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Management’s discussion and analysis
172 JPMorgan Chase & Co./2015 Annual Report
NONEXCHANGE-TRADED COMMODITY DERIVATIVE CONTRACTS AT FAIR VALUE
In the normal course of business, JPMorgan Chase trades
nonexchange-traded commodity derivative contracts. To
determine the fair value of these contracts, the Firm uses
various fair value estimation techniques, primarily based on
internal models with significant observable market
parameters. The Firm’s nonexchange-traded commodity
derivative contracts are primarily energy-related.
The following table summarizes the changes in fair value for
nonexchange-traded commodity derivative contracts for the
year ended December 31, 2015.
Year ended December 31, 2015
(in millions)
Asset
position
Liability
position
Net fair value of contracts outstanding at January 1,
2015 $ 9,826 $ 13,926
Effect of legally enforceable master netting
agreements 14,327 13,211
Gross fair value of contracts outstanding at
January 1, 2015 24,153 27,137
Contracts realized or otherwise settled (13,419) (12,583)
Fair value of new contracts 3,704 5,027
Changes in fair values attributable to changes in
valuation techniques and assumptions — —
Other changes in fair value 1,428 (1,300)
Gross fair value of contracts outstanding at
December 31, 2015 15,866 18,281
Effect of legally enforceable master netting
agreements (6,772) (6,256)
Net fair value of contracts outstanding at
December 31, 2015 $ 9,094 $ 12,025
The following table indicates the maturities of
nonexchange-traded commodity derivative contracts at
December 31, 2015.
December 31, 2015 (in millions)
Asset
position
Liability
position
Maturity less than 1 year $ 8,487 $ 9,242
Maturity 1–3 years 5,636 6,148
Maturity 4–5 years 1,122 1,931
Maturity in excess of 5 years 621 960
Gross fair value of contracts outstanding at
December 31, 2015 15,866 18,281
Effect of legally enforceable master netting
agreements (6,772) (6,256)
Net fair value of contracts outstanding at
December 31, 2015 $ 9,094 $ 12,025