Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 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 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	122-123
•Interest rate	Hedge floating-rate assets and liabilities	Cash flow hedge	Corporate	124
•Foreign exchange	Hedge foreign currency-denominated assets and liabilities	Fair value hedge	Corporate	122-123
•Foreign exchange	Hedge foreign currency-denominated forecasted revenue and expense	Cash flow hedge	Corporate	124
•Foreign exchange	Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities	Net investment hedge	Corporate	125
•Commodity	Hedge commodity inventory	Fair value hedge	CIB, AWM	122-123
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	125
•Credit	Manage the credit risk associated with wholesale lending exposures	Specified risk management	CIB	125
•Interest rate and foreign exchange	Manage the risk associated with certain other specified assets and liabilities	Specified risk management	Corporate	125
Market-making derivatives and other activities:
•Various	Market-making and related risk management	Market-making and other	CIB	125
•Various	Other derivatives	Market-making and other	CIB, AWM, Corporate	125

Notional amount of derivative contracts

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

	Notional amounts(b)
(in billions)	September 30, 2021		December 31, 2020
Interest rate contracts
Swaps	$	24,116	$	20,990	(c)
Futures and forwards	3,824		3,057
Written options	3,211		3,375
Purchased options	3,523		3,675
Total interest rate contracts	34,674		31,097
Credit derivatives(a)	1,340		1,197		(c)
Foreign exchange contracts
Cross-currency swaps	4,081		3,924
Spot, futures and forwards	8,268		6,871
Written options	803		830
Purchased options	791		825
Total foreign exchange contracts	13,943		12,450
Equity contracts
Swaps	628		448
Futures and forwards	145		140
Written options	750		668		(c)
Purchased options	704		610		(c)
Total equity contracts	2,227		1,866
Commodity contracts
Swaps	185		138
Spot, futures and forwards	195		198
Written options	149		124
Purchased options	122		105
Total commodity contracts	651		565
Total derivative notional amounts	$	52,835	$	47,175

(a)Refer to the Credit derivatives discussion on page 126 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.

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 September 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
September 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	$	284,351		$	758	$	285,109	$	24,766		$	252,292		$	—	$	252,292	$	8,832
Credit	10,524			—		10,524		1,175			11,799			—		11,799		1,393
Foreign exchange	162,107			1,089		163,196		14,525			161,159			936		162,095		14,005
Equity	74,422			—		74,422		10,492			86,837			—		86,837		17,774
Commodity	32,269			4,046		36,315		16,950			28,906			5,537		34,443		11,481
Total fair value of trading assets and liabilities	$	563,673		$	5,893	$	569,566	$	67,908		$	540,993		$	6,473	$	547,466	$	53,485
	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	70,612		(c)	—		70,612		16,487		(c)	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	$	700,712		$	2,656	$	703,368	$	75,444		$	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.

Offsetting assets

The following tables present, as of September 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.

	September 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”)	$	262,855	$	(243,110)	$	19,745		$	367,214	(e)	$	(337,609)	(e)	$	29,605
OTC–cleared	17,441		(16,953)		488			18,340			(17,919)			421
Exchange-traded(a)	290		(280)		10			554			(395)			159
Total interest rate contracts	280,586		(260,343)		20,243			386,108			(355,923)			30,185
Credit contracts:
OTC	7,735		(6,953)		782			8,894		(e)	(8,356)		(e)	538
OTC–cleared	2,492		(2,396)		96			4,326			(4,309)			17
Total credit contracts	10,227		(9,349)		878			13,220			(12,665)			555
Foreign exchange contracts:
OTC	159,235		(148,098)		11,137			201,349			(189,655)			11,694
OTC–cleared	640		(572)		68			834			(819)			15
Exchange-traded(a)	10		(1)		9			35			(5)			30
Total foreign exchange contracts	159,885		(148,671)		11,214			202,218			(190,479)			11,739
Equity contracts:
OTC	27,692		(25,632)		2,060			29,844		(e)	(27,374)			2,470
Exchange-traded(a)	39,348		(38,298)		1,050			28,294			(26,751)			1,543
Total equity contracts	67,040		(63,930)		3,110			58,138			(54,125)			4,013
Commodity contracts:
OTC	21,467		(8,256)		13,211			10,924			(7,901)			3,023
OTC–cleared	72		(72)		—			20			(20)			—
Exchange-traded(a)	11,482		(11,037)		445			6,833			(6,811)			22
Total commodity contracts	33,021		(19,365)		13,656			17,777			(14,732)			3,045
Derivative receivables with appropriate legal opinion	550,759		(501,658)		49,101		(d)	677,461			(627,924)			49,537		(d)
Derivative receivables where an appropriate legal opinion has not been either sought or obtained	18,807				18,807			25,907						25,907
Total derivative receivables recognized on the Consolidated balance sheets	$	569,566			$	67,908		$	703,368					$	75,444
Collateral not nettable on the Consolidated balance sheets(b)(c)					(11,001)									(14,806)
Net amounts					$	56,907								$	60,638

Offsetting liabilities

	September 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	$	232,047	$	(224,749)	$	7,298		$	332,214	(e)	$	(321,140)	(e)	$	11,074
OTC–cleared	18,841		(18,532)		309			19,710			(19,494)			216
Exchange-traded(a)	184		(179)		5			358			(341)			17
Total interest rate contracts	251,072		(243,460)		7,612			352,282			(340,975)			11,307
Credit contracts:
OTC	8,775		(8,060)		715			10,311		(e)	(8,781)		(e)	1,530
OTC–cleared	2,433		(2,346)		87			4,075			(4,056)			19
Total credit contracts	11,208		(10,406)		802			14,386			(12,837)			1,549
Foreign exchange contracts:
OTC	157,829		(147,518)		10,311			210,803			(193,672)			17,131
OTC–cleared	579		(572)		7			836			(819)			17
Exchange-traded(a)	12		—		12			34			(2)			32
Total foreign exchange contracts	158,420		(148,090)		10,330			211,673			(194,493)			17,180
Equity contracts:
OTC	34,759		(30,733)		4,026			35,330			(28,763)			6,567
Exchange-traded(a)	43,462		(38,330)		5,132			34,491			(26,752)			7,739
Total equity contracts	78,221		(69,063)		9,158			69,821			(55,515)			14,306
Commodity contracts:
OTC	18,060		(11,770)		6,290			10,365			(7,544)			2,821
OTC–cleared	85		(85)		—			32			(32)			—
Exchange-traded(a)	12,241		(11,107)		1,134			7,391			(6,868)			523
Total commodity contracts	30,386		(22,962)		7,424			17,788			(14,444)			3,344
Derivative payables with appropriate legal opinion	529,307		(493,981)		35,326		(d)	665,950			(618,264)			47,686		(d)
Derivative payables where an appropriate legal opinion has not been either sought or obtained	18,159				18,159			22,937						22,937
Total derivative payables recognized on the Consolidated balance sheets	$	547,466			$	53,485		$	688,887					$	70,623
Collateral not nettable on the Consolidated balance sheets(b)(c)					(7,091)									(11,964)
Net amounts					$	46,394								$	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 $68.8 billion and $88.0 billion at September 30, 2021, and December 31, 2020, respectively. Net derivatives payable included cash collateral netted of $61.2 billion and $78.4 billion at September 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.

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 September 30, 2021, and December 31, 2020.

OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)	September 30, 2021			December 31, 2020
Aggregate fair value of net derivative payables		$	19,541		$	26,945	(a)
Collateral posted		17,160			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 September 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
	September 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)	$	230	$	1,572	$	119	$	1,243
Amount required to settle contracts with termination triggers upon downgrade(b)	109		685		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 and nine months ended September 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 September 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)	$	(812)	$	1,401	$	589	$	—	$	592	$	—
Foreign exchange(c)	(363)		367		4		(71)		3		12
Commodity(d)	(732)		754		22		—		14		—
Total	$	(1,907)	$	2,522	$	615	$	(71)	$	609	$	12

	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Three months ended September 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)	$	743	$	279	$	—	$	309	$	—
Foreign exchange(c)	307		(280)		27		(79)		27		(91)
Commodity(d)	(569)		593		24		—		14		—
Total	$	(726)	$	1,056	$	330	$	(79)	$	350	$	(91)

	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Nine months ended September 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)	$	(3,749)	$	5,217	$	1,468	$	—	$	1,572	$	—
Foreign exchange(c)	(862)		893		31		(221)		30		(56)
Commodity(d)	(5,119)		5,197		78		—		46		—
Total	$	(9,730)	$	11,307	$	1,577	$	(221)	$	1,648	$	(56)

	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Nine months ended September 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)	$	4,087	$	(3,333)	$	754	$	—	$	728	$	—
Foreign exchange(c)	579		(430)		149		(379)		149		45
Commodity(d)	(771)		882		111		—		107		—
Total	$	3,895	$	(2,881)	$	1,014	$	(379)	$	984	$	45

(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 September 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:
September 30, 2021 (in millions)				Active hedging relationships		Discontinued hedging relationships(d)(e)		Total
Assets
Investment securities - AFS	$	71,464	(c)	$	906	$	558	$	1,464
Liabilities
Long-term debt	$	191,783		$	(1,121)	$	9,042	$	7,921
Beneficial interests issued by consolidated VIEs	748			—		(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 $19.3 billion and $11.5 billion at September 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 September 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 $11.8 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 nine months ended September 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 September 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)	$	272	$	(232)	$	(504)
Foreign exchange(b)	54		(35)		(89)
Total	$	326	$	(267)	$	(593)
	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended September 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)	$	214	$	8	$	(206)
Foreign exchange(b)	13		126		113
Total	$	227	$	134	$	(93)
	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Nine months ended September 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)	$	771	$	(1,871)	$	(2,642)
Foreign exchange(b)	159		27		(132)
Total	$	930	$	(1,844)	$	(2,774)
	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Nine months ended September 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)	$	332	$	3,881	$	3,549
Foreign exchange(b)	(4)		(94)		(90)
Total	$	328	$	3,787	$	3,459

(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 and nine months ended September 30, 2021 and 2020.

	Gains/(losses) recorded in income and other comprehensive income/(loss)
	2021					2020
Three months ended September 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		$	(73)	$	1,028		$	(37)	$	(868)
	Gains/(losses) recorded in income and other comprehensive income/(loss)
	2021					2020
Nine months ended September 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		$	(180)	$	1,958		$	(108)	$	308

(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 nine months ended September 30, 2021 was not material. During the nine months ended September 30, 2020, the Firm reclassified pre-tax losses of $8 million to other income related to the liquidation of certain legal entities and the amount was not material for the three months ended September 30, 2020. Refer to Note 19 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
	Three months ended September 30,				Nine months ended September 30,
(in millions)	2021		2020		2021		2020
Contract type
Interest rate(a)	$	320	$	597	$	822	$	2,533
Credit(b)	(14)		(19)		(81)		(58)
Foreign exchange(c)	14		18		82		96
Total	$	320	$	596	$	823	$	2,571

(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 September 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
September 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	$	(577,311)		$	599,454		$	22,143	$	3,198
Other credit derivatives(a)	(61,083)			82,067			20,984		16,431
Total credit derivatives	(638,394)			681,521			43,127		19,629
Credit-related notes	—			—			—		12,745
Total	$	(638,394)		$	681,521		$	43,127	$	32,374
	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.

Protection sold - credit derivatives ratings/maturity profile

The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives as of September 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
September 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	$	(116,560)	$	(291,195)	$	(78,593)	$	(486,348)	$	3,996	$	(597)	$	3,399
Noninvestment-grade	(31,180)		(96,565)		(24,301)		(152,046)		3,110		(1,886)		1,224
Total	$	(147,740)	$	(387,760)	$	(102,894)	$	(638,394)	$	7,106	$	(2,483)	$	4,623

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.