Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of uses and disclosure of derivatives

The following table outlines the Firm’s primary uses of derivatives and the related hedge accounting designation or disclosure category.

Type of Derivative	Use of Derivative	Designation and disclosure	Affected segment or unit	Page reference
Manage specifically identified risk exposures in qualifying hedge accounting relationships:
•Interest rate	Hedge fixed rate assets and liabilities	Fair value hedge	Corporate	202-203
•Interest rate	Hedge floating-rate assets and liabilities	Cash flow hedge	Corporate	204
•Foreign exchange	Hedge foreign currency-denominated assets and liabilities	Fair value hedge	Corporate	202-203
•Foreign exchange	Hedge foreign currency-denominated forecasted revenue and expense	Cash flow hedge	Corporate	204
•Foreign exchange	Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities	Net investment hedge	Corporate	204
•Commodity	Hedge commodity inventory	Fair value hedge	CIB, AWM	202-203
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	205
•Credit	Manage the credit risk associated with wholesale lending exposures	Specified risk management	CIB	205
•Interest rate and foreign exchange	Manage the risk associated with certain other specified assets and liabilities	Specified risk management	Corporate	205
Market-making derivatives and other activities:
•Various	Market-making and related risk management	Market-making and other	CIB	205
•Various	Other derivatives	Market-making and other	CIB, AWM, Corporate	205

Notional amount of derivative contracts

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

	Notional amounts(b)
December 31, (in billions)	2022		2021
Interest rate contracts
Swaps	$	24,491	$	24,075
Futures and forwards	2,636		2,520
Written options	3,047		3,018
Purchased options	2,992		3,188
Total interest rate contracts	33,166		32,801
Credit derivatives(a)	1,132		1,053
Foreign exchange contracts
Cross-currency swaps	4,196		4,112
Spot, futures and forwards	7,017		7,679
Written options	775		741
Purchased options	759		727
Total foreign exchange contracts	12,747		13,259
Equity contracts
Swaps	618		612
Futures and forwards	110		139
Written options	636		654
Purchased options	580		598
Total equity contracts	1,944		2,003
Commodity contracts
Swaps	136		185
Spot, futures and forwards	136		188
Written options	117		135
Purchased options	98		111
Total commodity contracts	487		619
Total derivative notional amounts	$	49,476	$	49,735

(a)Refer to the Credit derivatives discussion on pages 205-207 for more information on volumes and types of credit derivative contracts.

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

Impact of derivatives on the Consolidated Balance Sheets

The following table summarizes information on derivative receivables and payables (before and after netting adjustments) that are reflected on the Firm’s Consolidated balance sheets as of December 31, 2022 and 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
December 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	$	300,411	$	4	$	300,415	$	28,419	$	290,291	$	—	$	290,291	$	15,970
Credit	10,329		—		10,329		1,090		9,971		—		9,971		754
Foreign exchange	239,946		1,633		241,579		23,365		248,911		2,610		251,521		18,856
Equity	61,913		—		61,913		9,139		62,461		—		62,461		8,804
Commodity	23,652		1,705		25,357		8,867		20,758		2,511		23,269		6,757
Total fair value of trading assets and liabilities	$	636,251	$	3,342	$	639,593	$	70,880	$	632,392	$	5,121	$	637,513	$	51,141
	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.

Offsetting assets

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

	2022							2021
December 31, (in millions)	Gross derivative receivables		Amounts netted on the Consolidated balance sheets		Net derivative receivables			Gross derivative receivables		Amounts netted on the Consolidated balance sheets		Net derivative receivables
U.S. GAAP nettable derivative receivables
Interest rate contracts:
OTC	$	203,922	$	(178,261)	$	25,661		$	251,953	$	(234,283)	$	17,670
OTC–cleared	93,800		(93,424)		376			14,144		(13,839)		305
Exchange-traded(a)	559		(311)		248			498		(489)		9
Total interest rate contracts	298,281		(271,996)		26,285			266,595		(248,611)		17,984
Credit contracts:
OTC	8,474		(7,535)		939			8,035		(7,177)		858
OTC–cleared	1,746		(1,704)		42			1,671		(1,631)		40
Total credit contracts	10,220		(9,239)		981			9,706		(8,808)		898
Foreign exchange contracts:
OTC	237,941		(216,796)		21,145			166,185		(156,251)		9,934
OTC–cleared	1,461		(1,417)		44			789		(703)		86
Exchange-traded(a)	15		(1)		14			6		—		6
Total foreign exchange contracts	239,417		(218,214)		21,203			166,980		(156,954)		10,026
Equity contracts:
OTC	30,323		(25,665)		4,658			25,704		(23,977)		1,727
Exchange-traded(a)	28,467		(27,109)		1,358			36,095		(34,673)		1,422
Total equity contracts	58,790		(52,774)		6,016			61,799		(58,650)		3,149
Commodity contracts:
OTC	14,430		(7,633)		6,797			15,063		(6,868)		8,195
OTC–cleared	120		(112)		8			49		(49)		—
Exchange-traded(a)	9,103		(8,745)		358			8,279		(8,266)		13
Total commodity contracts	23,653		(16,490)		7,163			23,391		(15,183)		8,208
Derivative receivables with appropriate legal opinion	630,361		(568,713)		61,648		(d)	528,471		(488,206)		40,265		(d)
Derivative receivables where an appropriate legal opinion has not been either sought or obtained	9,232				9,232			16,816				16,816
Total derivative receivables recognized on the Consolidated balance sheets	$	639,593			$	70,880		$	545,287			$	57,081
Collateral not nettable on the Consolidated balance sheets(b)(c)					(23,014)							(10,102)
Net amounts					$	47,866						$	46,979

Offsetting liabilities

	2022							2021
December 31, (in millions)	Gross derivative payables		Amounts netted on the Consolidated balance sheets		Net derivative payables			Gross derivative payables		Amounts netted on the Consolidated balance sheets		Net derivative payables
U.S. GAAP nettable derivative payables
Interest rate contracts:
OTC	$	190,108	$	(176,890)	$	13,218		$	223,576	$	(216,757)	$	6,819
OTC–cleared	97,417		(97,126)		291			15,695		(15,492)		203
Exchange-traded(a)	327		(305)		22			292		(288)		4
Total interest rate contracts	287,852		(274,321)		13,531			239,563		(232,537)		7,026
Credit contracts:
OTC	8,054		(7,572)		482			9,021		(8,421)		600
OTC–cleared	1,674		(1,645)		29			1,679		(1,611)		68
Total credit contracts	9,728		(9,217)		511			10,700		(10,032)		668
Foreign exchange contracts:
OTC	246,457		(231,248)		15,209			171,610		(160,946)		10,664
OTC–cleared	1,488		(1,417)		71			706		(703)		3
Exchange-traded(a)	20		—		20			7		—		7
Total foreign exchange contracts	247,965		(232,665)		15,300			172,323		(161,649)		10,674
Equity contracts:
OTC	29,833		(26,554)		3,279			31,379		(27,830)		3,549
Exchange-traded(a)	28,291		(27,103)		1,188			40,621		(34,664)		5,957
Total equity contracts	58,124		(53,657)		4,467			72,000		(62,494)		9,506
Commodity contracts:
OTC	11,954		(7,642)		4,312			14,874		(9,667)		5,207
OTC–cleared	112		(112)		—			73		(73)		—
Exchange-traded(a)	9,021		(8,758)		263			8,954		(8,476)		478
Total commodity contracts	21,087		(16,512)		4,575			23,901		(18,216)		5,685
Derivative payables with appropriate legal opinion	624,756		(586,372)		38,384		(d)	518,487		(484,928)		33,559		(d)
Derivative payables where an appropriate legal opinion has not been either sought or obtained	12,757				12,757			16,557				16,557
Total derivative payables recognized on the Consolidated balance sheets	$	637,513			$	51,141		$	535,044			$	50,116
Collateral not nettable on the Consolidated balance sheets(b)(c)					(3,318)							(5,872)
Net amounts					$	47,823						$	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 $51.5 billion and $67.6 billion at December 31, 2022 and 2021, respectively. Net derivatives payable included cash collateral netted of $69.2 billion and $64.3 billion at December 31, 2022 and 2021, respectively. Derivative cash collateral relates to OTC and OTC-cleared derivative instruments.

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

The following table shows the aggregate fair value of net derivative payables related to OTC and OTC-cleared derivatives that contain contingent collateral or termination features that may be triggered upon a ratings downgrade, and the associated collateral the Firm has posted in the normal course of business, at December 31, 2022 and 2021.

OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)	December 31, 2022			December 31, 2021
Aggregate fair value of net derivative payables		$	16,023		$	20,114
Collateral posted		15,505			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 December 31, 2022 and 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 rating threshold 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 payment 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
	December 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)	$	128	$	1,293	$	219	$	1,577
Amount required to settle contracts with termination triggers upon downgrade(b)	88		925		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.

Fair value hedge gains and losses

The following tables present derivative instruments, by contract type, used in fair value hedge accounting relationships, as well as pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the years ended December 31, 2022, 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
Year ended December 31, 2022 (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)	$	(14,352)	$	14,047	$	(305)	$	—	$	(262)	$	—
Foreign exchange(c)	(1,317)		1,423		106		(528)		106		130
Commodity(d)	106		(70)		36		—		48		—
Total	$	(15,563)	$	15,400	$	(163)	$	(528)	$	(108)	$	130
	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Year ended December 31, 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)	$	(4,323)	$	3,765	$	(558)	$	—	$	(439)	$	—
Foreign exchange(c)	(1,317)		1,349		32		(286)		32		(26)
Commodity(d)	(9,609)		9,710		101		—		72		—
Total	$	(15,249)	$	14,824	$	(425)	$	(286)	$	(335)	$	(26)
	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Year ended December 31, 2020 (in millions)	Derivatives		Hedged items		Income statement impact		Amortization approach		Changes in fair value		Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)	$	2,962	$	(3,684)	$	(722)	$	—	$	(733)	$	—
Foreign exchange(c)	793		(619)		174		(457)		174		25
Commodity(d)	(2,507)		2,650		143		—		137		—
Total	$	1,248	$	(1,653)	$	(405)	$	(457)	$	(422)	$	25

(a)Primarily consists of hedges of the benchmark (e.g., Secured Overnight Financing Rate (“SOFR”), 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)Effective January 1, 2022, the Firm updated its presentation in the tables 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)The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward points on foreign exchange forward contracts, time values and cross-currency basis spreads. Excluded components may impact earnings either through amortization of the initial amount over the life of the derivative or through fair value changes recognized in the current period.

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

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

As of December 31, 2022 and 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:
December 31, 2022 (in millions)				Active hedging relationships(d)		Discontinued hedging relationships(d)(e)		Total
Assets
Investment securities - AFS	$	84,073	(c)	$	(4,149)	$	(1,542)	$	(5,691)
Liabilities
Long-term debt	$	175,257		$	(11,879)	$	(3,313)	$	(15,192)
Beneficial interests issued by consolidated VIEs	—			—		—		—
	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 $26.0 billion and $25.7 billion at December 31, 2022 and 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 December 31, 2022 and 2021, the carrying amount excluded for AFS securities is $20.3 billion and $14.0 billion, respectively, and for long-term debt is $221 million and $9.7 billion, respectively. Prior-period amount has been revised to conform with the current presentation.

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

(d)Positive (negative) amounts related to assets represent cumulative fair value hedge basis adjustments that will reduce (increase) 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 years ended December 31, 2022, 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)
Year ended December 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)		$	(153)		$	(7,131)		$	(6,978)
Foreign exchange(b)		(267)			(342)			(75)
Total		$	(420)		$	(7,473)		$	(7,053)

	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Year ended December 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)		$	1,032		$	(2,370)		$	(3,402)
Foreign exchange(b)		190			67			(123)
Total		$	1,222		$	(2,303)		$	(3,525)
	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Year ended December 31, 2020 (in millions)	Amounts reclassified from AOCI to income			Amounts recorded in OCI			Total change in OCI for period
Contract type
Interest rate(a)		$	570		$	3,582		$	3,012
Foreign exchange(b)		—			41			41
Total		$	570		$	3,623		$	3,053

(a)Primarily consists of hedges of SOFR-indexed and LIBOR-indexed floating-rate assets. Gains and losses were recorded in net interest income.

(b)Primarily consists of hedges of the foreign currency risk of non-U.S. dollar-denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily noninterest revenue and compensation expense.

Net investment hedge gains and losses

The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pre-tax gains/(losses) recorded on such instruments for the years ended December 31, 2022, 2021 and 2020.

	2022		2021		2020
Year ended December 31, (in millions)	Amounts recorded in income(a)(b)	Amounts recorded in OCI	Amounts recorded in income(a)(b)	Amounts recorded in OCI	Amounts recorded in income(a)(b)	Amounts recorded in OCI
Foreign exchange derivatives	$(123)	$3,591	$(228)	$2,452	$(122)	$(1,408)

(a)Certain components of hedging derivatives are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on foreign exchange forward contracts. The Firm elects to record changes in fair value of these amounts directly in other income.

(b)Excludes amounts reclassified from AOCI to income on the sale or liquidation of hedged entities. The Firm reclassified net pre-tax gains of $38 million and $3 million to other income/expense related to the liquidation of certain legal entities during the years ended December 31, 2022 and 2020, respectively. The amount reclassified for the year ended December 31, 2021 was not material. Refer to Note 24 for further information.

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

The following table presents pre-tax gains/(losses) recorded on a limited number of derivatives, not designated in hedge accounting relationships, that are used to manage risks associated with certain specified assets and liabilities, including certain risks arising from mortgage commitments, warehouse loans, MSRs, wholesale lending exposures, and foreign currency denominated assets and liabilities.

	Derivatives gains/(losses) recorded in income
Year ended December 31, (in millions)	2022		2021		2020
Contract type
Interest rate(a)	$	(827)	$	1,078	$	2,994
Credit(b)	51		(94)		(176)
Foreign exchange(c)	(48)		94		43
Total	$	(824)	$	1,078	$	2,861

(a)Primarily represents interest rate derivatives used to hedge the interest rate risk inherent in mortgage commitments, warehouse loans and MSRs, as well as written commitments to originate warehouse loans. Gains and losses were recorded predominantly in mortgage fees and related income.

(b)Relates to credit derivatives used to mitigate credit risk associated with lending exposures in the Firm’s wholesale businesses. These derivatives do not include credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, which is included in gains and losses on derivatives related to market-making activities and other derivatives. Gains and losses were recorded in principal transactions revenue.

(c)Primarily relates to derivatives used to mitigate foreign exchange risk of specified foreign currency-denominated assets and liabilities. Gains and losses were recorded in principal transactions revenue.

Credit derivatives and credit-related notes

Total credit derivatives and credit-related notes
	Maximum payout/Notional amount
	Protection sold		Protection purchased with identical underlyings(c)			Net protection (sold)/purchased(d)		Other protection purchased(e)
December 31, 2022 (in millions)
Credit derivatives
Credit default swaps	$	(495,557)		$	509,846	$	14,289	$	2,917
Other credit derivatives(a)	(47,165)			65,029		17,864		11,746
Total credit derivatives	(542,722)			574,875		32,153		14,663
Credit-related notes(b)	—			—		—		7,863
Total	$	(542,722)		$	574,875	$	32,153	$	22,526
	Maximum payout/Notional amount
	Protection sold		Protection purchased with identical underlyings(c)			Net protection (sold)/purchased(d)		Other protection purchased(e)
December 31, 2021 (in millions)
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.

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

The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives as of December 31, 2022 and 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
December 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	$	(90,484)	$	(294,791)	$	(30,822)	$	(416,097)	$	2,324	$	(1,495)	$	829
Noninvestment-grade	(33,244)		(87,011)		(6,370)		(126,625)		1,267		(3,209)		(1,942)
Total	$	(123,728)	$	(381,802)	$	(37,192)	$	(542,722)	$	3,591	$	(4,704)	$	(1,113)

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.