JP Morgan Chase 2014 Annual Report Download - page 197

JPMorgan Chase & Co./2014 Annual Report 195
(d) Realized gains/(losses) on AFS securities, as well as other-than-temporary impairment losses that are recorded in earnings, are reported in securities gains. Unrealized gains/
(losses) are reported in Other Comprehensive Income (“OCI”). Realized gains/(losses) and foreign exchange remeasurement adjustments recorded in income on AFS securities
were $(43) million, $17 million, and $145 million for the years ended December 31, 2014, 2013 and 2012, respectively. Unrealized gains/(losses) recorded on AFS securities
in OCI were $(16) million, $13 million and $45 million for the years ended December 31, 2014, 2013 and 2012, respectively.
(e) Changes in fair value for CCB mortgage servicing rights are reported in mortgage fees and related income.
(f) Predominantly reported in other income.
(g) Loan originations are included in purchases.
(h) All transfers into and/or out of level 3 are assumed to occur at the beginning of the quarterly reporting period in which they occur.
(i) The prior period amounts have been revised. The revision had no impact on the Firm’s Consolidated balance sheets or its results of operations.
Level 3 analysis
Consolidated balance sheets changes
Level 3 assets (including assets measured at fair value on a
nonrecurring basis) were 2.1% of total Firm assets at
December 31, 2014. The following describes significant
changes to level 3 assets since December 31, 2013, for
those items measured at fair value on a recurring basis. For
further information on changes impacting items measured
at fair value on a nonrecurring basis, see Assets and
liabilities measured at fair value on a nonrecurring basis on
page 197.
For the year ended December 31, 2014
Level 3 assets were $50.9 billion at December 31, 2014,
reflecting a decrease of $18.4 billion from December 31,
2013, due to the following:
• $6.0 billion decrease in gross derivative receivables due
to a $4.5 billion decrease in equity derivative
receivables due to expirations and a transfer from level
3 into level 2 as a result of an increase in observability
of certain equity option valuation inputs; and a
$1.2 billion decrease in interest rate derivatives due to
market movements;
• $4.7 billion decrease in trading assets - debt and equity
instruments is largely due to a decrease of $2.9 billion
in corporate debt securities. The decrease in corporate
debt securities is driven by transfers from level 3 to level
2 as a result of an increase in observability of certain
valuation inputs, as well as net sales and maturities;
• $4.0 billion decrease in private equity investments
predominantly driven by $2.0 billion in sales and $2.3
billion of transfers into level 2 based on an increase in
observability and price transparency;
• $2.2 billion decrease in MSRs. For further discussion of
the change, refer to Note 17.
Gains and losses
The following describes significant components of total
realized/unrealized gains/(losses) for instruments
measured at fair value on a recurring basis for the years
ended December 31, 2014, 2013 and 2012. For further
information on these instruments, see Changes in level 3
recurring fair value measurements rollforward tables on
pages 191–195.
2014
• $1.8 billion of losses on MSRs. For further discussion of
the change, refer to Note 17;
• $1.1 billion of net gains on trading assets - debt and
equity instruments, largely driven by market movements
and client-driven financing transactions.
2013
• $2.9 billion of net gains on derivatives, largely driven by
$2.5 billion of gains on equity derivatives, primarily
related to client-driven market-making activity and a rise
in equity markets; and $1.4 billion of gains,
predominantly on interest rate lock and mortgage loan
purchase commitments; partially offset by $1.7 billion
of losses on credit derivatives from the impact of
tightening reference entity credit spreads;
• $2.2 billion of net gains on trading assets - debt and
equity instruments, largely driven by market making and
credit spread tightening in nonagency mortgage-backed
securities and trading loans, and the impact of market
movements on client-driven financing transactions;
• $1.6 billion of net gains on MSRs. For further discussion
of the change, refer to Note 17.
2012
• $1.3 billion of net gains on trading assets - debt and
equity instruments, largely driven by tightening of credit
spreads and fluctuation in foreign exchange rates;
• $1.1 billion of net gains on derivatives, driven by
$6.9 billion of net gains predominantly on interest rate
lock commitments due to increased volumes and lower
interest rates, partially offset by $4.5 billion of net
losses on credit derivatives largely as a result of
tightening of reference entity credit spreads.