Management’s discussion and analysis 70 JPMorgan Chase & Co. /2016 Annual Report Treasury and CIO overview Treasury and CIO are predominantly responsible for measuring, monitoring, reporting and managing the Firm’s liquidity, funding and structural interest rate and foreign exchange risks, as well as executing the Firm’s capital plan.
The risks managed by Treasury and CIO arise from the activities undertaken by the Firm’s four major reportable business segments to serve their respective client bases, which generate both on- and off-balance sheet assets and liabilities.
Treasury and CIO achieve the Firm’s asset-liability management objectives generally by investing in highquality securities that are managed for the longer-term as part of the Firm’s investment securities portfolio.
Treasury and CIO also use derivatives to meet the Firm’s assetliability management objectives.
For further information on derivatives, see Note 6.
The investment securities portfolio primarily consists of U. S.  and non-U.
S.  government securities, agency and nonagency mortgage-backed securities, other ABS, corporate debt securities and obligations of U. S.  states and municipalities.
At December 31, 2016, the investment securities portfolio was $286.8 billion, and the average credit rating of the securities comprising the portfolio was AA+ (based upon external ratings where available and where not available, based primarily upon internal ratings that correspond to ratings as defined by S&P and Moody’s).
During 2016, the Firm transferred commercial mortgage-backed securities and obligations of U. S.  states and municipalities with a fair value of $7.5 billion from available-for-sale (“AFS”) to heldto maturity (“HTM”).
These securities were transferred at fair value.
The transfers reflect the Firm’s intent to hold the securities to maturity in order to reduce the impact of price volatility on accumulated other comprehensive income (“AOCI”).
See Note 12 for further information on the details of the Firm’s investment securities portfolio.
For further information on liquidity and funding risk, see Liquidity Risk Management on pages 110–115.
For information on interest rate, foreign exchange and other risks, Treasury and CIO VaR and the Firm’s earnings-at-risk, see Market Risk Management on pages 116–123.
Selected income statement and balance sheet data
## Table 0 ##
(a) Average investment securities included HTM balances of $51.4 billion, $50.0 billion and $47.2 billion for the years ended December 31, 2016, 2015 and 2014, respectively.
(b) Period-end investment securities included HTM securities of $50.2 billion, $49.1 billion, $49.3 billion at December 31, 2016, 2015 and 2014, respectively.
## Table 1 ##
(a) For more information on the Firm’s methodologies regarding the valuation of the Private Equity portfolio, see Note 3.2016 compared with 2015 The carrying value of the private equity portfolio at December 31, 2016 was $1.8 billion, down from $2.1 billion at December 31, 2015, driven by portfolio sales.2015 compared with 2014 The carrying value of the private equity portfolio at December 31, 2015 was $2.1 billion, down from $5.9 billion at December 31, 2014, driven by the sale of a portion of the Private Equity business and porfolio sales.
Management’s discussion and analysis 102 JPMorgan Chase & Co. /2016 Annual Report Derivative contracts In the normal course of business, the Firm uses derivative instruments predominantly for market-making activities.
Derivatives enable customers to manage exposures to fluctuations in interest rates, currencies and other markets.
The Firm also uses derivative instruments to manage its own credit and other market risk exposure.
The nature of the counterparty and the settlement mechanism of the derivative affect the credit risk to which the Firm is exposed.
For OTC derivatives the Firm is exposed to the credit risk of the derivative counterparty.
For exchangetraded derivatives (“ETD”), such as futures and options and “cleared” over-the-counter (“OTC-cleared”) derivatives, the Firm is generally exposed to the credit risk of the relevant CCP.
Where possible, the Firm seeks to mitigate its credit risk exposures arising from derivative transactions through the use of legally enforceable master netting arrangements and collateral agreements.
For further discussion of derivative contracts, counterparties and settlement types, see Note 6.
The following table summarizes the net derivative receivables for the periods presented.
## Table 2 ##
(a) Includes collateral related to derivative instruments where an appropriate legal opinion has not been either sought or obtained.
Derivative receivables reported on the Consolidated balance sheets were $64.1 billion and $59.7 billion at December 31, 2016 and 2015, respectively.
These amounts represent the fair value of the derivative contracts after giving effect to legally enforceable master netting agreements and cash collateral held by the Firm.
However, in management’s view, the appropriate measure of current credit risk should also take into consideration additional liquid securities (primarily U. S.  government and agency securities and other group of seven nations (“G7”) government bonds) and other cash collateral held by the Firm aggregating $22.7 billion and $16.6 billion at December 31, 2016 and 2015, respectively, that may be used as security when the fair value of the client’s exposure is in the Firm’s favor.
The change in derivative receivables was predominantly related to client-driven market-making activities in CIB.
The increase in derivative receivables reflected the impact of market movements, which increased foreign exchange receivables, partially offset by reduced commodity derivative receivables.
In addition to the collateral described in the preceding paragraph, the Firm also holds additional collateral (primarily cash, G7 government securities, other liquid government-agency and guaranteed securities, and corporate debt and equity securities) delivered by clients at the initiation of transactions, as well as collateral related to contracts that have a non-daily call frequency and collateral that the Firm has agreed to return but has not yet settled as of the reporting date.
Although this collateral does not reduce the balances and is not included in the table above, it is available as security against potential exposure that could arise should the fair value of the client’s derivative transactions move in the Firm’s favor.
The derivative receivables fair value, net of all collateral, also does not include other credit enhancements, such as letters of credit.
For additional information on the Firm’s use of collateral agreements, see Note 6.
While useful as a current view of credit exposure, the net fair value of the derivative receivables does not capture the potential future variability of that credit exposure.
To capture the potential future variability of credit exposure, the Firm calculates, on a client-by-client basis, three measures of potential derivatives-related credit loss: Peak, Derivative Risk Equivalent (“DRE”), and Average exposure (“AVG”).
These measures all incorporate netting and collateral benefits, where applicable.
Peak represents a conservative measure of potential exposure to a counterparty calculated in a manner that is broadly equivalent to a 97.5% confidence level over the life of the transaction.
Peak is the primary measure used by the Firm for setting of credit limits for derivative transactions, senior management reporting and derivatives exposure management.
DRE exposure is a measure that expresses the risk of derivative exposure on a basis intended to be equivalent to the risk of loan exposures.
DRE is a less extreme measure of potential credit loss than Peak and is used for aggregating derivative credit risk exposures with loans and other credit risk.
Finally, AVG is a measure of the expected fair value of the Firm’s derivative receivables at future time periods, including the benefit of collateral.
AVG exposure over the total life of the derivative contract is used as the primary metric for pricing purposes and is used to calculate credit capital and the CVA, as further described below.
The three year AVG exposure was $31.1 billion and $32.4 billion at December 31, 2016 and 2015, respectively, compared with derivative receivables, net of all collateral, of $41.4 billion and $43.1 billion at December 31, 2016 and 2015, respectively.
The fair value of the Firm’s derivative receivables incorporates an adjustment, the CVA, to reflect the credit quality of counterparties.
The CVA is based on the Firm’s AVG to a counterparty and the counterparty’s credit spread in the credit derivatives market.
The primary components of changes in CVA are credit spreads, new deal activity or unwinds, and changes in the underlying market environment.
The Firm believes that active risk management is essential to controlling the dynamic credit
Notes to consolidated financial statements 190 JPMorgan Chase & Co. /2016 Annual Report after completing a one-year-of-service requirement.
Employees with total annual cash compensation of $250,000 or more are not eligible for matching contributions.
Matching contributions vest after three years of service.
The 401(k) Savings Plan also permits discretionary profit-sharing contributions by participating companies for certain employees, subject to a specified vesting schedule.
OPEB plans JPMorgan Chase offers postretirement medical and life insurance benefits to certain retirees and postretirement medical benefits to qualifying U. S.  employees.
These benefits vary with the length of service and the date of hire and provide for limits on the Firm’s share of covered medical benefits.
The medical and life insurance benefits are both contributory.
Effective January 1, 2015, there was a transition of certain Medicare eligible retirees from JPMorgan Chase group sponsored coverage to Medicare exchanges.
As a result of this change, eligible retirees will receive a Healthcare Reimbursement Account amount each year if they enroll through the Medicare exchange.
The impact of this change was not material.
Postretirement medical benefits also are offered to qualifying U. K.  employees.
JPMorgan Chase’s U. S.  OPEB obligation is funded with corporate-owned life insurance (“COLI”) purchased on the lives of eligible employees and retirees.
While the Firm owns the COLI policies, COLI proceeds (death benefits, withdrawals and other distributions) may be used only to reimburse the Firm for its net postretirement benefit claim payments and related administrative expense.
The U. K.  OPEB plan is unfunded.
The following table presents the changes in benefit obligations, plan assets and funded status amounts reported on the Consolidated balance sheets for the Firm’s U. S.  and non-U.
S.  defined benefit pension and OPEB plans.
## Table 3 ##
(a) Represents plans with an aggregate overfunded balance of $4.0 billion and $4.1 billion at December 31, 2016 and 2015, respectively, and plans with an aggregate underfunded balance of $639 million and $636 million at December 31, 2016 and 2015, respectively.
(b) At December 31, 2016 and 2015, approximately $390 million and $533 million, respectively, of U. S.  plan assets included participation rights under participating annuity contracts.
(c) At December 31, 2016 and 2015, defined benefit pension plan amounts that were not measured at fair value included $130 million and $74 million, respectively, of accrued receivables, and $224 million and $123 million, respectively, of accrued liabilities, for U. S.  plans.
(d) Includes an unfunded accumulated postretirement benefit obligation of $35 million and $32 million at December 31, 2016 and 2015, respectively, for the U. K.  plan.

Tables referenced above, in order (Table 0 first):
<table><tr><td>As of or for the year ended December 31, (in millions)</td><td>2016</td><td>2015</td><td>2014</td></tr><tr><td>Securities gains</td><td>$132</td><td>$190</td><td>$71</td></tr><tr><td>Investment securities portfolio (average)<sup>(a)</sup></td><td>278,250</td><td>314,802</td><td>349,285</td></tr><tr><td>Investment securities portfolio (period–end)<sup>(b)</sup></td><td>286,838</td><td>287,777</td><td>343,146</td></tr><tr><td>Mortgage loans (average)</td><td>1,790</td><td>2,501</td><td>3,308</td></tr><tr><td>Mortgage loans (period-end)</td><td>1,513</td><td>2,136</td><td>2,834</td></tr></table>
<table><tr><td>December 31, (in millions)</td><td>2016</td><td>2015</td><td>2014</td></tr><tr><td>Carrying value</td><td>$1,797</td><td>$2,103</td><td>$5,866</td></tr><tr><td>Cost</td><td>2,649</td><td>3,798</td><td>6,281</td></tr></table>
<table><tr><td>December 31, (in millions)</td><td>2016</td><td>2015</td></tr><tr><td>Interest rate</td><td>$28,302</td><td>$26,363</td></tr><tr><td>Credit derivatives</td><td>1,294</td><td>1,423</td></tr><tr><td>Foreign exchange</td><td>23,271</td><td>17,177</td></tr><tr><td>Equity</td><td>4,939</td><td>5,529</td></tr><tr><td>Commodity</td><td>6,272</td><td>9,185</td></tr><tr><td>Total, net of cash collateral</td><td>64,078</td><td>59,677</td></tr><tr><td>Liquid securities and other cash collateral held against derivative receivables<sup>(a)</sup></td><td>-22,705</td><td>-16,580</td></tr><tr><td>Total, net of all collateral</td><td>$41,373</td><td>$43,097</td></tr></table>
<table><tr><td></td><td colspan="5">Defined benefit pension plans</td><td colspan="2"></td></tr><tr><td>As of or for the year ended December 31,</td><td colspan="2">U.S.</td><td></td><td colspan="2">Non-U.S.</td><td colspan="2">OPEB plans<sup>(d)</sup></td></tr><tr><td>(in millions)</td><td>2016</td><td>2015</td><td></td><td>2016</td><td>2015</td><td>2016</td><td>2015</td></tr><tr><td>Change in benefit obligation</td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr><tr><td>Benefit obligation, beginning of year</td><td>$-11,912</td><td>$-12,536</td><td></td><td>$-3,347</td><td>$-3,640</td><td>$-744</td><td>$-842</td></tr><tr><td>Benefits earned during the year</td><td>-296</td><td>-340</td><td></td><td>-36</td><td>-37</td><td>—</td><td>-1</td></tr><tr><td>Interest cost on benefit obligations</td><td>-530</td><td>-498</td><td></td><td>-99</td><td>-112</td><td>-31</td><td>-31</td></tr><tr><td>Special termination benefits</td><td>—</td><td>—</td><td></td><td>—</td><td>-1</td><td>—</td><td>—</td></tr><tr><td>Employee contributions</td><td>NA</td><td>NA</td><td></td><td>-7</td><td>-7</td><td>-19</td><td>-25</td></tr><tr><td>Net gain/(loss)</td><td>-203</td><td>702</td><td></td><td>-540</td><td>146</td><td>4</td><td>71</td></tr><tr><td>Benefits paid</td><td>725</td><td>760</td><td></td><td>126</td><td>120</td><td>76</td><td>88</td></tr><tr><td>Plan settlements</td><td>—</td><td>—</td><td></td><td>21</td><td>—</td><td>—</td><td>—</td></tr><tr><td>Expected Medicare Part D subsidy receipts</td><td>NA</td><td>NA</td><td></td><td>NA</td><td>NA</td><td>—</td><td>-6</td></tr><tr><td>Foreign exchange impact and other</td><td>—</td><td>—</td><td></td><td>504</td><td>184</td><td>6</td><td>2</td></tr><tr><td>Benefit obligation, end of year</td><td>$-12,216</td><td>$-11,912</td><td></td><td>$-3,378</td><td>$-3,347</td><td>$-708</td><td>$-744</td></tr><tr><td>Change in plan assets</td><td></td><td></td><td></td><td></td><td></td><td></td><td></td></tr><tr><td>Fair value of plan assets, beginning of year</td><td>$14,125</td><td>$14,623</td><td></td><td>$3,511</td><td>$3,718</td><td>$1,855</td><td>$1,903</td></tr><tr><td>Actual return on plan assets</td><td>838</td><td>231</td><td></td><td>537</td><td>52</td><td>131</td><td>13</td></tr><tr><td>Firm contributions</td><td>34</td><td>31</td><td></td><td>52</td><td>45</td><td>2</td><td>2</td></tr><tr><td>Employee contributions</td><td>—</td><td>—</td><td></td><td>7</td><td>7</td><td>—</td><td>—</td></tr><tr><td>Benefits paid</td><td>-725</td><td>-760</td><td></td><td>-126</td><td>-120</td><td>-32</td><td>-63</td></tr><tr><td>Plan settlements</td><td>—</td><td>—</td><td></td><td>-21</td><td>—</td><td>—</td><td>—</td></tr><tr><td>Foreign exchange impact and other</td><td>—</td><td>—</td><td></td><td>-529</td><td>-191</td><td>—</td><td>—</td></tr><tr><td>Fair value of plan assets, end of year</td><td>$14,272</td><td>$14,125</td><td><sup>(b)(c)</sup></td><td>$3,431</td><td>$3,511</td><td>$1,956</td><td>$1,855</td></tr><tr><td>Net funded status<sup>(a)</sup></td><td>$2,056</td><td>$2,213</td><td></td><td>$53</td><td>$164</td><td>$1,248</td><td>$1,111</td></tr><tr><td>Accumulated benefit obligation, end of year</td><td>$-12,062</td><td>$-11,774</td><td></td><td>$-3,359</td><td>$-3,322</td><td>NA</td><td>NA</td></tr></table>

Question: what was the net three year avg derivative liability exposure , in billions , for 2016?
Answer: -10.3
Reasoning program: subtract(31.1,41.4)