JP Morgan Chase 2010 Annual Report Download - page 193

JPMorgan Chase & Co./2010 Annual Report 193
Free-standing derivatives(a)
Derivative receivables Derivative payables
December 31, 2010
(in millions)
Not designated
as hedges
Designated
as hedges
Total derivative
receivables
Not
designated
as hedges
Designated
as hedges
Total derivative
payables
Trading assets and liabil
i
ties
Interest rate
$
1,121,703
$
6,279
$
1,127,982
$
1,089,604
$
840
$
1,090,444
Credit
129,729
—
129,729
125,06
1
—
125,061
Foreign exchange
(b)
165,240 3,231 168,471 163,671 1,059 164,730
Equity
43,633
—
43,633
46,399
—
46,399
Commodity 59,573 24 59,597 56,397 2,078
(d)
58,475
Gross fair value of trading
assets and liabilities $ 1,519,878 $ 9,534 $ 1,529,412 $ 1,481,132 $ 3,977 $ 1,485,109
Netting adjustment(c) (1,448,931) (1,415,890)
Carrying value of deriv
a
tive
trading assets and trading
liabilities on the Consolidated
Balance Sheets $ 80,481 $ 69,219
Derivative receivables Derivative payables
December 31, 2009
(in millions)
Not designated
as hedges
Designated
as hedges
Total derivative
receivables
Not
designated
as hedges
Designated
as hedges
Total derivative
payables
Trading a
ssets and liabil
i
ties
Interest rate $ 1,148,901 $ 6,568 $ 1,155,469 $ 1,121,978 $ 427 $ 1,122,405
Credit 170,864 — 170,864 164,790 — 164,790
Foreign exchange
(b)
141,790 2,497 144,287 137,865 353 138,218
Equity 57,871 — 57,871 58,494 — 58,494
Commodity 36,988 39 37,027 35,082 194
(d)
35,276
Gross fair value of trading
assets and liabilities $ 1,556,414 $ 9,104 $ 1,565,518 $ 1,518,209 $ 974 $ 1,519,183
Netting adjustment(c) (1,485,308) (1,459,058 )
Carrying value of deriv
a
tive
trading assets and trading
liabilities on the Consolidated
Balance Sheets $ 80,210 $ 60,125
(a) Excludes structured notes for which the fair value option has been elected. See Note 4 on pages 187–189 of this Annual Report for further information.
(b) Excludes $21 million of foreign currency-denominated debt designated as a net investment hedge at December 31, 2010. The Firm did not use foreign currency-
denominated debt as a hedging instrument in 2009, and therefore there was no impact as of December, 31, 2009.
(c) U.S. GAAP permits the netting of derivative receivables and payables, and the related cash collateral received and paid when a legally enforceable master netting
agreement exists between the Firm and a derivative counterparty.
(d) Excludes $1.0 billion and $1.3 billion related to commodity derivatives that are embedded in a debt instrument and used as fair value hedging instruments that are
recorded in the line item of the host contract (other borrowed funds) for December 31, 2010 and 2009, respectively.
Derivative receivables and payables mark-to-market
The following table summarizes the fair values of derivative receivables and payables, including those designated as hedges, by contract type after
netting adjustments as of December 31, 2010 and 2009.
Trading assets – Derivative receivables Trading liabilities – Derivative payables
December 31,
(in millions)
2010
2009
2010
2009
Contract type
Interest rate
(a)
$ 32,555 $ 33,733 $ 20,387 $ 19,688
Credit
(a)
7,725 11,859 5,138 6,036
Foreign exchange
25,858
21,984
25,015
19,818
Equity
4,204
6,635
10,450
11,554
Commodity
10,139
5,999
8,229
3,029
Total
$
80,481
$ 80,210
$
69,219
$ 60,125
(a)In 2010, the reporting of cash collateral netting was enhanced to reflect a refined allocation by product. Prior periods have been revised to conform to the current
presentation. The refinement resulted in an increase to interest rate derivative receivables, and an offsetting decrease to credit derivative receivables, of $7.0 billion, and an
increase to interest rate derivative payables and a corresponding decrease to credit derivative payables of $4.5 billion as of December 31, 2009.