JPMorgan Chase makes markets in derivatives for clients and also uses derivatives to hedge or manage its own risk exposures. Refer to Note 5 of JPMorgan Chase’s 2020 Form 10-K for a further discussion of the Firm’s use of and accounting policies regarding derivative instruments.

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 risks associated with specified assets and 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

120-121

•Interest rate

Hedge floating-rate assets and liabilities

Cash flow hedge

Corporate

122

•Foreign exchange

Hedge foreign currency-denominated assets and liabilities

Fair value hedge

Corporate

120-121

•Foreign exchange

Hedge foreign currency-denominated forecasted revenue and expense

Cash flow hedge

Corporate

122

•Foreign exchange

Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities

Net investment hedge

Corporate

123

•Commodity

Hedge commodity inventory

Fair value hedge

CIB, AWM

120-121

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

123

•Credit

Manage the credit risk associated with wholesale lending exposures

Specified risk management

CIB

123

•Interest rate and foreign exchange

Manage the risk associated with certain other specified assets and liabilities

Specified risk management

Corporate

123

Market-making derivatives and other activities:

•Various

Market-making and related risk management

Market-making and other

CIB

123

•Various

Other derivatives

Market-making and other

CIB, AWM, Corporate

123

Notional amount of derivative contracts

The following table summarizes the notional amount of free-standing derivative contracts outstanding as of June 30, 2021, and December 31, 2020.


	Notional amounts(b)
(in billions)	June 30, 2021		December 31, 2020
Interest rate contracts
Swaps	$	24,414	$	20,990	(c)
Futures and forwards	5,170		3,057
Written options	3,354		3,375
Purchased options	3,604		3,675
Total interest rate contracts	36,542		31,097
Credit derivatives(a)	1,143		1,197		(c)
Foreign exchange contracts
Cross-currency swaps	4,088		3,924
Spot, futures and forwards	7,465		6,871
Written options	805		830
Purchased options	782		825
Total foreign exchange contracts	13,140		12,450
Equity contracts
Swaps	549		448
Futures and forwards	158		140
Written options	735		676
Purchased options	680		621
Total equity contracts	2,122		1,885
Commodity contracts
Swaps	175		138
Spot, futures and forwards	196		198
Written options	152		124
Purchased options	119		105
Total commodity contracts	642		565
Total derivative notional amounts	$	53,589	$	47,194

(a)Refer to the Credit derivatives discussion on page 124 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.

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

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 contracts, the notional amount is not exchanged; it is simply a reference amount used 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 June 30, 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 receivables									Gross derivative payables
June 30, 2021 (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	$	303,469		$	780	$	304,249	$	26,046	$	270,175		$	—	$	270,175	$	9,190
Credit	10,104			—		10,104		948		11,515			—		11,515		1,184
Foreign exchange	156,349			1,068		157,417		14,507		155,369			1,382		156,751		13,715
Equity	73,104			—		73,104		16,861		84,557			—		84,557		21,100
Commodity	26,017			3,113		29,130		12,349		25,467			4,416		29,883		10,856
Total fair value of trading assets and liabilities	$	569,043		$	4,961	$	574,004	$	70,711	$	547,083		$	5,798	$	552,881	$	56,045

	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	$	390,817	(c)	$	831	$	391,648	$	35,725	$	353,987	(c)	$	—	$	353,987	$	13,012
Credit	13,345		(c)	—		13,345		680		14,832		(c)	—		14,832		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

(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.

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

Derivatives netting

The following tables present, as of June 30, 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. For the purpose of this disclosure, the definition of liquid securities is consistent with the definition of 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.


	June 30, 2021							December 31, 2020
(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”)	$	281,104	$	(259,955)	$	21,149		$	367,214	(e)	$	(337,609)	(e)	$	29,605
OTC–cleared	18,220		(17,997)		223			18,340			(17,919)			421
Exchange-traded(a)	275		(251)		24			554			(395)			159
Total interest rate contracts	299,599		(278,203)		21,396			386,108			(355,923)			30,185
Credit contracts:
OTC	7,860		(7,134)		726			8,894		(e)	(8,356)		(e)	538
OTC–cleared	2,033		(2,022)		11			4,326			(4,309)			17
Total credit contracts	9,893		(9,156)		737			13,220			(12,665)			555
Foreign exchange contracts:
OTC	153,517		(142,403)		11,114			201,349			(189,655)			11,694
OTC–cleared	574		(507)		67			834			(819)			15
Exchange-traded(a)	23		—		23			35			(5)			30
Total foreign exchange contracts	154,114		(142,910)		11,204			202,218			(190,479)			11,739
Equity contracts:
OTC	29,092		(22,796)		6,296			34,030			(27,374)			6,656
Exchange-traded(a)	33,993		(33,447)		546			28,294			(26,751)			1,543
Total equity contracts	63,085		(56,243)		6,842			62,324			(54,125)			8,199
Commodity contracts:
OTC	15,720		(6,911)		8,809			10,924			(7,901)			3,023
OTC–cleared	65		(65)		—			20			(20)			—
Exchange-traded(a)	9,970		(9,805)		165			6,833			(6,811)			22
Total commodity contracts	25,755		(16,781)		8,974			17,777			(14,732)			3,045
Derivative receivables with appropriate legal opinion	552,446		(503,293)		49,153		(d)	681,647			(627,924)			53,723		(d)
Derivative receivables where an appropriate legal opinion has not been either sought or obtained	21,558				21,558			25,907						25,907
Total derivative receivables recognized on the Consolidated balance sheets	$	574,004			$	70,711		$	707,554					$	79,630
Collateral not nettable on the Consolidated balance sheets(b)(c)					(11,324)									(14,806)
Net amounts					$	59,387								$	64,824


	June 30, 2021							December 31, 2020
(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	$	248,575	$	(241,070)	$	7,505		$	332,214	(e)	$	(321,140)	(e)	$	11,074
OTC–cleared	20,066		(19,739)		327			19,710			(19,494)			216
Exchange-traded(a)	202		(176)		26			358			(341)			17
Total interest rate contracts	268,843		(260,985)		7,858			352,282			(340,975)			11,307
Credit contracts:
OTC	9,117		(8,516)		601			10,311		(e)	(8,781)		(e)	1,530
OTC–cleared	1,834		(1,815)		19			4,075			(4,056)			19
Total credit contracts	10,951		(10,331)		620			14,386			(12,837)			1,549
Foreign exchange contracts:
OTC	152,578		(142,529)		10,049			210,803			(193,672)			17,131
OTC–cleared	533		(507)		26			836			(819)			17
Exchange-traded(a)	22		—		22			34			(2)			32
Total foreign exchange contracts	153,133		(143,036)		10,097			211,673			(194,493)			17,180
Equity contracts:
OTC	34,459		(30,011)		4,448			35,330			(28,763)			6,567
Exchange-traded(a)	40,777		(33,446)		7,331			34,491			(26,752)			7,739
Total equity contracts	75,236		(63,457)		11,779			69,821			(55,515)			14,306
Commodity contracts:
OTC	14,621		(9,066)		5,555			10,365			(7,544)			2,821
OTC–cleared	80		(80)		—			32			(32)			—
Exchange-traded(a)	10,521		(9,881)		640			7,391			(6,868)			523
Total commodity contracts	25,222		(19,027)		6,195			17,788			(14,444)			3,344
Derivative payables with appropriate legal opinion	533,385		(496,836)		36,549		(d)	665,950			(618,264)			47,686		(d)
Derivative payables where an appropriate legal opinion has not been either sought or obtained	19,496				19,496			22,937						22,937
Total derivative payables recognized on the Consolidated balance sheets	$	552,881			$	56,045		$	688,887					$	70,623
Collateral not nettable on the Consolidated balance sheets(b)(c)					(7,873)									(11,964)
Net amounts					$	48,172								$	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 $70.0 billion and $88.0 billion at June 30, 2021, and December 31, 2020, respectively. Net derivatives payable included cash collateral netted of $63.5 billion and $78.4 billion at June 30, 2021, and December 31, 2020, respectively. Derivative cash collateral relates to OTC and OTC-cleared derivative instruments.

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

Liquidity risk and credit-related contingent features

Refer to Note 5 of JPMorgan Chase’s 2020 Form 10-K for a more detailed discussion of liquidity risk and credit-related contingent features related to the Firm’s derivative contracts.

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 June 30, 2021, and December 31, 2020.


OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)	June 30, 2021			December 31, 2020
Aggregate fair value of net derivative payables		$	20,607		$	26,945	(a)
Collateral posted		19,146			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 June 30, 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
	June 30, 2021				December 31, 2020
(in millions)	Single-notch downgrade		Two-notch downgrade		Single-notch downgrade		Two-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)	$	149	$	1,427	$	119	$	1,243
Amount required to settle contracts with termination triggers upon downgrade(b)	117		967		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.

Derivatives executed in contemplation of a sale of the underlying financial asset

In certain instances the Firm enters into transactions in which it transfers financial assets but maintains the economic exposure to the transferred assets by entering into a derivative with the same counterparty in contemplation of the initial transfer. The Firm generally accounts for such transfers as collateralized financing transactions as described in Note 10, but in limited circumstances they may qualify to be accounted for as a sale and a derivative under U.S. GAAP. The amount of such transfers accounted for as a sale where the associated derivative was outstanding was not material at June 30, 2021 and December 31, 2020.

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 pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the three and six months ended June 30, 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 June 30, 2021 (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)	$	2,184	$	(1,630)	$	554	$	—	$	544	$	—
Foreign exchange(c)	230		(221)		9		(72)		9		(31)
Commodity(d)	(3,126)		3,155		29		—		20		—
Total	$	(712)	$	1,304	$	592	$	(72)	$	573	$	(31)


	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Three months ended June 30, 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)	$	464	$	(288)	$	176	$	—	$	205	$	—
Foreign exchange(c)	(304)		338		34		(121)		34		21
Commodity(d)	(1,730)		1,771		41		—		44		—
Total	$	(1,570)	$	1,821	$	251	$	(121)	$	283	$	21


	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Six months ended June 30, 2021 (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)	$	(2,937)	$	3,816	$	879	$	—	$	980	$	—
Foreign exchange(c)	(499)		526		27		(150)		27		(68)
Commodity(d)	(4,387)		4,443		56		—		32		—
Total	$	(7,823)	$	8,785	$	962	$	(150)	$	1,039	$	(68)


	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Six months ended June 30, 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)	$	4,551	$	(4,076)	$	475	$	—	$	419	$	—
Foreign exchange(c)	272		(150)		122		(300)		122		136
Commodity(d)	(202)		289		87		—		93		—
Total	$	4,621	$	(3,937)	$	684	$	(300)	$	634	$	136

(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.

As of June 30, 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:
June 30, 2021 (in millions)				Active hedging relationships		Discontinued hedging relationships(d)(e)		Total
Assets
Investment securities - AFS	$	81,335	(c)	$	1,420	$	579	$	1,999
Liabilities
Long-term debt	$	193,441		$	434	$	8,916	$	9,350
Beneficial interests issued by consolidated VIEs	747			—		(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 VIEs	746			—		(3)		(3)

(a)Excludes physical commodities with a carrying value of $20.1 billion and $11.5 billion at June 30, 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 June 30, 2021 and December 31, 2020, the carrying amount excluded for AFS securities is $12.6 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 and six months ended June 30, 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 June 30, 2021 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	262	$	1,122	$	860
Foreign exchange(b)	78		(4)		(82)
Total	$	340	$	1,118	$	778

	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended June 30, 2020 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	127	$	412	$	285
Foreign exchange(b)	(34)		(10)		24
Total	$	93	$	402	$	309

	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Six months ended June 30, 2021 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	499	$	(1,639)	$	(2,138)
Foreign exchange(b)	105		62		(43)
Total	$	604	$	(1,577)	$	(2,181)

	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Six months ended June 30, 2020 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	118	$	3,873	$	3,755
Foreign exchange(b)	(17)		(220)		(203)
Total	$	101	$	3,653	$	3,552

(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.

The Firm did not experience any forecasted transactions that failed to occur for the three and six months ended June 30, 2021 and 2020.

Over the next 12 months, the Firm expects that approximately $885 million (after-tax) of net gains recorded in AOCI at June 30, 2021, related to cash flow hedges will be recognized in income. For cash flow hedges that have been terminated, the maximum length of time over which the derivative results recorded in AOCI will be recognized in earnings is approximately nine years, corresponding to the timing of the originally hedged forecasted cash flows. For open cash flow hedges, the maximum length of time over which forecasted transactions are hedged is approximately seven years. The Firm’s longer-dated forecasted transactions 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 pre-tax gains/(losses) recorded on such instruments for the three and six months ended June 30, 2021 and 2020.


	Gains/(losses) recorded in income and other comprehensive income/(loss)
	2021					2020
Three months ended June 30, (in millions)	Amounts recorded in income(a)(b)			Amounts recorded in OCI		Amounts recorded in income(a)(b)			Amounts recorded in OCI
Foreign exchange derivatives		$	(79)	$	(270)		$	(81)	$	(413)

	Gains/(losses) recorded in income and other comprehensive income/(loss)
	2021					2020
Six months ended June 30, (in millions)	Amounts recorded in income(a)(b)			Amounts recorded in OCI		Amounts recorded in income(a)(b)			Amounts recorded in OCI
Foreign exchange derivatives		$	(107)	$	930		$	(71)	$	1,176

(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 amount reclassified for the three and six months ended June 30, 2021 was not material. The Firm reclassified pre-tax losses of $8 million to other income related to the liquidation of certain legal entities during the three and six months ended June 30, 2020. Refer to Note 19 for further information.

Gains and losses on derivatives used for specified risk management purposes

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 June 30,				Six months ended June 30,
(in millions)	2021		2020		2021		2020
Contract type
Interest rate(a)	$	644	$	644	$	502	$	1,936
Credit(b)	(27)		(100)		(67)		(39)
Foreign exchange(c)	(30)		(28)		68		78
Total	$	587	$	516	$	503	$	1,975

(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.

Gains and losses on derivatives related to market-making activities and other derivativesThe 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 its market-making activities, including the counterparty credit risk arising from derivative receivables. All derivatives not included in the hedge accounting or specified risk management categories above are included in this category. Gains and losses on these derivatives are primarily recorded in principal transactions revenue. Refer to Note 5 for information on principal transactions revenue.

Credit derivatives

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 June 30, 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
June 30, 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	$	(495,229)		$	512,123		$	16,894	$	3,151
Other credit derivatives(a)	(44,418)			77,035			32,617		11,410
Total credit derivatives	(539,647)			589,158			49,511		14,561
Credit-related notes	—			—			—		11,703
Total	$	(539,647)		$	589,158		$	49,511	$	26,264

	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	$	(533,900)	(e)	$	552,021	(e)	$	18,121	$	2,786	(e)
Other credit derivatives(a)	(40,084)			57,344			17,260		10,630		(e)
Total credit derivatives	(573,984)			609,365			35,381		13,416
Credit-related notes	—			—			—		10,248
Total	$	(573,984)		$	609,365		$	35,381	$	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.

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

The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives as of June 30, 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 where JPMorgan Chase is the purchaser of protection are comparable to the profile reflected below.


Protection sold — credit derivatives ratings(a)/maturity profile
June 30, 2021 (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	$	(95,655)	$	(284,168)	$	(33,230)	$	(413,053)	$	3,842	$	(552)	$	3,290
Noninvestment-grade	(27,656)		(90,646)		(8,292)		(126,594)		2,930		(1,978)		952
Total	$	(123,311)	$	(374,814)	$	(41,522)	$	(539,647)	$	6,772	$	(2,530)	$	4,242


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	$	(93,529)	(c)	$	(306,830)	(c)	$	(35,326)	$	(435,685)	$	5,372	(c)	$	(834)	(c)	$	4,538
Noninvestment-grade	(31,809)			(97,337)			(9,153)		(138,299)		3,953			(2,542)			1,411
Total	$	(125,338)		$	(404,167)		$	(44,479)	$	(573,984)	$	9,325		$	(3,376)		$	5,949

(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.