Derivative Instruments

3 Months Ended

Mar. 31, 2013

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DERIVATIVE INSTRUMENTS

Derivative instruments

JPMorgan Chase makes markets in derivatives for customers and also uses derivatives to hedge or manage its own risk exposures. For a further discussion of the Firm’s use of and accounting policies regarding derivative instruments, see Note 6 on pages 218-227 of JPMorgan Chase’s 2012 Annual Report.

The Firm’s disclosures are based on the accounting treatment and purpose of these derivatives. A limited number of the Firm’s derivatives are designated in hedge accounting relationships and are disclosed according to the type of hedge (fair value hedge, cash flow hedge, or net investment hedge). Derivatives not designated in hedge accounting relationships include certain derivatives that are used to manage certain risks associated with specified assets or liabilities (“specified risk management” positions) as well as derivatives used in the Firm’s market-making businesses or for other purposes.

The following table outlines the Firm’s primary uses of derivatives and the related hedge accounting designation or disclosure category.

Type of Derivative	Use of Derivative	Designation and disclosure	Affected segment or unit	10-Q page reference
Manage specifically identified risk exposures in qualifying hedge accounting relationships:
◦ Interest rate	Hedge fixed rate assets and liabilities	Fair value hedge	Corporate/PE	116
◦ Interest rate	Hedge floating rate assets and liabilities	Cash flow hedge	Corporate/PE	117
◦ Foreign exchange	Hedge foreign currency-denominated assets and liabilities	Fair value hedge	Corporate/PE	116
◦ Foreign exchange	Hedge forecasted revenue and expense	Cash flow hedge	Corporate/PE	117
◦ Foreign exchange	Hedge the value of the Firm’s investments in non-U.S. subsidiaries	Net investment hedge	Corporate/PE	118
◦ Commodity	Hedge commodity inventory	Fair value hedge	CIB	116
Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships:
◦ Interest rate	Manage the risk of the mortgage pipeline, warehouse loans and MSRs	Specified risk management	CCB	118
◦ Credit	Manage the credit risk of wholesale lending exposures	Specified risk management	CIB	118
◦ Credit(a)	Manage the credit risk of certain AFS securities	Specified risk management	Corporate/PE	118
◦ Commodity	Manage the risk of certain commodities-related contracts and investments	Specified risk management	CIB	118
◦ Interest rate and foreign exchange	Manage the risk of certain other specified assets and liabilities	Specified risk management	Corporate/PE	118
Market-making derivatives and other activities:
◦ Various	Market-making and related risk management	Market-making and other	CIB	118
◦ Various(b)	Other derivatives, including the synthetic credit portfolio	Market-making and other	CIB, Corporate/PE	118

(a) Includes a limited number of single-name credit derivatives used to mitigate the credit risk arising from specified AFS securities.

(b) The synthetic credit portfolio is a portfolio of index credit derivatives, including short and long positions, that was held by CIO. On July 2, 2012, CIO transferred the synthetic credit portfolio, other than a portion that aggregated to a notional amount of approximately $12 billion, to CIB. The positions making up the portion of the synthetic credit portfolio retained by CIO on July 2, 2012, were effectively closed out during the third quarter of 2012. The results of the synthetic credit portfolio, including the portion transferred to CIB, have been included in the gains and losses on derivatives related to market-making activities and other derivatives category on page 118 of this Note.

Notional amount of derivative contracts

The following table summarizes the notional amount of derivative contracts outstanding as of March 31, 2013, and December 31, 2012.

	Notional amounts(b)
(in billions)	March 31, 2013		December 31, 2012
Interest rate contracts
Swaps	$	33,131	$	33,183
Futures and forwards	12,692		11,824
Written options	3,944		3,866
Purchased options	4,008		3,911
Total interest rate contracts	53,775		52,784
Credit derivatives(a)	6,489		5,981
Foreign exchange contracts
Cross-currency swaps	3,280		3,355
Spot, futures and forwards	4,097		4,033
Written options	753		651
Purchased options	756		661
Total foreign exchange contracts	8,886		8,700
Equity contracts
Swaps	167		163
Futures and forwards	58		49
Written options	482		442
Purchased options	415		403
Total equity contracts	1,122		1,057
Commodity contracts
Swaps	299		313
Spot, futures and forwards	184		190
Written options	260		265
Purchased options	253		260
Total commodity contracts	996		1,028
Total derivative notional amounts	$	71,268	$	69,550

(a) Primarily consists of credit default swaps. For more information on volumes and types of credit derivative contracts, see the Credit derivatives discussion on pages 118–119 of this Note.

(b) Represents the sum of gross long and gross short third-party notional derivative contracts.

While the notional amounts disclosed above give an indication of the volume of the Firm’s derivatives activity, the notional amounts significantly exceed, in the Firm’s view, the possible losses that could arise from such transactions. For most derivative transactions, the notional amount is not exchanged; it is used simply as a reference to calculate payments.

Impact of derivatives on the Consolidated Balance Sheets

The following table summarizes information on derivative receivables and payables (before and after netting adjustments) that are reflected on the Firm’s Consolidated Balance Sheets as of March 31, 2013, and December 31, 2012, by accounting designation (e.g., whether the derivatives were designated in qualifying hedge accounting relationships or not) and contract type.

Derivative receivables and payables(a)
	Gross derivative receivables										Gross derivative payables
March 31, 2013 (in millions)	Not designated as hedges			Designated as hedges		Total derivative receivables			Net derivative receivables(b)		Not designated as hedges			Designated as hedges		Total derivative payables			Net derivative payables(b)
Trading assets and liabilities
Interest rate	$	1,168,894		$	4,895	$	1,173,789		$	34,280	$	1,131,880		$	2,816	$	1,134,696		$	18,611
Credit	103,399			—		103,399			3,664		101,350			—		101,350			3,134
Foreign exchange	139,523			1,968		141,491			12,346		155,613			801		156,414			14,806
Equity	46,438			—		46,438			10,035		48,708			—		48,708			13,347
Commodity	59,826			1,099		60,925			10,284		64,568			71		64,639			12,091
Total fair value of trading assets and liabilities	$	1,518,080		$	7,962	$	1,526,042		$	70,609	$	1,502,119		$	3,688	$	1,505,807		$	61,989
	Gross derivative receivables										Gross derivative payables
December 31, 2012 (in millions)	Not designated as hedges			Designated as hedges		Total derivative receivables			Net derivative receivables(b)		Not designated as hedges		Designated as hedges			Total derivative payables			Net derivative payables(b)
Trading assets and liabilities
Interest rate	$	1,323,184		$	6,064	$	1,329,248		$	39,205	$	1,284,494		$	3,120	$	1,287,614		$	24,906
Credit	100,310			—		100,310			1,735		100,027			—		100,027			2,504
Foreign exchange	146,682			1,577		148,259			14,142		159,509			2,133		161,642			18,601
Equity	42,662		(c)	—		42,662		(c)	9,266		44,534		(c)	—		44,534		(c)	11,819
Commodity	51,312		(c)	586		51,898		(c)	10,635		55,094		(c)	644		55,738		(c)	12,826
Total fair value of trading assets and liabilities	$	1,664,150		$	8,227	$	1,672,377		$	74,983	$	1,643,658		$	5,897	$	1,649,555		$	70,656

(a) Balances exclude structured notes for which the fair value option has been elected. See Note 4 on pages 107–108 of this Form 10-Q for further information.

(b) As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral receivables and payables when a legally enforceable master netting agreement exists.

(c) The prior period amounts have been revised.

The following table presents, as of March 31, 2013 and December 31, 2012, the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal opinion with respect to the enforceability of the netting (“U.S. GAAP nettable derivative receivables”); where such a legal opinion has not been either sought or obtained, the receivables are not netted, and are shown separately in the table below (“Derivative receivables not nettable under U.S. GAAP”).

		March 31, 2013								December 31, 2012
(in millions)		Gross derivative receivables		Amounts netted on the Consolidated balance sheets				Net derivative receivables		Gross derivative receivables		Amounts netted on the Consolidated balance sheets				Net derivative receivables
U.S. GAAP nettable derivative receivables
Interest rate contracts:
	Over–the–counter (“OTC”)	$	742,239	$	(717,741	)		$	24,498	$	821,198	$	(798,365	)		$	22,833
	OTC–cleared	421,814		(421,768		)		46		491,947		(491,678		)		269
	Exchange traded(a)	—		—				—		—		—				—
Total interest rate contracts		1,164,053		(1,139,509		)		24,544		1,313,145		(1,290,043		)		23,102
Credit contracts:
	OTC	92,182		(89,199		)		2,983		90,744		(90,104		)		640
	OTC–cleared	10,537		(10,536		)		1		8,471		(8,471		)		—
Total credit contracts		102,719		(99,735		)		2,984		99,215		(98,575		)		640
Foreign exchange contracts:
	OTC	136,683		(129,105		)		7,578		142,059		(134,094		)		7,965
	OTC–cleared	40		(40		)		—		23		(23		)		—
	Exchange traded(a)	—		—				—		—		—				—
Total foreign exchange contracts		136,723		(129,145		)		7,578		142,082		(134,117		)		7,965
Equity contracts:
	OTC	28,741		(27,009		)		1,732		26,008		(24,628		)		1,380
	OTC–cleared	—		—				—		—		—				—
	Exchange traded(a)	15,599		(9,394		)		6,205		12,841		(8,768		)		4,073
Total equity contracts		44,340		(36,403		)		7,937		38,849		(33,396		)		5,453
Commodity contracts:
	OTC	37,838		(30,877		)		6,961		34,977		(28,856		)		6,121
	OTC–cleared	—		—				—		—		—				—
	Exchange traded(a)	21,495		(19,764		)		1,731		15,108		(12,407		)		2,701
Total commodity contracts		59,333		(50,641		)		8,692		50,085		(41,263		)		8,822
U.S. GAAP nettable derivative receivables		$	1,507,168	$	(1,455,433	)	(b)	$	51,735	$	1,643,376	$	(1,597,394	)	(b)	$	45,982
Derivative receivables not nettable under U.S. GAAP		18,874						18,874		29,001						29,001
Total derivative receivables recognized on the Consolidated Balance Sheets		$	1,526,042					$	70,609	$	1,672,377					$	74,983

(a) Exchange traded derivative amounts that relate to futures contracts are settled daily.

(b) Included cash collateral netted of $72.5 billion and $79.2 billion at March 31, 2013 and December 31, 2012, respectively.

The following table presents, as of March 31, 2013 and December 31, 2012, the gross and net derivatives payables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP. Derivatives payables have been netted with respect to those payables as to which the netting requirements have been met, including obtaining a legal opinion with respect to the enforceability of the netting (“U.S. GAAP nettable derivative payables”); where such a legal opinion has not been either sought or obtained, the payables are not netted, and are shown separately in the table below (“Derivative payables not nettable under U.S. GAAP”).

		March 31, 2013								December 31, 2012
(in millions)		Gross derivative payables		Amounts netted on the Consolidated balance sheets				Net derivative payables		Gross derivative payables		Amounts netted on the Consolidated balance sheets				Net derivative payables
U.S. GAAP nettable derivative payables
Interest rate contracts:
	OTC	$	719,641	$	(703,862	)		$	15,779	$	801,664	$	(780,945	)		$	20,719
	OTC–cleared	412,283		(412,223		)		60		482,018		(481,763		)		255
	Exchange traded(a)	—		—				—		—		—				—
Total interest rate contracts		1,131,924		(1,116,085		)		15,839		1,283,682		(1,262,708		)		20,974
Credit contracts:
	OTC	88,702		(87,322		)		1,380		89,170		(88,151		)		1,019
	OTC–cleared	10,894		(10,894		)		—		9,372		(9,372		)		—
Total credit contracts		99,596		(98,216		)		1,380		98,542		(97,523		)		1,019
Foreign exchange contracts:
	OTC	151,880		(141,571		)		10,309		154,271		(143,018		)		11,253
	OTC–cleared	38		(37		)		1		29		(23		)		6
	Exchange traded(a)	—		—				—		—		—				—
Total foreign exchange contracts		151,918		(141,608		)		10,310		154,300		(143,041		)		11,259
Equity contracts:
	OTC	30,628		(25,967		)		4,661		28,320		(23,948		)		4,372
	OTC–cleared	—		—				—		—		—				—
	Exchange traded(a)	14,368		(9,394		)		4,974		12,000		(8,767		)		3,233
Total equity contracts		44,996		(35,361		)		9,635		40,320		(32,715		)		7,605
Commodity contracts:
	OTC	39,447		(32,783		)		6,664		36,857		(30,505		)		6,352
	OTC–cleared	—		—				—		—		—				—
	Exchange traded(a)	21,420		(19,765		)		1,655		14,488		(12,407		)		2,081
Total commodity contracts		60,867		(52,548		)		8,319		51,345		(42,912		)		8,433
U.S. GAAP nettable derivative payables		$	1,489,301	$	(1,443,818	)	(b)	$	45,483	$	1,628,189	$	(1,578,899	)	(b)	$	49,290
Derivative payables not nettable under U.S. GAAP		16,506						16,506		21,366						21,366
Total derivative payables recognized on the Consolidated Balance Sheets		$	1,505,807					$	61,989	$	1,649,555					$	70,656

(a) Exchange traded derivative balances that relate to futures contracts are settled daily.

(b) Included cash collateral netted of $60.9 billion and $60.7 billion related to OTC and OTC-cleared derivatives at March 31, 2013, and December 31, 2012, respectively.

In addition to the cash collateral received and transferred that is presented on a net basis with net derivative receivables and payables, the Firm receives and transfers additional collateral (financial instruments and cash). These amounts mitigate counterparty credit risk associated with the Firm’s derivative instruments but are not eligible for net presentation, because (a) the collateral is non-cash financial instruments (generally U.S. government and agency securities and other G7 government bonds), (b) the amount of collateral held or transferred exceeds the fair value exposure, at the individual counterparty level, as of the date presented, or (c) the collateral relates to derivative receivables or payables not nettable under U.S. GAAP.

The following tables present information regarding certain non-cash financial instrument collateral received and transferred as of March 31, 2013, and December 31, 2012 that is not eligible for net presentation under U.S. GAAP. The collateral included in these tables relates only to the U.S. GAAP nettable derivative instruments and excludes additional collateral that exceeds the fair value exposure and excludes all collateral related to derivative instruments not nettable under U.S. GAAP.

Derivative receivable collateral
	March 31, 2013								December 31, 2012
(in millions)	Net derivative receivables		Collateral not nettable on the Consolidated balance sheets				Net exposure		Net derivative receivables		Collateral not nettable on the Consolidated balance sheets				Net exposure
U.S. GAAP nettable derivative receivables	$	51,735	$	(10,508	)	(a)	$	41,227	$	45,982	$	(11,350	)	(a)	$	34,632

Derivative payable collateral(b)
	March 31, 2013								December 31, 2012
(in millions)	Net derivative payables		Collateral not nettable on the Consolidated balance sheets				Net amount(c)		Net derivative payables		Collateral not nettable on the Consolidated balance sheets				Net amount(c)
U.S. GAAP nettable derivative payables	$	45,483	$	(12,953	)	(a)	$	32,530	$	49,290	$	(20,109	)	(a)	$	29,181

(a) Represents liquid security collateral as well as cash collateral held at third party custodians. For some counterparties, the collateral amounts of financial instruments may exceed the derivative receivables and derivative payables balances. Where this is the case, the total amount reported is limited to the net derivative receivables and net derivative payables balances with that counterparty.

(b) Derivative payable collateral relates only to OTC and OTC-cleared derivative instruments. Amounts exclude collateral transferred related to exchange-traded derivative instruments.

(c) Net amount represents counterparty exposure to the Firm.

Liquidity risk and credit-related contingent features

For a more detailed discussion of liquidity risk and credit-related contingent features related to the Firm’s derivative contracts, see Note 6 on pages 218–227 of JPMorgan Chase’s 2012 Annual Report.

The following table shows the aggregate fair value of net derivative payables related to OTC and OTC-cleared derivatives that contain contingent collateral or termination features that may be triggered upon a downgrade and the associated collateral the Firm has posted in the normal course of business at March 31, 2013, and December 31, 2012.

OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)	March 31, 2013		December 31, 2012
Aggregate fair value of net derivative payables	$	40,212	$	40,844
Collateral posted	33,642		34,414

The following table shows the impact of a single-notch and two-notch downgrade of the long-term issuer ratings of JPMorgan Chase & Co. and its subsidiaries, predominantly JPMorgan Chase Bank, National Association (“JPMorgan Chase Bank, N.A.”), at March 31, 2013 and December 31, 2012, related to OTC and OTC-cleared derivative contracts with contingent collateral or termination features that may be triggered upon a ratings downgrade. Derivatives contracts generally require additional collateral to be posted or terminations to be triggered when the predefined threshold rating is breached. A downgrade by a single rating agency that does not result in a rating lower than a preexisting corresponding rating provided by another major rating agency will generally not result in additional collateral or termination payment requirements. The liquidity impact in the table is calculated based upon a downgrade below the lowest current rating provided by major rating agencies.

Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives
	March 31, 2013				December 31, 2012
(in millions)	Single-notch downgrade		Two-notch downgrade		Single-notch downgrade		Two-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)	$	1,114	$	3,702	$	1,234	$	4,090
Amount required to settle contracts with termination triggers upon downgrade(b)	797		1,162		857		1,270

(a) Includes the additional collateral to be posted for initial margin. Prior period amounts have been revised to conform with the current presentation.

(b) Amounts represent fair value of derivative payables, and do not reflect collateral posted.

Impact of derivatives on the Consolidated Statements of Income

The following tables provide information related to gains and losses recorded on derivatives based on their hedge accounting designation or purpose.

Fair value hedge gains and losses

The following tables present derivative instruments, by contract type, used in fair value hedge accounting relationships, as well as pretax gains/(losses) recorded on such derivatives and the related hedged items for the three months ended March 31, 2013 and 2012, respectively. The Firm includes gains/(losses) on the hedging derivative and the related hedged item in the same line item in the Consolidated Statements of Income.

	Gains/(losses) recorded in income										Income statement impact due to:
Three months ended March 31, 2013 (in millions)	Derivatives				Hedged items			Total income statement impact			Hedge ineffectiveness(e)			Excluded components(f)
Contract type
Interest rate(a)	$	(499	)		$	875		$	376		$	(40	)	$	416
Foreign exchange(b)	3,753			(d)	(3,752		)	1			—			1
Commodity(c)	751				(725		)	26			(18		)	44
Total	$	4,005			$	(3,602	)	$	403		$	(58	)	$	461
	Gains/(losses) recorded in income										Income statement impact due to:
Three months ended March 31, 2012 (in millions)	Derivatives				Hedged items			Total income statement impact			Hedge ineffectiveness(e)			Excluded components(f)
Contract type
Interest rate(a)	$	(556	)		$	640		$	84		$	28		$	56
Foreign exchange(b)	(2,960		)	(d)	2,950			(10		)	—			(10		)
Commodity(c)	(2,176		)		1,694			(482		)	27			(509		)
Total	$	(5,692	)		$	5,284		$	(408	)	$	55		$	(463	)

(a) Primarily consists of hedges of the benchmark (e.g., London Interbank Offered Rate (“LIBOR”)) interest rate risk of fixed-rate long-term debt and AFS securities. Gains and losses were recorded in net interest income. The current presentation excludes accrued interest. Prior period amounts have been revised to conform with the current presentation.

(b) Primarily consists of hedges of the foreign currency risk of long-term debt and AFS securities for changes in spot foreign currency rates. Gains and losses related to the derivatives and the hedged items, due to changes in foreign currency rates, were recorded in principal transactions revenue and net interest income.

(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) Included $4.0 billion and $(2.8) billion for the three months ended March 31, 2013 and 2012, respectively, of revenue related to certain foreign exchange trading derivatives designated as fair value hedging instruments.

(e) 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.

(f) 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 three months ended March 31, 2013 and 2012, 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)(c)
Three months ended March 31, 2013 (in millions)	Derivatives – effective portion reclassified from AOCI to income			Hedge ineffectiveness recorded directly in income(d)		Total income statement impact			Derivatives – effective portion recorded in OCI			Total change in OCI for period
Contract type
Interest rate(a)	$	(27	)	$	—	$	(27	)	$	(26	)	$	1
Foreign exchange(b)	(2		)	—		(2		)	(104		)	(102		)
Total	$	(29	)	$	—	$	(29	)	$	(130	)	$	(101	)

	Gains/(losses) recorded in income and other comprehensive income/(loss)(c)
Three months ended March 31, 2012 (in millions)	Derivatives – effective portion reclassified from AOCI to income			Hedge ineffectiveness recorded directly in income(d)		Total income statement impact			Derivatives – effective portion recorded in OCI			Total change in OCI for period
Contract type
Interest rate(a)	$	21		$	5	$	26		$	(120	)	$	(141	)
Foreign exchange(b)	(1		)	—		(1		)	79			80
Total	$	20		$	5	$	25		$	(41	)	$	(61	)

(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.

(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 net interest income, noninterest revenue and compensation expense.

(c) The Firm did not experience any forecasted transactions that failed to occur for the three months ended March 31, 2013 and 2012.

(d) 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.

Over the next 12 months, the Firm expects that $98 million (after-tax) of net losses recorded in accumulated other comprehensive income (“AOCI”) at March 31, 2013, related to cash flow hedges will be recognized in income. The maximum length of time over which forecasted transactions are hedged is 8 years, and such transactions primarily relate to core lending and borrowing activities.

Net investment hedge gains and losses

The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pretax gains/(losses) recorded on such instruments for the three months ended March 31, 2013 and 2012.

	Gains/(losses) recorded in income and other comprehensive income/(loss)
	2013						2012
Three months ended March 31, (in millions)	Excluded components recorded directly in income(a)				Effective portion recorded in OCI		Excluded components recorded directly in income(a)				Effective portion recorded in OCI
Foreign exchange derivatives		$	(77	)	$	420		$	(55	)	$	(267	)

(a) Certain components of hedging derivatives are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on foreign exchange forward contracts. Amounts related to excluded components are recorded in current-period income. The Firm measures the ineffectiveness of net investment hedge accounting relationships based on changes in spot foreign currency rates, and therefore there was no ineffectiveness for net investment hedge accounting relationships during the three months ended March 31, 2013 and 2012.

Gains and losses on derivatives used for specified risk management purposes

The following table presents pretax gains/(losses) recorded on a limited number of derivatives, not designated in hedge accounting relationships, that are used to manage risks associated with certain specified assets and liabilities, including certain risks arising from the mortgage pipeline, warehouse loans, MSRs, wholesale lending exposures, AFS securities, foreign currency-denominated liabilities, and commodities related contracts and investments.

	Derivatives gains/(losses) recorded in income
	Three months ended March 31,
(in millions)	2013			2012
Contract type
Interest rate(a)	$	458		$	536
Credit(b)	(31		)	(74		)
Foreign exchange(c)	1			5
Commodity(d)	34			(10		)
Total	$	462		$	457

(a) Primarily relates to interest rate derivatives used to hedge the interest rate risks associated with the mortgage pipeline, warehouse loans and MSRs. Gains and losses were recorded predominantly in mortgage fees and related income.

(b) Relates to credit derivatives used to mitigate credit risk associated with lending exposures in the Firm’s wholesale businesses, and single-name credit derivatives used to mitigate credit risk arising from certain AFS securities. These derivatives do not include the synthetic credit portfolio or credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, both of which are included in gains and losses on derivatives related to market-making activities and other derivatives. Gains and losses were recorded in principal transactions revenue.

(c) Primarily relates to hedges of the foreign exchange risk of specified foreign currency-denominated liabilities. Gains and losses were recorded in principal transactions revenue and net interest income.

(d) Primarily relates to commodity derivatives used to mitigate energy price risk associated with energy-related contracts and investments. Gains and losses were recorded in principal transactions revenue.

Gains and losses on derivatives related to market-making

activities and other derivatives

The Firm makes markets in derivatives in order to meet the needs of customers and uses derivatives to manage certain risks associated with net open risk positions from the Firm’s market-making activities, including the counterparty credit risk arising from derivative receivables. These derivatives, as well as all other derivatives (including the synthetic credit portfolio) that are not included in the hedge accounting or specified risk management categories above, are included in this category. Gains and losses on these derivatives are recorded in principal transactions revenue. See Note 6 on page 120 of this Form 10-Q for information on principal transactions revenue.

Credit derivatives

For a more detailed discussion of credit derivatives, see Note 6 on pages 218–227 of JPMorgan Chase’s 2012 Annual Report.

The Firm is both a purchaser and seller of protection in the credit derivatives market and uses these derivatives for two primary purposes. First, in its capacity as a market-maker, the Firm actively manages a portfolio of credit derivatives by purchasing and selling credit protection, predominantly on corporate debt obligations, to meet the needs of customers. Second, as an end-user, the Firm uses credit derivatives to manage credit risk associated with lending exposures (loans and unfunded commitments) and derivatives counterparty exposures in the Firm’s wholesale businesses, and to manage the credit risk arising from certain AFS securities and from certain financial instruments in the Firm’s market-making businesses. For more information on the synthetic credit portfolio, see footnote (b) to the table on page 109 of this Note.

The following tables present a summary of the notional amounts of credit derivatives and credit-related notes the Firm sold and purchased as of March 31, 2013, and December 31, 2012. Upon a credit event, the Firm as a seller of protection would typically pay out only a percentage of the full notional amount as the amount actually required to be paid on the contracts takes into account the recovery value of the reference obligation at the time of settlement. The Firm manages the credit risk on contracts to sell protection by purchasing protection with identical or similar underlying reference entities. Other purchased protection referenced in the following tables includes credit derivatives bought on related, but not identical, reference positions (including indices, portfolio coverage and other reference points) as well as protection purchased through credit-related notes.

The Firm does not use notional amounts of credit derivatives as the primary measure of risk management for such derivatives, because the notional amount does not take into account the probability of the occurrence of a credit event, the recovery value of the reference obligation, or related cash instruments and economic hedges, each of which reduces, in the Firm’s view, the risks associated with such derivatives.

Total credit derivatives and credit-related notes

	Maximum payout/Notional amount
March 31, 2013 (in millions)	Protection sold			Protection purchased with identical underlyings(b)			Net protection (sold)/purchased(c)			Other protection purchased(d)
Credit derivatives
Credit default swaps	$	(3,191,033	)		$	3,158,710	$	(32,323	)	$	12,971
Other credit derivatives(a)	(78,120		)		18,681		(59,439		)	29,595
Total credit derivatives	(3,269,153		)		3,177,391		(91,762		)	42,566
Credit-related notes	(194		)		—		(194		)	3,575
Total	$	(3,269,347	)		$	3,177,391	$	(91,956	)	$	46,141
	Maximum payout/Notional amount
December 31, 2012 (in millions)	Protection sold			Protection purchased with identical underlyings(b)			Net protection (sold)/purchased(c)			Other protection purchased(d)
Credit derivatives
Credit default swaps	$	(2,954,705	)		$	2,879,105	$	(75,600	)	$	42,460
Other credit derivatives(a)	(66,244		)		5,649		(60,595		)	33,174
Total credit derivatives	(3,020,949		)		2,884,754		(136,195		)	75,634
Credit-related notes	(233		)		—		(233		)	3,255
Total	$	(3,021,182	)		$	2,884,754	$	(136,428	)	$	78,889

(a) Primarily consists of total return swaps and CDS options.

(b) Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold.

(c) Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value.

(d) Represents protection purchased by the Firm on referenced instruments (single-name, portfolio or index) where the Firm has not sold any protection on the identical reference instrument.

The following tables summarize the notional and fair value amounts of credit derivatives and credit-related notes as of March 31, 2013, and December 31, 2012, where JPMorgan Chase is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives and credit-related notes where JPMorgan Chase is the purchaser of protection are comparable to the profile reflected below.

Protection sold – credit derivatives and credit-related notes ratings(a)/maturity profile
March 31, 2013 (in millions)	<1 year			1–5 years			>5 years			Total notional amount			Fair value of receivables(b)		Fair value of payables(b)			Net fair value
Risk rating of reference entity
Investment-grade	$	(439,302	)	$	(1,596,456	)	$	(297,138	)	$	(2,332,896	)	$	20,988	$	(22,255	)	$	(1,267	)
Noninvestment-grade	(231,664		)	(621,285		)	(83,502		)	(936,451		)	22,922		(32,756		)	(9,834		)
Total	$	(670,966	)	$	(2,217,741	)	$	(380,640	)	$	(3,269,347	)	$	43,910	$	(55,011	)	$	(11,101	)

December 31, 2012 (in millions)	<1 year			1–5 years			>5 years			Total notional amount			Fair value of receivables(b)		Fair value of payables(b)			Net fair value
Risk rating of reference entity
Investment-grade	$	(409,748	)	$	(1,383,644	)	$	(224,001	)	$	(2,017,393	)	$	16,690	$	(22,393	)	$	(5,703	)
Noninvestment-grade	(214,949		)	(722,115		)	(66,725		)	(1,003,789		)	22,355		(36,815		)	(14,460		)
Total	$	(624,697	)	$	(2,105,759	)	$	(290,726	)	$	(3,021,182	)	$	39,045	$	(59,208	)	$	(20,163	)

(a) The ratings scale is based on the Firm’s internal ratings, which generally correspond to ratings as defined by S&P and Moody’s.

(b) Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral received by the Firm.