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 2021 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

107-108

•Interest rate

Hedge floating-rate assets and liabilities

Cash flow hedge

Corporate

109

•Foreign exchange

Hedge foreign currency-denominated assets and liabilities

Fair value hedge

Corporate

107-108

•Foreign exchange

Hedge foreign currency-denominated forecasted revenue and expense

Cash flow hedge

Corporate

109

•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

107-108

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

110

•Credit

Manage the credit risk associated with wholesale lending exposures

Specified risk management

CIB

110

•Interest rate and foreign exchange

Manage the risk associated with certain other specified assets and liabilities

Specified risk management

Corporate

110

Market-making derivatives and other activities:

•Various

Market-making and related risk management

Market-making and other

CIB

110

•Various

Other derivatives

Market-making and other

CIB, AWM, Corporate

110

Notional amount of derivative contracts

The following table summarizes the notional amount of free-standing derivative contracts outstanding as of March 31, 2022, and December 31, 2021.


	Notional amounts(b)
(in billions)	March 31, 2022		December 31, 2021
Interest rate contracts
Swaps	$	31,216	$	24,075
Futures and forwards	3,906		2,520
Written options	3,257		3,018
Purchased options	3,398		3,188
Total interest rate contracts	41,777		32,801
Credit derivatives(a)	1,504		1,053
Foreign exchange contracts
Cross-currency swaps	4,124		4,112
Spot, futures and forwards	8,649		7,679
Written options	841		741
Purchased options	823		727
Total foreign exchange contracts	14,437		13,259
Equity contracts
Swaps	656		612
Futures and forwards	149		139
Written options	705		654
Purchased options	657		598
Total equity contracts	2,167		2,003
Commodity contracts
Swaps	221		185
Spot, futures and forwards	260		188
Written options	137		135
Purchased options	108		111
Total commodity contracts	726		619
Total derivative notional amounts	$	60,611	$	49,735

(a)Refer to the Credit derivatives discussion on page 111 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.

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 March 31, 2022, and December 31, 2021, 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
March 31, 2022 (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	$	261,796	$	13	$	261,809	$	23,318	$	236,562	$	—	$	236,562	$	11,530
Credit	12,605		—		12,605		1,375		11,851		—		11,851		799
Foreign exchange	210,358		487		210,845		19,503		207,071		1,657		208,728		15,661
Equity	72,870		—		72,870		8,642		81,027		—		81,027		15,817
Commodity	53,042		4,480		57,522		20,798		47,621		6,055		53,676		13,996
Total fair value of trading assets and liabilities	$	610,671	$	4,980	$	615,651	$	73,636	$	584,132	$	7,712	$	591,844	$	57,803

	Gross derivative receivables								Gross derivative payables
December 31, 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	$	270,562	$	23	$	270,585	$	21,974	$	240,731	$	—	$	240,731	$	8,194
Credit	9,839		—		9,839		1,031		10,912		—		10,912		880
Foreign exchange	169,186		393		169,579		12,625		174,622		1,124		175,746		14,097
Equity	68,631		—		68,631		9,981		79,727		—		79,727		17,233
Commodity	21,233		5,420		26,653		11,470		20,837		7,091		27,928		9,712
Total fair value of trading assets and liabilities	$	539,451	$	5,836	$	545,287	$	57,081	$	526,829	$	8,215	$	535,044	$	50,116

(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.

Derivatives netting

The following tables present, as of March 31, 2022, and December 31, 2021, 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.


	March 31, 2022							December 31, 2021
(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”)	$	223,414	$	(205,472)	$	17,942		$	251,953	$	(234,283)	$	17,670
OTC–cleared	32,056		(31,362)		694			14,144		(13,839)		305
Exchange-traded(a)	1,884		(1,657)		227			498		(489)		9
Total interest rate contracts	257,354		(238,491)		18,863			266,595		(248,611)		17,984
Credit contracts:
OTC	9,881		(8,732)		1,149			8,035		(7,177)		858
OTC–cleared	2,559		(2,498)		61			1,671		(1,631)		40
Total credit contracts	12,440		(11,230)		1,210			9,706		(8,808)		898
Foreign exchange contracts:
OTC	206,538		(190,877)		15,661			166,185		(156,251)		9,934
OTC–cleared	470		(463)		7			789		(703)		86
Exchange-traded(a)	13		(2)		11			6		—		6
Total foreign exchange contracts	207,021		(191,342)		15,679			166,980		(156,954)		10,026
Equity contracts:
OTC	30,059		(28,272)		1,787			25,704		(23,977)		1,727
Exchange-traded(a)	37,223		(35,956)		1,267			36,095		(34,673)		1,422
Total equity contracts	67,282		(64,228)		3,054			61,799		(58,650)		3,149
Commodity contracts:
OTC	31,841		(14,741)		17,100			15,063		(6,868)		8,195
OTC–cleared	78		(78)		—			49		(49)		—
Exchange-traded(a)	21,958		(21,905)		53			8,279		(8,266)		13
Total commodity contracts	53,877		(36,724)		17,153			23,391		(15,183)		8,208
Derivative receivables with appropriate legal opinion	597,974		(542,015)		55,959		(d)	528,471		(488,206)		40,265		(d)
Derivative receivables where an appropriate legal opinion has not been either sought or obtained	17,677				17,677			16,816				16,816
Total derivative receivables recognized on the Consolidated balance sheets	$	615,651			$	73,636		$	545,287			$	57,081
Collateral not nettable on the Consolidated balance sheets(b)(c)					(15,166)							(10,102)
Net amounts					$	58,470						$	46,979


	March 31, 2022							December 31, 2021
(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	$	199,222	$	(190,721)	$	8,501		$	223,576	$	(216,757)	$	6,819
OTC–cleared	34,473		(33,526)		947			15,695		(15,492)		203
Exchange-traded(a)	803		(785)		18			292		(288)		4
Total interest rate contracts	234,498		(225,032)		9,466			239,563		(232,537)		7,026
Credit contracts:
OTC	9,179		(8,741)		438			9,021		(8,421)		600
OTC–cleared	2,375		(2,311)		64			1,679		(1,611)		68
Total credit contracts	11,554		(11,052)		502			10,700		(10,032)		668
Foreign exchange contracts:
OTC	204,394		(192,598)		11,796			171,610		(160,946)		10,664
OTC–cleared	480		(468)		12			706		(703)		3
Exchange-traded(a)	13		(1)		12			7		—		7
Total foreign exchange contracts	204,887		(193,067)		11,820			172,323		(161,649)		10,674
Equity contracts:
OTC	33,490		(29,263)		4,227			31,379		(27,830)		3,549
Exchange-traded(a)	40,460		(35,947)		4,513			40,621		(34,664)		5,957
Total equity contracts	73,950		(65,210)		8,740			72,000		(62,494)		9,506
Commodity contracts:
OTC	24,898		(16,804)		8,094			14,874		(9,667)		5,207
OTC–cleared	89		(89)		—			73		(73)		—
Exchange-traded(a)	24,598		(22,787)		1,811			8,954		(8,476)		478
Total commodity contracts	49,585		(39,680)		9,905			23,901		(18,216)		5,685
Derivative payables with appropriate legal opinion	574,474		(534,041)		40,433		(d)	518,487		(484,928)		33,559		(d)
Derivative payables where an appropriate legal opinion has not been either sought or obtained	17,370				17,370			16,557				16,557
Total derivative payables recognized on the Consolidated balance sheets	$	591,844			$	57,803		$	535,044			$	50,116
Collateral not nettable on the Consolidated balance sheets(b)(c)					(4,627)							(5,872)
Net amounts					$	53,176						$	44,244

(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 $68.5 billion and $67.6 billion at March 31, 2022, and December 31, 2021, respectively. Net derivatives payable included cash collateral netted of $60.6 billion and $64.3 billion at March 31, 2022, and December 31, 2021, respectively. Derivative cash collateral relates to OTC and OTC-cleared derivative instruments.

Liquidity risk and credit-related contingent features

Refer to Note 5 of JPMorgan Chase’s 2021 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 March 31, 2022, and December 31, 2021.


OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)	March 31, 2022			December 31, 2021
Aggregate fair value of net derivative payables		$	19,101		$	20,114
Collateral posted		18,539			19,402

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, 2022, and December 31, 2021, 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, 2022				December 31, 2021
(in millions)	Single-notch downgrade		Two-notch downgrade		Single-notch downgrade		Two-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)	$	252	$	1,645	$	219	$	1,577
Amount required to settle contracts with termination triggers upon downgrade(b)	91		567		98		787

(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.

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 March 31, 2022 and December 31, 2021.

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 months ended March 31, 2022 and 2021, 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(f)				OCI impact
Three months ended March 31, 2022 (in millions)	Derivatives		Hedged items		Income statement impact		Amortization approach		Changes in fair value		Derivatives - Gains/(losses) recorded in OCI(g)
Contract type
Interest rate(a)(b)	$	(7,070)	$	6,981	$	(89)	$	—	$	(66)	$	—
Foreign exchange(c)	(690)		688		(2)		(65)		(2)		145
Commodity(d)	(176)		147		(29)				(37)		—
Total	$	(7,936)	$	7,816	$	(120)	$	(65)	$	(105)	$	145


	Gains/(losses) recorded in income								Income statement impact of excluded components(f)				OCI impact
Three months ended March 31, 2021 (in millions)	Derivatives			Hedged items			Income statement impact		Amortization approach		Changes in fair value		Derivatives - Gains/(losses) recorded in OCI(g)
Contract type
Interest rate(a)(b)	$	(5,121)		$	4,837		$	(284)	$	—	$	(173)	$	—
Foreign exchange(c)	(782)		(e)	800		(e)	18		(78)		18		(37)
Commodity(d)	(1,261)			1,288			27		—		12		—
Total	$	(7,164)		$	6,925		$	(239)	$	(78)	$	(143)	$	(37)

(a)Primarily consists of hedges of the benchmark (e.g., London Interbank Offered Rate ("LIBOR"), Secured Overnight Financing Rate (“SOFR”)) interest rate risk of fixed-rate long-term debt and AFS securities. Gains and losses were recorded in net interest income.

(b)Effective January 1, 2022, the Firm updated its presentation in the table above to include the amortization of income/expense associated with the inception hedge accounting adjustment applied to the hedged item; prior-period amounts have been revised to conform with the current presentation. 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)Prior-period amounts have been revised to conform with the current presentation.

(f)The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward points on foreign exchange forward contracts, 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.

(g)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 March 31, 2022 and December 31, 2021, 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, 2022 (in millions)				Active hedging relationships(d)		Discontinued hedging relationships(d)(e)		Total
Assets
Investment securities - AFS	$	62,197	(c)	$	(2,239)	$	636	$	(1,603)
Liabilities
Long-term debt	$	191,109		$	(11,782)	$	8,706	$	(3,076)
Beneficial interests issued by consolidated VIEs	749			—		(1)		(1)

	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, 2021 (in millions)				Active hedging relationships(d)		Discontinued hedging relationships(d)(e)		Total
Assets
Investment securities - AFS	$	65,746	(c)	$	417	$	661	$	1,078
Liabilities
Long-term debt	$	195,642		$	(1,999)	$	8,834	$	6,835
Beneficial interests issued by consolidated VIEs	749			—		(1)		(1)

(a)Excludes physical commodities with a carrying value of $24.9 billion and $25.7 billion at March 31, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, the carrying amount excluded for AFS securities is $14.6 billion and $14.0 billion, respectively, and for long-term debt is $1.4 billion and $10.8 billion, respectively.

(c)Carrying amount represents the amortized cost, net of allowance if applicable. Refer to Note 9 for additional information.

(d)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.

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

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, 2022 and 2021, 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, 2022 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	243	$	(3,361)	$	(3,604)
Foreign exchange(b)	(6)		(75)		(69)
Total	$	237	$	(3,436)	$	(3,673)

	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)

(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 months ended March 31, 2022 and 2021.

Over the next 12 months, the Firm expects that approximately $139 million (after-tax) of net gains recorded in AOCI at March 31, 2022, 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 eight 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 six 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 months ended March 31, 2022 and 2021.


	Gains/(losses) recorded in income and other comprehensive income/(loss)
	2022					2021
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		$	(131)	$	338		$	(28)	$	1,200

(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.

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 March 31,
(in millions)	2022		2021
Contract type
Interest rate(a)	$	(229)	$	(142)
Credit(b)	33		(40)
Foreign exchange(c)	(82)		98
Total	$	(278)	$	(84)

(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 2021 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, 2022 and December 31, 2021. 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, 2022 (in millions)	Protection sold		Protection purchased with identical underlyings(c)			Net protection (sold)/purchased(d)		Other protection purchased(e)
Credit derivatives
Credit default swaps	$	(640,702)		$	650,858	$	10,156	$	1,710
Other credit derivatives(a)	(91,293)			104,184		12,891		14,885
Total credit derivatives	(731,995)			755,042		23,047		16,595
Credit-related notes(b)	—			—		—		8,844
Total	$	(731,995)		$	755,042	$	23,047	$	25,439

	Maximum payout/Notional amount
December 31, 2021 (in millions)	Protection sold		Protection purchased with identical underlyings(c)			Net protection (sold)/purchased(d)		Other protection purchased(e)
Credit derivatives
Credit default swaps	$	(443,481)		$	458,180	$	14,699	$	2,269
Other credit derivatives(a)	(56,130)			79,586		23,456		13,435
Total credit derivatives	(499,611)			537,766		38,155		15,704
Credit-related notes(b)	—			—		—		9,437
Total	$	(499,611)		$	537,766	$	38,155	$	25,141

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

(b)Represents Other protection purchased by CIB, primarily in its market-making businesses.

(c)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.

(d)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.

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

The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives as of March 31, 2022, and December 31, 2021, 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
March 31, 2022 (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	$	(127,594)	$	(321,381)	$	(97,701)	$	(546,676)	$	3,464	$	(871)	$	2,593
Noninvestment-grade	(32,074)		(116,254)		(36,991)		(185,319)		2,860		(3,337)		(477)
Total	$	(159,668)	$	(437,635)	$	(134,692)	$	(731,995)	$	6,324	$	(4,208)	$	2,116


December 31, 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	$	(91,155)	$	(255,106)	$	(29,035)	$	(375,296)	$	3,645	$	(623)	$	3,022
Noninvestment-grade	(32,175)		(84,851)		(7,289)		(124,315)		2,630		(2,003)		627
Total	$	(123,330)	$	(339,957)	$	(36,324)	$	(499,611)	$	6,275	$	(2,626)	$	3,649

(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.