JP Morgan Chase 2015 Annual Report Download - page 227

JPMorgan Chase & Co./2015 Annual Report 217
(c) Consists of overall fair value hedges of physical commodities inventories that are generally carried at the lower of cost or market (market approximates
fair value). Gains and losses were recorded in principal transactions revenue.
(d) Hedge ineffectiveness is the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the
hedged item attributable to the hedged risk.
(e) The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward
points on foreign exchange forward contracts and time values.
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, 2015, 2014 and 2013, 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)
Year ended December 31, 2015
(in millions)
Derivatives –
effective portion
reclassified from
AOCI to income
Hedge
ineffectiveness
recorded directly in
income(c)
Total income
statement impact
Derivatives –
effective
portion
recorded in OCI
Total change
in OCI
for period
Contract type
Interest rate(a) $ (99) $ — $ (99) $ (44) $ 55
Foreign exchange(b) (81) — (81) (53) 28
Total $ (180) $ — $ (180) $ (97) $ 83
Gains/(losses) recorded in income and other comprehensive income/(loss)
Year ended December 31, 2014
(in millions)
Derivatives –
effective portion
reclassified from
AOCI to income
Hedge
ineffectiveness
recorded directly
in income(c)
Total income
statement impact
Derivatives –
effective
portion
recorded in OCI
Total change
in OCI
for period
Contract type
Interest rate(a) $ (54) $ — $ (54) $ 189 $ 243
Foreign exchange(b) 78 — 78 (91) (169)
Total $ 24 $ — $ 24 $ 98 $ 74
Gains/(losses) recorded in income and other comprehensive income/(loss)
Year ended December 31, 2013
(in millions)
Derivatives –
effective portion
reclassified from
AOCI to income
Hedge
ineffectiveness
recorded directly
in income(c)
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— 740 33
Total $ (101) $ — $ (101) $ (525) $ (424)
(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, and for the forecasted transactions that the Firm determined during the year ended December 31, 2015, were probable of not
occurring, in other 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) 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.