JP Morgan Chase 2015 Annual Report Download - page 209

JPMorgan Chase & Co./2015 Annual Report 199
(a) All level 3 derivatives are presented on a net basis, irrespective of underlying counterparty.
(b) Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 13%, 15% and
18% at December 31, 2015, 2014 and 2013, respectively.
(c) Predominantly reported in principal transactions revenue, except for changes in fair value for CCB mortgage loans, lending-related commitments originated with the intent to
sell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income.
(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 OCI. Realized gains/(losses) and foreign exchange remeasurement adjustments recorded in income on AFS securities were $(7) million, $(43) million,
and $17 million for the years ended December 31, 2015, 2014 and 2013, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $(25) million, $(16)
million and $13 million for the years ended December 31, 2015, 2014 and 2013, respectively.
(e) Changes in fair value for CCB MSRs are reported in mortgage fees and related income.
(f) Predominantly reported in other income.
(g) Loan originations are included in purchases.
(h) Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, and deconsolidations associated with beneficial interests in
VIEs.
(i) 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.
Level 3 analysis
Consolidated balance sheets changes
Level 3 assets (including assets measured at fair value on a
nonrecurring basis) were 1.4% of total Firm assets at
December 31, 2015. The following describes significant
changes to level 3 assets since December 31, 2014, 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
pages 200–201.
For the year ended December 31, 2015
Level 3 assets were $31.2 billion at December 31, 2015,
reflecting a decrease of $18.0 billion from December 31,
2014. This decrease was driven by settlements (including
repayments and restructurings) and transfers to Level 2
due to an increase in observability and a decrease in the
significance of unobservable inputs. In particular:
• $10.6 billion decrease in trading assets — debt and
equity instruments was driven by a decrease of $6.7
billion in trading loans due to sales, maturities and
transfers from level 3 to level 2 as a result of an
increase in observability of certain valuation inputs and
a $2.3 billion decrease in corporate debt securities due
to transfers from level 3 to level 2 as a result of an
increase in observability of certain valuation inputs
• $4.6 billion decrease in gross derivative receivables was
driven by a $3.9 billion decrease in equity, interest rate
and foreign exchange derivative receivables due to
market movements and transfers from level 3 to level 2
as a result of an increase in observability of certain
valuation inputs
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, 2015, 2014 and 2013. For further
information on these instruments, see Changes in level 3
recurring fair value measurements rollforward tables on
pages 195–199.
2015
• $1.6 billion of net gains in interest rate, foreign
exchange and equity derivative receivables largely due
to market movements; partially offset by loss in
commodity derivatives due to market movements
• $1.3 billion of net gains in liabilities due to market
movements
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