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Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2021
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 DerivativeUse of DerivativeDesignation and disclosureAffected
segment or unit		10-Q page reference
Manage specifically identified risk exposures in qualifying hedge accounting relationships:
•Interest rate
Hedge fixed rate assets and liabilitiesFair value hedge
Corporate
106-107
•Interest rate
Hedge floating-rate assets and liabilitiesCash flow hedge
Corporate
108
•Foreign exchange
Hedge foreign currency-denominated assets and liabilities
Fair value hedge
Corporate
106-107
•Foreign exchange
Hedge foreign currency-denominated forecasted revenue and expense
Cash flow hedge
Corporate
108
•Foreign exchange
Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities
Net investment hedge
Corporate
109
•Commodity
Hedge commodity inventory
Fair value hedge
CIB, AWM
106-107
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 managementCCB109
•Credit
Manage the credit risk associated with wholesale lending exposures
Specified risk management
CIB109
•Interest rate and foreign exchange
Manage the risk associated with certain other specified assets and liabilities
Specified risk management
Corporate
109
Market-making derivatives and other activities:
•Various
Market-making and related risk management
Market-making and other
CIB109
•Various
Other derivatives
Market-making and other
CIB, AWM, Corporate109
Notional amount of derivative contracts
The following table summarizes the notional amount of free-standing derivative contracts outstanding as of March 31, 2021, and December 31, 2020.
Notional amounts(b)
(in billions)March 31, 2021December 31, 2020
Interest rate contracts
Swaps
$23,774 $20,986 
Futures and forwards
5,186 3,057 
Written options
3,412 3,375 
Purchased options
3,707 3,675 
Total interest rate contracts
36,079 31,093 
Credit derivatives(a)
1,335 1,201 
Foreign exchange contracts
Cross-currency swaps
3,850 3,924 
Spot, futures and forwards
7,647 6,871 
Written options
837 830 
Purchased options
827 825 
Total foreign exchange contracts
13,161 12,450 
Equity contracts
Swaps
496 448 
Futures and forwards
138 140 
Written options
695 676 
Purchased options
638 621 
Total equity contracts1,967 1,885 
Commodity contracts
Swaps
178 138 
Spot, futures and forwards
199 198 
Written options
142 124 
Purchased options
126 105 
Total commodity contracts
645 565 
Total derivative notional amounts
$53,187 $47,194 
(a)Refer to the Credit derivatives discussion on page 110 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 March 31, 2021, and December 31, 2020, 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 receivablesGross derivative payables
March 31, 2021
(in millions)		Not designated as hedgesDesignated as hedgesTotal derivative receivables
Net derivative receivables(b)
Not designated as hedgesDesignated
as hedges		Total derivative payables
Net derivative payables(b)
Trading assets and liabilities
Interest rate$310,838 $783 $311,621 $28,548 $279,186 $— $279,186 $10,744 
Credit14,212 — 14,212 1,048 14,602 — 14,602 1,898 
Foreign exchange185,672 955 186,627 15,112 184,033 1,473 185,506 17,038 
Equity73,578 — 73,578 19,753 79,543 — 79,543 22,400 
Commodity22,089 1,590 23,679 8,658 21,682 2,178 23,860 8,360 
Total fair value of trading assets and liabilities
$606,389 $3,328 $609,717 $73,119 $579,046 $3,651 $582,697 $60,440 
Gross derivative receivablesGross derivative payables
December 31, 2020
(in millions)		Not designated as hedgesDesignated as hedgesTotal derivative receivables
Net derivative receivables(b)
Not designated as hedgesDesignated
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 
Credit13,503 — 13,503 680 15,192 — 15,192 1,995 
Foreign exchange205,359 901 206,260 15,781 214,229 1,697 215,926 21,433 
Equity74,798 — 74,798 20,673 81,413 — 81,413 25,898 
Commodity20,579 924 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 
(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 March 31, 2021, and December 31, 2020, 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.
March 31, 2021December 31, 2020
(in millions)Gross derivative receivablesAmounts netted on the Consolidated balance sheetsNet derivative receivablesGross derivative receivablesAmounts netted on the Consolidated balance sheetsNet derivative receivables
U.S. GAAP nettable derivative receivables
Interest rate contracts:
Over-the-counter (“OTC”)$288,187 $(265,270)$22,917 $367,056 $(337,451)$29,605 
OTC–cleared17,627 (17,498)129 18,340 (17,919)421 
Exchange-traded(a)
334 (305)29 554 (395)159 
Total interest rate contracts306,148 (283,073)23,075 385,950 (355,765)30,185 
Credit contracts:
OTC9,229 (8,460)769 9,052 (8,514)538 
OTC–cleared4,758 (4,704)54 4,326 (4,309)17 
Total credit contracts13,987 (13,164)823 13,378 (12,823)555 
Foreign exchange contracts:
OTC181,701 (170,672)11,029 201,349 (189,655)11,694 
OTC–cleared891 (841)50 834 (819)15 
Exchange-traded(a)
18 (2)16 35 (5)30 
Total foreign exchange contracts182,610 (171,515)11,095 202,218 (190,479)11,739 
Equity contracts:
OTC30,396 (23,963)6,433 34,030 (27,374)6,656 
Exchange-traded(a)
30,633 (29,862)771 28,294 (26,751)1,543 
Total equity contracts61,029 (53,825)7,204 62,324 (54,125)8,199 
Commodity contracts:
OTC11,725 (6,789)4,936 10,924 (7,901)3,023 
OTC–cleared36 (36)— 20 (20)— 
Exchange-traded(a)
8,378 (8,196)182 6,833 (6,811)22 
Total commodity contracts20,139 (15,021)5,118 17,777 (14,732)3,045 
Derivative receivables with appropriate legal opinion
583,913 (536,598)47,315 
(d)
681,647 (627,924)53,723 
(d)
Derivative receivables where an appropriate legal opinion has not been either sought or obtained
25,804 25,804 25,907 25,907 
Total derivative receivables recognized on the Consolidated balance sheets
$609,717 $73,119 $707,554 $79,630 
Collateral not nettable on the Consolidated balance sheets(b)(c)
(13,958)(14,806)
Net amounts
$59,161 $64,824 
Offsetting liabilities
March 31, 2021December 31, 2020
(in millions)Gross derivative payablesAmounts netted on the Consolidated balance sheetsNet derivative payablesGross derivative payablesAmounts netted on the Consolidated balance sheetsNet derivative payables
U.S. GAAP nettable derivative payables
Interest rate contracts:
OTC$257,384 $(249,248)$8,136 $331,854 $(320,780)$11,074 
OTC–cleared19,914 (18,884)1,030 19,710 (19,494)216 
Exchange-traded(a)
322 (310)12 358 (341)17 
Total interest rate contracts277,620 (268,442)9,178 351,922 (340,615)11,307 
Credit contracts:
OTC9,841 (8,412)1,429 10,671 (9,141)1,530 
OTC–cleared4,321 (4,292)29 4,075 (4,056)19 
Total credit contracts14,162 (12,704)1,458 14,746 (13,197)1,549 
Foreign exchange contracts:
OTC180,571 (167,627)12,944 210,803 (193,672)17,131 
OTC–cleared857 (841)16 836 (819)17 
Exchange-traded(a)
13 — 13 34 (2)32 
Total foreign exchange contracts181,441 (168,468)12,973 211,673 (194,493)17,180 
Equity contracts:
OTC33,285 (27,282)6,003 35,330 (28,763)6,567 
Exchange-traded(a)
37,132 (29,861)7,271 34,491 (26,752)7,739 
Total equity contracts70,417 (57,143)13,274 69,821 (55,515)14,306 
Commodity contracts:
OTC10,338 (7,253)3,085 10,365 (7,544)2,821 
OTC–cleared53 (53)— 32 (32)— 
Exchange-traded(a)
8,571 (8,194)377 7,391 (6,868)523 
Total commodity contracts18,962 (15,500)3,462 17,788 (14,444)3,344 
Derivative payables with appropriate legal opinion
562,602 (522,257)40,345 
(d)
665,950 (618,264)47,686 
(d)
Derivative payables where an appropriate legal opinion has not been either sought or obtained
20,095 20,095 22,937 22,937 
Total derivative payables recognized on the Consolidated balance sheets
$582,697 $60,440 $688,887 $70,623 
Collateral not nettable on the Consolidated balance sheets(b)(c)
(9,193)(11,964)
Net amounts
$51,247 $58,659 
(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.
(c)Derivative collateral relates only to OTC and OTC-cleared derivative instruments.
(d)Net derivatives receivable included cash collateral netted of $74.6 billion and $88.0 billion at March 31, 2021, and December 31, 2020, respectively. Net derivatives payable included cash collateral netted of $60.2 billion and $78.4 billion at March 31, 2021, and December 31, 2020, 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 March 31, 2021, and December 31, 2020.
OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)March 31, 2021December 31, 2020
Aggregate fair value of net derivative payables
$21,562 $26,945 
(a)
Collateral posted21,279 26,289 
(a)Prior-period amount has been revised to conform with the current presentation.
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 March 31, 2021, and December 31, 2020, 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
March 31, 2021December 31, 2020
(in millions)Single-notch downgradeTwo-notch downgradeSingle-notch downgradeTwo-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)
$178 $1,448 $119 $1,243 
Amount required to settle contracts with termination triggers upon downgrade(b)
127 833 153 1,682 
(c)
(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.
(c)Prior-period amount has been revised to conform with the current presentation.
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 three months ended March 31, 2021 and 2020, 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
Three months ended March 31, 2021
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)
$(5,121)$5,446 $325 $— $436 $— 
Foreign exchange(c)
(729)747 18 (78)18 (37)
Commodity(d)
(1,261)1,288 27 — 12 — 
Total$(7,111)$7,481 $370 $(78)$466 $(37)
Gains/(losses) recorded in income
Income statement impact of
excluded components(e)
OCI impact
Three months ended March 31, 2020
(in millions)		DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)
$4,087 $(3,788)$299 $— $214 $— 
Foreign exchange(c)
576 (488)88 (179)88 115 
Commodity(d)
1,528 (1,482)46 — 49 — 
Total$6,191 $(5,758)$433 $(179)$351 $115 
(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 March 31, 2021 and December 31, 2020, 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:
March 31, 2021
(in millions)		Active hedging relationships
Discontinued hedging relationships(d)(e)
Total
Assets
Investment securities - AFS$87,720 
(c)
$502 $633 $1,135 
Liabilities
Long-term debt$176,622 $(2,741)$9,190 $6,449 
Beneficial interests issued by consolidated VIEs747 — (2)(2)
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 VIEs746 — (3)(3)
(a)Excludes physical commodities with a carrying value of $16.1 billion and $11.5 billion at March 31, 2021 and December 31, 2020, 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 March 31, 2021 and December 31, 2020, the carrying amount excluded for AFS securities is $15.5 billion and $14.5 billion, respectively, and for long-term debt is $6.4 billion and $6.6 billion, respectively.
(c)Carrying amount represents the amortized cost, net of allowance if applicable. Refer to Note 9 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 three months ended March 31, 2021 and 2020, 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)
Three months ended March 31, 2021
(in millions)		Amounts reclassified
from AOCI to income		Amounts recorded
in OCI		Total change
in OCI for period
Contract type
Interest rate(a)
$237 $(2,761)$(2,998)
Foreign exchange(b)
27 66 39 
Total$264 $(2,695)$(2,959)
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended March 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)
$(9)$3,461 $3,470 
Foreign exchange(b)
17 (210)(227)
Total$8 $3,251 $3,243 
(a)Primarily consists of hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income.
(b)Primarily consists of hedges of the foreign currency risk of non-U.S. dollar-denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily noninterest revenue and compensation expense.
Net investment hedge gains and losses
The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pre-tax gains/(losses) recorded on such instruments for the three months ended March 31, 2021 and 2020.
Gains/(losses) recorded in income and other comprehensive income/(loss)
20212020
Three months ended March 31,
(in millions)
Amounts recorded in
income(a)
Amounts recorded in OCI
Amounts recorded in
income(a)
Amounts recorded in OCI
Foreign exchange derivatives$(28)$1,200 $10 $1,589 
(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.
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
Three months ended March 31,
(in millions)20212020
Contract type
Interest rate(a)
$(142)$1,292 
Credit(b)
(40)61 
Foreign exchange(c)
98 106 
Total$(84)$1,459 
(a)Primarily represents interest rate derivatives used to hedge the interest rate risk inherent in mortgage commitments, warehouse loans and MSRs, as well as written commitments to originate warehouse loans. Gains and losses were recorded predominantly in mortgage fees and related income.
(b)Relates to credit derivatives used to mitigate credit risk associated with lending exposures in the Firm’s wholesale businesses. These derivatives do not include credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, which is included in gains and losses on derivatives related to market-making activities and other derivatives. Gains and losses were recorded in principal transactions revenue.
(c)Primarily relates to derivatives used to mitigate foreign exchange risk of specified foreign currency-denominated assets and liabilities. Gains and losses were recorded in principal transactions revenue.
Credit derivatives table
Refer to Note 5 of JPMorgan Chase’s 2020 Form 10-K for a more detailed discussion of credit derivatives. The following tables present a summary of the notional amounts of credit derivatives and credit-related notes the Firm sold and purchased as of March 31, 2021 and December 31, 2020. The Firm does not use notional amounts of credit derivatives as the primary measure of risk management for such derivatives, because the notional amount does not take into account the probability of the occurrence of a credit event, the recovery value of the reference obligation, or related cash instruments and economic hedges, each of which reduces, in the Firm’s view, the risks associated with such derivatives.
Total credit derivatives and credit-related notes
Maximum payout/Notional amount
March 31, 2021 (in millions)Protection sold
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
Credit derivatives
Credit default swaps$(595,343)$609,926 $14,583 $2,562 
Other credit derivatives(a)
(45,961)68,528 22,567 12,478 
Total credit derivatives(641,304)678,454 37,150 15,040 
Credit-related notes— — — 10,847 
Total$(641,304)$678,454 $37,150 $25,887 
Maximum payout/Notional amount
December 31, 2020 (in millions)Protection sold
Protection purchased with identical underlyings(b)
Net protection (sold)/purchased(c)
Other protection purchased(d)
Credit derivatives
Credit default swaps$(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 $23,664 
(a)Other credit derivatives predominantly consist of credit swap options and total return swaps.
(b)Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold.
(c)Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value.
(d)Represents protection purchased by the Firm on referenced instruments (single-name, portfolio or index) where the Firm has not sold any protection on the identical reference instrument.
Protection sold - credit derivatives and credit-related notes ratings/maturity profile
The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives and credit-related notes as of March 31, 2021, and December 31, 2020, where JPMorgan Chase is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives and credit-related notes where JPMorgan Chase is the purchaser of protection are comparable to the profile reflected below.
Protection sold — credit derivatives and credit-related notes ratings(a)/maturity profile
March 31, 2021
(in millions)		<1 year1–5 years>5 yearsTotal
notional amount
Fair value of receivables(b)
Fair value of payables(b)
Net fair value
Risk rating of reference entity
Investment-grade$(93,329)$(304,945)$(80,813)$(479,087)$5,746 $(651)$5,095 
Noninvestment-grade(35,229)(100,052)(26,936)(162,217)3,851 (2,418)1,433 
Total$(128,558)$(404,997)$(107,749)$(641,304)$9,597 $(3,069)$6,528 
December 31, 2020
(in millions)		<1 year1–5 years>5 yearsTotal
notional amount
Fair value of receivables(b)
Fair value of payables(b)
Net fair value
Risk rating of reference entity
Investment-grade$(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 
(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.