Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of uses and disclosure of derivatives

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	Page reference
Manage specifically identified risk exposures in qualifying hedge accounting relationships:
•Interest rate	Hedge fixed rate assets and liabilities	Fair value hedge	Corporate	206-207
•Interest rate	Hedge floating-rate assets and liabilities	Cash flow hedge	Corporate	208
•Foreign exchange	Hedge foreign currency-denominated assets and liabilities	Fair value hedge	Corporate	206-207
•Foreign exchange	Hedge foreign currency-denominated forecasted revenue and expense	Cash flow hedge	Corporate	208
•Foreign exchange	Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities	Net investment hedge	Corporate	208
•Commodity	Hedge commodity inventory	Fair value hedge	CIB	206-207
Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships:
•Interest rate	Manage the risk associated with mortgage commitments, warehouse loans and MSRs	Specified risk management	CCB	209
•Credit	Manage the credit risk associated with wholesale lending exposures	Specified risk management	CIB	209
•Interest rate and foreign exchange	Manage the risk associated with certain other specified assets and liabilities	Specified risk management	Corporate	209
Market-making derivatives and other activities:
•Various	Market-making and related risk management	Market-making and other	CIB	209
•Various	Other derivatives	Market-making and other	CIB, AWM, Corporate	209

Notional amount of derivative contracts

The following table summarizes the notional amount of derivative contracts outstanding as of December 31, 2020 and 2019.

	Notional amounts(b)
December 31, (in billions)	2020		2019
Interest rate contracts
Swaps	$	20,986	$	21,228
Futures and forwards	3,057		3,152
Written options	3,375		3,938
Purchased options	3,675		4,361
Total interest rate contracts	31,093		32,679
Credit derivatives(a)	1,201		1,242
Foreign exchange contracts
Cross-currency swaps	3,924		3,604
Spot, futures and forwards	6,871		5,577
Written options	830		700
Purchased options	825		718
Total foreign exchange contracts	12,450		10,599
Equity contracts
Swaps	448		406
Futures and forwards	140		142
Written options	676		646
Purchased options	621		611
Total equity contracts	1,885		1,805
Commodity contracts
Swaps	138		147
Spot, futures and forwards	198		211
Written options	124		135
Purchased options	105		124
Total commodity contracts	565		617
Total derivative notional amounts	$	47,194	$	46,942

(a)     Refer to the Credit derivatives discussion on pages 209-211 for more information on volumes and types of credit derivative contracts.

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

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 December 31, 2020 and 2019, by accounting designation (e.g., whether the derivatives were designated in qualifying hedge accounting relationships or not) and contract type.

Free-standing derivative receivables and payables(a)
	Gross derivative receivables								Gross derivative payables
December 31, 2020 (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	$	390,659	$	831	$	391,490	$	35,725	$	353,627	$	—	$	353,627	$	13,012
Credit	13,503		—		13,503		680		15,192		—		15,192		1,995
Foreign exchange	205,359		901		206,260		15,781		214,229		1,697		215,926		21,433
Equity	74,798		—		74,798		20,673		81,413		—		81,413		25,898
Commodity	20,579		924		21,503		6,771		20,834		1,895		22,729		8,285
Total fair value of trading assets and liabilities	$	704,898	$	2,656	$	707,554	$	79,630	$	685,295	$	3,592	$	688,887	$	70,623
	Gross derivative receivables								Gross derivative payables
December 31, 2019 (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	$	312,451	$	843	$	313,294	$	27,421	$	279,272	$	1	$	279,273	$	8,603
Credit	14,876		—		14,876		701		15,121		—		15,121		1,652
Foreign exchange	138,179		308		138,487		9,005		144,125		983		145,108		13,158
Equity	45,727		—		45,727		6,477		52,741		—		52,741		12,537
Commodity	16,914		328		17,242		6,162		19,736		149		19,885		7,758
Total fair value of trading assets and liabilities	$	528,147	$	1,479	$	529,626	$	49,766	$	510,995	$	1,133	$	512,128	$	43,708

(a)Balances exclude structured notes for which the fair value option has been elected. Refer to Note 3 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.

Offsetting assets

The following tables present, as of December 31, 2020 and 2019, gross and net derivative receivables and payables by contract and settlement type. Derivative receivables and payables, as well as the related cash collateral from the same counterparty, have been netted on the Consolidated balance sheets where the Firm has obtained an appropriate legal opinion with respect to the master netting agreement. Where such a legal opinion has not been either sought or obtained, amounts are not eligible for netting on the Consolidated balance sheets, and those derivative receivables and payables are shown separately in the tables below.

In addition to the cash collateral received and transferred that is presented on a net basis with 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:

•collateral that consists of liquid securities and other cash collateral held at third-party custodians, which are shown separately as “Collateral not nettable on the Consolidated balance sheets” in the tables below, up to the fair value exposure amount. Liquid securities represent high quality liquid assets as defined in the LCR rule;

•the amount of collateral held or transferred that exceeds the fair value exposure at the individual counterparty level, as of the date presented, which is excluded from the tables below; and

•collateral held or transferred that relates to derivative receivables or payables where an appropriate legal opinion has not been either sought or obtained with respect to the master netting agreement, which is excluded from the tables below.

	2020							2019
December 31, (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:
OTC	$	367,056	$	(337,451)	$	29,605		$	299,205	$	(276,255)	$	22,950
OTC–cleared	18,340		(17,919)		421			9,442		(9,360)		82
Exchange-traded(a)	554		(395)		159			347		(258)		89
Total interest rate contracts	385,950		(355,765)		30,185			308,994		(285,873)		23,121
Credit contracts:
OTC	9,052		(8,514)		538			10,743		(10,317)		426
OTC–cleared	4,326		(4,309)		17			3,864		(3,858)		6
Total credit contracts	13,378		(12,823)		555			14,607		(14,175)		432
Foreign exchange contracts:
OTC	201,349		(189,655)		11,694			136,252		(129,324)		6,928
OTC–cleared	834		(819)		15			185		(152)		33
Exchange-traded(a)	35		(5)		30			10		(6)		4
Total foreign exchange contracts	202,218		(190,479)		11,739			136,447		(129,482)		6,965
Equity contracts:
OTC	34,030		(27,374)		6,656			23,106		(20,820)		2,286
Exchange-traded(a)	28,294		(26,751)		1,543			19,654		(18,430)		1,224
Total equity contracts	62,324		(54,125)		8,199			42,760		(39,250)		3,510
Commodity contracts:
OTC	10,924		(7,901)		3,023			7,093		(5,149)		1,944
OTC–cleared	20		(20)		—			28		(28)		—
Exchange-traded(a)	6,833		(6,811)		22			6,154		(5,903)		251
Total commodity contracts	17,777		(14,732)		3,045			13,275		(11,080)		2,195
Derivative receivables with appropriate legal opinion	681,647		(627,924)		53,723		(d)	516,083		(479,860)		36,223		(d)
Derivative receivables where an appropriate legal opinion has not been either sought or obtained	25,907				25,907			13,543				13,543
Total derivative receivables recognized on the Consolidated balance sheets	$	707,554			$	79,630		$	529,626			$	49,766
Collateral not nettable on the Consolidated balance sheets(b)(c)					(14,806)							(13,052)
Net amounts					$	64,824						$	36,714

Offsetting liabilities

	2020							2019
December 31, (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	$	331,854	$	(320,780)	$	11,074		$	267,311	$	(260,229)	$	7,082
OTC–cleared	19,710		(19,494)		216			10,217		(10,138)		79
Exchange-traded(a)	358		(341)		17			365		(303)		62
Total interest rate contracts	351,922		(340,615)		11,307			277,893		(270,670)		7,223
Credit contracts:
OTC	10,671		(9,141)		1,530			11,570		(10,080)		1,490
OTC–cleared	4,075		(4,056)		19			3,390		(3,389)		1
Total credit contracts	14,746		(13,197)		1,549			14,960		(13,469)		1,491
Foreign exchange contracts:
OTC	210,803		(193,672)		17,131			142,360		(131,792)		10,568
OTC–cleared	836		(819)		17			186		(152)		34
Exchange-traded(a)	34		(2)		32			12		(6)		6
Total foreign exchange contracts	211,673		(194,493)		17,180			142,558		(131,950)		10,608
Equity contracts:
OTC	35,330		(28,763)		6,567			27,594		(21,778)		5,816
Exchange-traded(a)	34,491		(26,752)		7,739			20,216		(18,426)		1,790
Total equity contracts	69,821		(55,515)		14,306			47,810		(40,204)		7,606
Commodity contracts:
OTC	10,365		(7,544)		2,821			8,714		(6,235)		2,479
OTC–cleared	32		(32)		—			30		(30)		—
Exchange-traded(a)	7,391		(6,868)		523			6,012		(5,862)		150
Total commodity contracts	17,788		(14,444)		3,344			14,756		(12,127)		2,629
Derivative payables with appropriate legal opinion	665,950		(618,264)		47,686		(d)	497,977		(468,420)		29,557		(d)
Derivative payables where an appropriate legal opinion has not been either sought or obtained	22,937				22,937			14,151				14,151
Total derivative payables recognized on the Consolidated balance sheets	$	688,887			$	70,623		$	512,128			$	43,708
Collateral not nettable on the Consolidated balance sheets(b)(c)					(11,964)							(6,960)
Net amounts					$	58,659						$	36,748

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

(b)Includes liquid securities and other cash collateral held at third-party custodians related to derivative instruments where an appropriate legal opinion has been obtained. 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. In the fourth quarter of 2020, the Firm refined its approach for disclosing additional collateral held by the Firm that may be used as security when the fair value of the client’s exposure is in the Firm’s favor. Prior-period amounts have been revised to conform with the current presentation.

(c)Derivative collateral relates only to OTC and OTC-cleared derivative instruments.

(d)Net derivatives receivable included cash collateral netted of $88.0 billion and $65.9 billion at December 31, 2020 and 2019, respectively. Net derivatives payable included cash collateral netted of $78.4 billion and $54.4 billion at December 31, 2020 and 2019, respectively. Derivative cash collateral relates to OTC and OTC-cleared derivative instruments.

Current credit risk of derivative receivables and liquidity risk of derivative payables

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 ratings downgrade, and the associated collateral the Firm has posted in the normal course of business, at December 31, 2020 and 2019.

OTC and OTC-cleared derivative payables containing downgrade triggers
December 31, (in millions)	2020		2019
Aggregate fair value of net derivative payables	$	27,712	$	14,819
Collateral posted	26,289		13,329

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, N.A., at December 31, 2020 and 2019, 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 (except in certain instances in which additional initial margin may be required upon a ratings downgrade), nor in termination payments requirements. The liquidity impact in the table is calculated based upon a downgrade below the lowest current rating of the rating agencies referred to in the derivative contract.

Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives
	2020				2019
December 31, (in millions)	Single-notch downgrade		Two-notch downgrade		Single-notch downgrade		Two-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)	$	119	$	1,243	$	189	$	1,467
Amount required to settle contracts with termination triggers upon downgrade(b)	153		2,449		104		1,398

(a)Includes the additional collateral to be posted for initial margin.

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

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 pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the years ended December 31, 2020, 2019 and 2018, respectively. The Firm includes gains/(losses) on the hedging derivative in the same line item in the Consolidated statements of income as the related hedged item.

	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Year ended December 31, 2020 (in millions)	Derivatives		Hedged items		Income statement impact		Amortization approach		Changes in fair value		Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)	$	2,962	$	(1,889)	$	1,073	$	—	$	1,093	$	—
Foreign exchange(c)	793		(619)		174		(457)		174		25
Commodity(d)	(2,507)		2,650		143		—		137		—
Total	$	1,248	$	142	$	1,390	$	(457)	$	1,404	$	25
	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Year ended December 31, 2019 (in millions)	Derivatives		Hedged items		Income statement impact		Amortization approach		Changes in fair value		Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)	$	3,204	$	(2,373)	$	831	$	—	$	828	$	—
Foreign exchange(c)	154		328		482		(866)		482		39
Commodity(d)	(77)		148		71		—		63		—
Total	$	3,281	$	(1,897)	$	1,384	$	(866)	$	1,373	$	39
	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Year ended December 31, 2018 (in millions)	Derivatives		Hedged items		Income statement impact		Amortization approach		Changes in fair value		Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)	$	(1,145)	$	1,782	$	637	$	—	$	623	$	—
Foreign exchange(c)	1,092		(616)		476		(566)		476		(140)
Commodity(d)	789		(754)		35		—		26		—
Total	$	736	$	412	$	1,148	$	(566)	$	1,125	$	(140)

(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.

(b)Excludes the amortization expense associated with the inception hedge accounting adjustment applied to the hedged item. This expense is recorded in net interest income and substantially offsets the income statement impact of the excluded components. Also excludes the accrual of interest on interest rate swaps and the related hedged items.

(c)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 and the income statement impact of excluded components were recorded primarily in principal transactions revenue and net interest income.

(d)Consists of overall fair value hedges of physical commodities inventories that are generally carried at the lower of cost or net realizable value (net realizable value approximates fair value). Gains and losses were recorded in principal transactions revenue.

(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, time values and cross-currency basis spreads. Excluded components may impact earnings either through amortization of the initial amount over the life of the derivative or through fair value changes recognized in the current period.

(f)Represents the change in value of amounts excluded from the assessment of effectiveness under the amortization approach, predominantly cross-currency basis spreads. The amount excluded at inception of the hedge is recognized in earnings over the life of the derivative.

Schedule of amounts recorded on Consolidated Balance Sheets related to certain cumulative fair value hedge basis adjustments

As of December 31, 2020 and 2019, the following amounts were recorded on the Consolidated balance sheets related to certain cumulative fair value hedge basis adjustments that are expected to reverse through the income statement in future periods as an adjustment to yield.

	Carrying amount of the hedged items(a)(b)			Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items:
December 31, 2020 (in millions)				Active hedging relationships		Discontinued hedging relationships(d)(e)		Total
Assets
Investment securities - AFS	$	139,684	(c)	$	3,572	$	847	$	4,419
Liabilities
Long-term debt	$	177,611		$	3,194	$	11,473	$	14,667
Beneficial interests issued by consolidated VIEs	746			—		(3)		(3)
	Carrying amount of the hedged items(a)(b)			Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items:
December 31, 2019 (in millions)				Active hedging relationships		Discontinued hedging relationships(d)(e)		Total
Assets
Investment securities - AFS	$	125,860	(c)	$	2,110	$	278	$	2,388
Liabilities
Long-term debt	$	157,545		$	6,719	$	161	$	6,880
Beneficial interests issued by consolidated VIEs	2,365			—		(8)		(8)

(a)Excludes physical commodities with a carrying value of $11.5 billion and $6.5 billion at December 31, 2020 and 2019, respectively, to which the Firm applies fair value hedge accounting. As a result of the application of hedge accounting, these inventories are carried at fair value, thus recognizing unrealized gains and losses in current periods. Since the Firm exits these positions at fair value, there is no incremental impact to net income in future periods.

(b)Excludes hedged items where only foreign currency risk is the designated hedged risk, as basis adjustments related to foreign currency hedges will not reverse through the income statement in future periods. At December 31, 2020 and 2019, the carrying amount excluded for AFS securities is $14.5 billion and $14.9 billion, respectively, and for long-term debt is $6.6 billion and $2.8 billion, respectively.

(c)Carrying amount represents the amortized cost, net of allowance if applicable. Refer to Note 10 for additional information.

(d)Represents basis adjustments existing on the balance sheet date associated with hedged items that have been de-designated from qualifying fair value hedging relationships.

(e)Positive amounts related to assets represent cumulative fair value hedge basis adjustments that will reduce net interest income in future periods. Positive (negative) amounts related to liabilities represent cumulative fair value hedge basis adjustments that will increase (reduce) net interest income in future periods.

Cash flow hedge gains and losses

The following tables present derivative instruments, by contract type, used in cash flow hedge accounting relationships, and the pre-tax gains/(losses) recorded on such derivatives, for the years ended December 31, 2020, 2019 and 2018, respectively. The Firm includes the gains/(losses) on the hedging derivative in the same line item in the Consolidated statements of income as the change in cash flows on the related hedged item.

	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Year ended December 31, 2020 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	570	$	3,582	$	3,012
Foreign exchange(b)	—		41		41
Total	$	570	$	3,623	$	3,053

	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Year ended December 31, 2019 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	(28)	$	(3)	$	25
Foreign exchange(b)	(75)		125		200
Total	$	(103)	$	122	$	225
	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Year ended December 31, 2018 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	44	$	(44)	$	(88)
Foreign exchange(b)	(26)		(201)		(175)
Total	$	18	$	(245)	$	(263)

(a)Primarily consists of 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 noninterest revenue and compensation expense.

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 pre-tax gains/(losses) recorded on such instruments for the years ended December 31, 2020, 2019 and 2018.

	2020		2019		2018
Year ended December 31, (in millions)	Amounts recorded in income(a)(b)	Amounts recorded in OCI	Amounts recorded in income(a)(b)	Amounts recorded in OCI	Amounts recorded in income(a)(b)	Amounts recorded in OCI
Foreign exchange derivatives	$(122)	$(1,408)	$72	$64	$11	$1,219

(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. The Firm elects to record changes in fair value of these amounts directly in other income.

(b)Excludes amounts reclassified from AOCI to income on the sale or liquidation of hedged entities. The Firm reclassified net pre-tax gains/(losses) of $3 million and $18 million to other income, and $(17) million to other expense related to the liquidation of certain legal entities during the years ended December 31, 2020, 2019 and 2018, respectively. Refer to Note 24 for further information.

Risk management derivatives gains and losses (not designated as hedging instruments)

The following table presents pre-tax 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 mortgage commitments, warehouse loans, MSRs, wholesale lending exposures, and foreign currency denominated assets and liabilities.

	Derivatives gains/(losses) recorded in income
Year ended December 31, (in millions)	2020		2019		2018
Contract type
Interest rate(a)	$	2,994	$	1,491	$	79
Credit(b)	(176)		(30)		(21)
Foreign exchange(c)	43		(5)		117
Total	$	2,861	$	1,456	$	175

(a)Primarily represents interest rate derivatives used to hedge the interest rate risk inherent in mortgage commitments, warehouse loans and MSRs, as well as written commitments to originate warehouse loans. 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. These derivatives do not include credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, which is 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 derivatives used to mitigate foreign exchange risk of specified foreign currency-denominated assets and liabilities. Gains and losses were recorded in principal transactions revenue.

Credit derivatives and credit-related notes

Total credit derivatives and credit-related notes
	Maximum payout/Notional amount
	Protection sold			Protection purchased with identical underlyings(b)				Net protection (sold)/purchased(c)		Other protection purchased(d)
December 31, 2020 (in millions)
Credit derivatives
Credit default swaps	$	(535,094)			$	554,565		$	19,471	$	4,001
Other credit derivatives(a)	(40,084)				57,344			17,260		9,415
Total credit derivatives	(575,178)				611,909			36,731		13,416
Credit-related notes	—				—			—		10,248
Total	$	(575,178)			$	611,909		$	36,731	$	23,664
	Maximum payout/Notional amount
	Protection sold			Protection purchased with identical underlyings(b)				Net protection (sold)/purchased(c)		Other protection purchased(d)
December 31, 2019 (in millions)
Credit derivatives
Credit default swaps	$	(562,338)			$	571,892		$	9,554	$	3,936
Other credit derivatives(a)	(50,395)		(e)		46,541		(e)	(3,854)		7,364
Total credit derivatives	(612,733)				618,433			5,700		11,300
Credit-related notes	—				—			—		9,606
Total	$	(612,733)			$	618,433		$	5,700	$	20,906

(a)Other credit derivatives predominantly consist of credit swap options and total return swaps.

(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.

(e)Prior-period amounts have been revised to conform with the current presentation.

Protection sold - credit derivatives and credit-related notes ratings/maturity profile

The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives and credit-related notes as of December 31, 2020 and 2019, 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
December 31, 2020 (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	$	(93,905)	$	(307,648)	$	(35,326)	$	(436,879)	$	5,521	$	(835)	$	4,686
Noninvestment-grade	(31,809)		(97,337)		(9,153)		(138,299)		3,953		(2,542)		1,411
Total	$	(125,714)	$	(404,985)	$	(44,479)	$	(575,178)	$	9,474	$	(3,377)	$	6,097

December 31, 2019 (in millions)	<1 year(c)		1–5 years		>5 years		Total notional amount		Fair value of receivables(b)(c)		Fair value of payables(b)(c)		Net fair value
Risk rating of reference entity
Investment-grade	$	(119,788)	$	(311,407)	$	(42,129)	$	(473,324)	$	6,168	$	(901)	$	5,267
Noninvestment-grade	(41,799)		(87,769)		(9,841)		(139,409)		4,287		(2,817)		1,470
Total	$	(161,587)	$	(399,176)	$	(51,970)	$	(612,733)	$	10,455	$	(3,718)	$	6,737

(a)The ratings scale is primarily based on external credit ratings defined by S&P and Moody’s.

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

(c)Prior-period amounts have been revised to conform with the current presentation.