| | (10,317 | ) | | 426 |
| | OTC–cleared | 2,828 |
| (2,789 | ) | | 39 |
| | 3,864 |
| | (3,858 | ) | | 6 |
| | Total credit contracts | 19,746 |
| (18,895 | ) | | 851 |
| | 14,607 |
| | (14,175 | ) | | 432 |
| | Foreign exchange contracts: | | | | | | | | | | | | OTC | 236,738 |
| (223,245 | ) | | 13,493 |
| | 136,252 |
| | (129,324 | ) | | 6,928 |
| | OTC–cleared | 1,363 |
| (1,287 | ) | | 76 |
| | 185 |
| | (152 | ) | | 33 |
| | Exchange-traded(a) | 70 |
| (7 | ) | | 63 |
| | 10 |
| | (6 | ) | | 4 |
| | Total foreign exchange contracts | 238,171 |
| (224,539 | ) | | 13,632 |
| | 136,447 |
| | (129,482 | ) | | 6,965 |
| | Equity contracts: | | | | | | | | | | | | OTC | 48,813 |
| (44,174 | ) | | 4,639 |
| | 23,106 |
| | (20,820 | ) | | 2,286 |
| | Exchange-traded(a) | 43,646 |
| (38,756 | ) | | 4,890 |
| | 19,654 |
| | (18,430 | ) | | 1,224 |
| | Total equity contracts | 92,459 |
| (82,930 | ) | | 9,529 |
| | 42,760 |
| | (39,250 | ) | | 3,510 |
| | Commodity contracts: | | | | | | | | | | | | OTC | 16,410 |
| (11,590 | ) | | 4,820 |
| | 7,093 |
| | (5,149 | ) | | 1,944 |
| | OTC–cleared | 34 |
| (34 | ) | | — |
| | 28 |
| | (28 | ) | | — |
| | Exchange-traded(a) | 15,075 |
| (14,667 | ) | | 408 |
| | 6,154 |
| | (5,903 | ) | | 251 |
| | Total commodity contracts | 31,519 |
| (26,291 | ) | | 5,228 |
| | 13,275 |
| | (11,080 | ) | | 2,195 |
| | Derivative receivables with appropriate legal opinion | 777,155 |
| (718,257 | ) | | 58,898 |
| (d) | 516,083 |
| | (479,860 | ) | | 36,223 |
| (d) | Derivative receivables where an appropriate legal opinion has not been either sought or obtained | 22,750 |
| | | 22,750 |
| | 13,543 |
| | | | 13,543 |
| | Total derivative receivables recognized on the Consolidated balance sheets | $ | 799,905 |
| | | $ | 81,648 |
| | $ | 529,626 |
| | | | $ | 49,766 |
| | Collateral not nettable on the Consolidated balance sheets(b)(c) | | | | (22,623 | ) | | | | | | (14,226 | ) | | Net amounts | | | | $ | 59,025 |
| | | | | | $ | 35,540 |
| |
|
| Offsetting liabilities |
| | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2020 | | December 31, 2019 | (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 | $ | 343,787 |
| $ | (334,453 | ) | | $ | 9,334 |
| | $ | 267,311 |
| | $ | (260,229 | ) | | $ | 7,082 |
| | OTC–cleared | 16,701 |
| (16,051 | ) | | 650 |
| | 10,217 |
| | (10,138 | ) | | 79 |
| | Exchange-traded(a) | 1,410 |
| (1,150 | ) | | 260 |
| | 365 |
| | (303 | ) | | 62 |
| | Total interest rate contracts | 361,898 |
| (351,654 | ) | | 10,244 |
| | 277,893 |
| | (270,670 | ) | | 7,223 |
| | Credit contracts: | | | | | | | | | | | | OTC | 17,731 |
| (16,080 | ) | | 1,651 |
| | 11,570 |
| | (10,080 | ) | | 1,490 |
| | OTC–cleared | 2,691 |
| (2,686 | ) | | 5 |
| | 3,390 |
| | (3,389 | ) | | 1 |
| | Total credit contracts | 20,422 |
| (18,766 | ) | | 1,656 |
| | 14,960 |
| | (13,469 | ) | | 1,491 |
| | Foreign exchange contracts: | | | | | | | | | | | | OTC | 249,340 |
| (231,457 | ) | | 17,883 |
| | 142,360 |
| | (131,792 | ) | | 10,568 |
| | OTC–cleared | 1,369 |
| (1,273 | ) | | 96 |
| | 186 |
| | (152 | ) | | 34 |
| | Exchange-traded(a) | 42 |
| (19 | ) | | 23 |
| | 12 |
| | (6 | ) | | 6 |
| | Total foreign exchange contracts | 250,751 |
| (232,749 | ) | | 18,002 |
| | 142,558 |
| | (131,950 | ) | | 10,608 |
| | Equity contracts: | | | | | | | | | | | | OTC | 50,264 |
| (43,401 | ) | | 6,863 |
| | 27,594 |
| | (21,778 | ) | | 5,816 |
| | Exchange-traded(a) | 39,581 |
| (38,764 | ) | | 817 |
| | 20,216 |
| | (18,426 | ) | | 1,790 |
| | Total equity contracts | 89,845 |
| (82,165 | ) | | 7,680 |
| | 47,810 |
| | (40,204 | ) | | 7,606 |
| | Commodity contracts: | | | | | | | | | | | | OTC | 19,040 |
| (11,070 | ) | | 7,970 |
| | 8,714 |
| | (6,235 | ) | | 2,479 |
| | OTC–cleared | 39 |
| (39 | ) | | — |
| | 30 |
| | (30 | ) | | — |
| | Exchange-traded(a) | 14,838 |
| (14,646 | ) | | 192 |
| | 6,012 |
| | (5,862 | ) | | 150 |
| | Total commodity contracts | 33,917 |
| (25,755 | ) | | 8,162 |
| | 14,756 |
| | (12,127 | ) | | 2,629 |
| | Derivative payables with appropriate legal opinion | 756,833 |
| (711,089 | ) | | 45,744 |
| (d) | 497,977 |
| | (468,420 | ) | | 29,557 |
| (d) | Derivative payables where an appropriate legal opinion has not been either sought or obtained | 19,343 |
| | | 19,343 |
| | 14,151 |
| | | | 14,151 |
| | Total derivative payables recognized on the Consolidated balance sheets | $ | 776,176 |
| | | $ | 65,087 |
| | $ | 512,128 |
| | | | $ | 43,708 |
| | Collateral not nettable on the Consolidated balance sheets(b)(c) | | | | (10,960 | ) | | | | | | (7,896 | ) | | Net amounts | | | | $ | 54,127 |
| | | | | | $ | 35,812 |
| |
| | (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 $90.9 billion and $65.9 billion at March 31, 2020, and December 31, 2019, respectively. Net derivatives payable included cash collateral netted of $83.7 billion and $54.4 billion at March 31, 2020, and December 31, 2019, 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 March 31, 2020, and December 31, 2019. | | | | | | | | | | | OTC and OTC-cleared derivative payables containing downgrade triggers | (in millions) | March 31, 2020 | | | December 31, 2019 | | Aggregate fair value of net derivative payables | | $ | 29,521 |
| | | $ | 14,819 |
| Collateral posted | | 28,184 |
| | | 13,329 |
|
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 March 31, 2020, and December 31, 2019, 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 | | | | | | March 31, 2020 | | December 31, 2019 | (in millions) | Single-notch downgrade | Two-notch downgrade | | Single-notch downgrade | Two-notch downgrade | Amount of additional collateral to be posted upon downgrade(a) | $ | 180 |
| $ | 1,286 |
| | $ | 189 |
| $ | 1,467 |
| Amount required to settle contracts with termination triggers upon downgrade(b) | 191 |
| 2,749 |
| | 104 |
| 1,398 |
|
| | (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 months ended March 31, 2020 and 2019, 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 March 31, 2020
(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) | $ | 4,087 |
| $ | (3,788 | ) | $ | 299 |
| | $ | — |
| $ | 214 |
| | $ | — |
| Foreign exchange(c) | 576 |
| (488 | ) | 88 |
| | (179 | ) | 88 |
| | 115 |
| Commodity(d) | 1,528 |
| (1,482 | ) | 46 |
| | — |
| 49 |
| | — |
| Total | $ | 6,191 |
| $ | (5,758 | ) | $ | 433 |
| | $ | (179 | ) | $ | 351 |
| | $ | 115 |
|
| | | | | | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income | | Income statement impact of excluded components(e)
| | OCI impact | Three months ended March 31, 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) | $ | 1,464 |
| $ | (1,293 | ) | $ | 171 |
| | $ | — |
| $ | 172 |
| | $ | — |
| Foreign exchange(c) | (290 | ) | 409 |
| 119 |
| | (222 | ) | 119 |
| | 3 |
| Commodity(d) | (288 | ) | 294 |
| 6 |
| | — |
| 1 |
| | — |
| Total | $ | 886 |
| $ | (590 | ) | $ | 296 |
| | $ | (222 | ) | $ | 292 |
| | $ | 3 |
|
| | (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. Excluded components may impact earnings either through amortization of the initial amount over the life of the derivative, or through fair value changes recognized in the current period. |
(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 March 31, 2020 and December 31, 2019, 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:
| March 31, 2020
(in millions) | | | Active hedging relationships | Discontinued hedging relationships(d)(e) | Total | Assets | | | | | | | Investment securities - AFS
| | $ | 125,652 |
| (c) | $ | 8,214 |
| $ | 246 |
| $ | 8,460 |
| Liabilities | | | | | | | Long-term debt | | $ | 172,446 |
| | $ | 17,138 |
| $ | 747 |
| $ | 17,885 |
| Beneficial interests issued by consolidated VIEs | | 2,368 |
| | — |
| (6 | ) | (6 | ) | | | | | | | | | | 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, 2019
(in millions) | | | Active hedging relationships | Discontinued hedging relationships(d)(e) | Total | Assets | | | | | | | Investment securities - AFS
| | $ | 125,860 |
| (c) | $ | 2,110 |
| $ | 278 |
| $ | 2,388 |
| Liabilities | | | | | | | Long-term debt | | $ | 157,545 |
| | $ | 6,719 |
| $ | 161 |
| $ | 6,880 |
| Beneficial interests issued by consolidated VIEs | | 2,365 |
| | — |
| (8 | ) | (8 | ) |
| | (a) | Excludes physical commodities with a carrying value of $6.7 billion and $6.5 billion at March 31, 2020 and December 31, 2019, 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. Since 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 March 31, 2020 and December 31, 2019, the carrying amount excluded for AFS securities is $16.7 billion and $14.9 billion, respectively, and for long-term debt is $1.9 billion and $2.8 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. |
(e) Positive amounts related to assets represent cumulative fair value hedge basis adjustments that will reduce net interest income in future periods. Positive (negative) amounts related to liabilities represent cumulative fair value hedge basis adjustments that will increase (reduce) net interest income in future periods.
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| 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 months ended March 31, 2020 and 2019, 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 March 31, 2020
(in millions) | Amounts reclassified from AOCI to income | Amounts recorded in OCI | Total change
in OCI
for period | Contract type | | | | Interest rate(a) | $ | (9 | ) | $ | 3,461 |
| $ | 3,470 |
| Foreign exchange(b) | 17 |
| (210 | ) | (227 | ) | Total | $ | 8 |
| $ | 3,251 |
| $ | 3,243 |
| | | | | | Derivatives gains/(losses) recorded in income and other comprehensive income/(loss) | Three months ended March 31, 2019
(in millions) | Amounts reclassified from AOCI to income | Amounts recorded in OCI | Total change
in OCI
for period | Contract type | | | | Interest rate(a) | $ | 2 |
| $ | 56 |
| $ | 54 |
| Foreign exchange(b) | (41 | ) | 85 |
| 126 |
| Total | $ | (39 | ) | $ | 141 |
| $ | 180 |
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| | (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.
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| 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 months ended March 31, 2020 and 2019. | | | | | | | | | | | | | | | | | | | | Gains/(losses) recorded in income and other comprehensive income/(loss) | | 2020 | | 2019 | Three months ended March 31,
(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 | | $ | 10 |
| | $ | 1,589 |
| | | $ | 21 |
| | $ | (38 | ) |
| | (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. There were no sales or liquidations of legal entities that resulted in reclassifications in the periods presented.
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| 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 mortgage commitments, warehouse loans, MSRs, wholesale lending exposures, and foreign currency-denominated assets and liabilities. | | | | | | | | | Derivatives gains/(losses) recorded in income | | Three months ended March 31, | (in millions) | 2020 | 2019 | Contract type | | | Interest rate(a) | $ | 1,292 |
| $ | 292 |
| Credit(b) | 61 |
| (10 | ) | Foreign exchange(c) | 106 |
| 50 |
| Total | $ | 1,459 |
| $ | 332 |
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| | (a) | Primarily represents interest rate derivatives used to hedge the interest rate risk inherent in mortgage commitments, 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.
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| Credit derivatives table |
The following tables present a summary of the notional amounts of credit derivatives and credit-related notes the Firm sold and purchased as of March 31, 2020 and December 31, 2019. The Firm does not use notional amounts of credit derivatives as the primary measure of risk management for such derivatives, because the notional amount does not take into account the probability of the occurrence of a credit event, the recovery value of the reference obligation, or related cash instruments and economic hedges, each of which reduces, in the Firm’s view, the risks associated with such derivatives. Total credit derivatives and credit-related notes | | | | | | | | | | | | | | | | | Maximum payout/Notional amount | March 31, 2020 (in millions) | Protection sold | Protection purchased with identical underlyings(b) | Net protection (sold)/purchased(c) | | Other protection purchased(d) | Credit derivatives | | | | | | | Credit default swaps | $ | (705,723 | ) | | $ | 721,125 |
| $ | 15,402 |
| | $ | 4,454 |
| Other credit derivatives(a) | (59,153 | ) | | 61,245 |
| 2,092 |
| | 7,800 |
| Total credit derivatives | (764,876 | ) | | 782,370 |
| 17,494 |
| | 12,254 |
| Credit-related notes | — |
| | — |
| — |
| | 9,002 |
| Total | $ | (764,876 | ) | | $ | 782,370 |
| $ | 17,494 |
| | $ | 21,256 |
| | | | | | | | | Maximum payout/Notional amount | December 31, 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 | $ | (562,338 | ) | | $ | 571,892 |
| $ | 9,554 |
| | $ | 3,936 |
| Other credit derivatives(a) | (44,929 | ) | | 52,007 |
| 7,078 |
| | 7,364 |
| Total credit derivatives | (607,267 | ) | | 623,899 |
| 16,632 |
| | 11,300 |
| Credit-related notes | — |
| | — |
| — |
| | 9,606 |
| Total | $ | (607,267 | ) | | $ | 623,899 |
| $ | 16,632 |
| | $ | 20,906 |
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| | (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.
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| 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 March 31, 2020, and December 31, 2019, where JPMorgan Chase is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives and credit-related notes where JPMorgan Chase is the purchaser of protection are comparable to the profile reflected below. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Protection sold — credit derivatives and credit-related notes ratings(a)/maturity profile | | | | March 31, 2020
(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 | $ | (119,850 | ) | | $ | (377,563 | ) | | $ | (84,443 | ) | | $ | (581,856 | ) | | $ | 2,735 |
| | $ | (4,961 | ) | | $ | (2,226 | ) | Noninvestment-grade | (40,423 | ) | | (115,600 | ) | | (26,997 | ) | | (183,020 | ) | | 1,837 |
| | (9,104 | ) | | (7,267 | ) | Total | $ | (160,273 | ) | | $ | (493,163 | ) | | $ | (111,440 | ) | | $ | (764,876 | ) | | $ | 4,572 |
| | $ | (14,065 | ) | | $ | (9,493 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 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 | $ | (114,460 | ) | | $ | (311,407 | ) | | $ | (42,129 | ) | | $ | (467,996 | ) | | $ | 6,153 |
| | $ | (911 | ) | | $ | 5,242 |
| Noninvestment-grade | (41,661 | ) | | (87,769 | ) | | (9,841 | ) | | (139,271 | ) | | 4,281 |
| | (2,882 | ) | | 1,399 |
| Total | $ | (156,121 | ) | | $ | (399,176 | ) | | $ | (51,970 | ) | | $ | (607,267 | ) | | $ | 10,434 |
| | $ | (3,793 | ) | | $ | 6,641 |
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| | (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.
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