JP Morgan Chase 2013 Annual Report Download - page 224

Notes to consolidated financial statements
230 JPMorgan Chase & Co./2013 Annual Report
Cash flow hedge gains and losses
The following tables present derivative instruments, by contract type, used in cash flow hedge accounting relationships, and
the pretax gains/(losses) recorded on such derivatives, for the years ended December 31, 2013, 2012 and 2011, respectively.
The Firm includes the gain/(loss) on the hedging derivative and the change in cash flows on the hedged item in the same line
item in the Consolidated Statements of Income.
Gains/(losses) recorded in income and other comprehensive income/(loss)(c)
Year ended December 31, 2013
(in millions)
Derivatives –
effective portion
reclassified from
AOCI to income
Hedge
ineffectiveness
recorded
directly in
income(d)
Total income
statement
impact
Derivatives –
effective portion
recorded in OCI
Total change
in OCI
for period
Contract type
Interest rate(a) $ (108) $ — $ (108) $ (565) $ (457)
Foreign exchange(b) 7 — 7 40 33
Total $ (101) $ — $ (101) $ (525) $ (424)
Gains/(losses) recorded in income and other comprehensive income/(loss)(c)
Year ended December 31, 2012
(in millions)
Derivatives –
effective portion
reclassified from
AOCI to income
Hedge
ineffectiveness
recorded
directly in
income(d)
Total income
statement
impact
Derivatives –
effective portion
recorded in OCI
Total change
in OCI
for period
Contract type
Interest rate(a) $ (3) $ 5 $ 2 $ 13 $ 16
Foreign exchange(b) 31 — 31 128 97
Total $ 28 $ 5 $ 33 $ 141 $ 113
Gains/(losses) recorded in income and other comprehensive income/(loss)(c)
Year ended December 31, 2011
(in millions)
Derivatives –
effective portion
reclassified from
AOCI to income
Hedge
ineffectiveness
recorded
directly in
income(d)
Total income
statement
impact
Derivatives –
effective portion
recorded in OCI
Total change
in OCI
for period
Contract type
Interest rate(a) $ 310 $ 19 $ 329 $ 107 $ (203)
Foreign exchange(b) (9) — (9) (57) (48)
Total $ 301 $ 19 $ 320 $ 50 $ (251)
(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) The Firm did not experience any forecasted transactions that failed to occur for the years ended December 31, 2013, 2012 or 2011.
(d) 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.
Over the next 12 months, the Firm expects that $4.6 million (after-tax) of net losses recorded in AOCI at December 31, 2013,
related to cash flow hedges will be recognized in income. The maximum length of time over which forecasted transactions are
hedged is 10 years, and such transactions primarily relate to core lending and borrowing activities.