Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2023

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	130-131
•Interest rate	Hedge floating-rate assets and liabilities	Cash flow hedge	Corporate	132
•Foreign exchange	Hedge foreign currency-denominated assets and liabilities	Fair value hedge	Corporate	130-131
•Foreign exchange	Hedge foreign currency-denominated forecasted revenue and expense	Cash flow hedge	Corporate	132
•Foreign exchange	Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities	Net investment hedge	Corporate	133
•Commodity	Hedge commodity inventory	Fair value hedge	CIB, AWM	130-131
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	134
•Credit	Manage the credit risk associated with wholesale lending exposures	Specified risk management	CIB	134
•Interest rate and foreign exchange	Manage the risk associated with certain other specified assets and liabilities	Specified risk management	Corporate	134
Market-making derivatives and other activities:
•Various	Market-making and related risk management	Market-making and other	CIB	134
•Various	Other derivatives	Market-making and other	CIB, AWM, Corporate	134

Notional amount of derivative contracts

The following table summarizes the notional amount of free-standing derivative contracts outstanding as of September 30, 2023 and December 31, 2022.

	Notional amounts(b)
(in billions)	September 30, 2023		December 31, 2022
Interest rate contracts
Swaps	$	26,430	$	24,491
Futures and forwards	2,934		2,636
Written options	3,324		3,047
Purchased options	3,349		2,992
Total interest rate contracts	36,037		33,166
Credit derivatives(a)	1,275		1,132
Foreign exchange contracts
Cross-currency swaps	4,417		4,196
Spot, futures and forwards	8,669		7,017
Written options	851		775
Purchased options	819		759
Total foreign exchange contracts	14,756		12,747
Equity contracts
Swaps	667		618
Futures and forwards	90		110
Written options	796		636
Purchased options	734		580
Total equity contracts	2,287		1,944
Commodity contracts
Swaps	133		136
Spot, futures and forwards	152		136
Written options	129		117
Purchased options	106		98
Total commodity contracts	520		487
Total derivative notional amounts	$	54,875	$	49,476

(a)Refer to the Credit derivatives discussion on page 135 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 September 30, 2023 and December 31, 2022, 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, 2023 (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	$	290,941	$	—	$	290,941	$	31,097	$	277,798	$	7	$	277,805	$	15,974
Credit	11,616		—		11,616		1,318		11,375		—		11,375		882
Foreign exchange	235,863		1,453		237,316		22,608		233,104		1,320		234,424		12,905
Equity	58,178		—		58,178		5,720		62,329		—		62,329		6,905
Commodity	17,214		254		17,468		6,327		17,445		112		17,557		5,297
Total fair value of trading assets and liabilities	$	613,812	$	1,707	$	615,519	$	67,070	$	602,051	$	1,439	$	603,490	$	41,963
	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

(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 September 30, 2023 and December 31, 2022, 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, 2023							December 31, 2022
(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”)	$	201,719	$	(172,743)	$	28,976		$	203,922	$	(178,261)	$	25,661
OTC–cleared	86,803		(86,563)		240			93,800		(93,424)		376
Exchange-traded(a)	543		(538)		5			559		(311)		248
Total interest rate contracts	289,065		(259,844)		29,221			298,281		(271,996)		26,285
Credit contracts:
OTC	8,807		(7,725)		1,082			8,474		(7,535)		939
OTC–cleared	2,618		(2,573)		45			1,746		(1,704)		42
Total credit contracts	11,425		(10,298)		1,127			10,220		(9,239)		981
Foreign exchange contracts:
OTC	234,022		(214,033)		19,989			237,941		(216,796)		21,145
OTC–cleared	699		(664)		35			1,461		(1,417)		44
Exchange-traded(a)	13		(11)		2			15		(1)		14
Total foreign exchange contracts	234,734		(214,708)		20,026			239,417		(218,214)		21,203
Equity contracts:
OTC	24,226		(21,392)		2,834			30,323		(25,665)		4,658
Exchange-traded(a)	32,140		(31,066)		1,074			28,467		(27,109)		1,358
Total equity contracts	56,366		(52,458)		3,908			58,790		(52,774)		6,016
Commodity contracts:
OTC	9,611		(5,130)		4,481			14,430		(7,633)		6,797
OTC–cleared	126		(118)		8			120		(112)		8
Exchange-traded(a)	5,899		(5,893)		6			9,103		(8,745)		358
Total commodity contracts	15,636		(11,141)		4,495			23,653		(16,490)		7,163
Derivative receivables with appropriate legal opinion	607,226		(548,449)		58,777		(d)	630,361		(568,713)		61,648		(d)
Derivative receivables where an appropriate legal opinion has not been either sought or obtained	8,293				8,293			9,232				9,232
Total derivative receivables recognized on the Consolidated balance sheets	$	615,519			$	67,070		$	639,593			$	70,880
Collateral not nettable on the Consolidated balance sheets(b)(c)					(27,832)							(23,014)
Net amounts					$	39,238						$	47,866

Offsetting liabilities

	September 30, 2023							December 31, 2022
(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	$	185,270	$	(171,572)	$	13,698		$	190,108	$	(176,890)	$	13,218
OTC–cleared	89,861		(89,739)		122			97,417		(97,126)		291
Exchange-traded(a)	520		(520)		—			327		(305)		22
Total interest rate contracts	275,651		(261,831)		13,820			287,852		(274,321)		13,531
Credit contracts:
OTC	8,947		(8,140)		807			8,054		(7,572)		482
OTC–cleared	2,353		(2,353)		—			1,674		(1,645)		29
Total credit contracts	11,300		(10,493)		807			9,728		(9,217)		511
Foreign exchange contracts:
OTC	231,710		(220,852)		10,858			246,457		(231,248)		15,209
OTC–cleared	749		(665)		84			1,488		(1,417)		71
Exchange-traded(a)	5		(2)		3			20		—		20
Total foreign exchange contracts	232,464		(221,519)		10,945			247,965		(232,665)		15,300
Equity contracts:
OTC	26,659		(24,354)		2,305			29,833		(26,554)		3,279
Exchange-traded(a)	32,967		(31,070)		1,897			28,291		(27,103)		1,188
Total equity contracts	59,626		(55,424)		4,202			58,124		(53,657)		4,467
Commodity contracts:
OTC	8,850		(6,235)		2,615			11,954		(7,642)		4,312
OTC–cleared	109		(109)		—			112		(112)		—
Exchange-traded(a)	6,147		(5,916)		231			9,021		(8,758)		263
Total commodity contracts	15,106		(12,260)		2,846			21,087		(16,512)		4,575
Derivative payables with appropriate legal opinion	594,147		(561,527)		32,620		(d)	624,756		(586,372)		38,384		(d)
Derivative payables where an appropriate legal opinion has not been either sought or obtained	9,343				9,343			12,757				12,757
Total derivative payables recognized on the Consolidated balance sheets	$	603,490			$	41,963		$	637,513			$	51,141
Collateral not nettable on the Consolidated balance sheets(b)(c)					(4,382)							(3,318)
Net amounts					$	37,581						$	47,823

(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 $57.8 billion and $51.5 billion at September 30, 2023 and December 31, 2022, respectively. Net derivatives payable included cash collateral netted of $70.9 billion and $69.2 billion at September 30, 2023 and December 31, 2022, 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 September 30, 2023 and December 31, 2022.

OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)	September 30, 2023			December 31, 2022
Aggregate fair value of net derivative payables		$	14,023		$	16,023
Collateral posted		13,990			15,505

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, 2023 and December 31, 2022, 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
	September 30, 2023				December 31, 2022
(in millions)	Single-notch downgrade		Two-notch downgrade		Single-notch downgrade		Two-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)	$	111	$	1,335	$	128	$	1,293
Amount required to settle contracts with termination triggers upon downgrade(b)	98		725		88		925

(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 three and nine months ended September 30, 2023 and 2022, 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, 2023 (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)	$	620	$	(577)	$	43	$	—	$	61	$	—
Foreign exchange(c)	(18)		71		53		(145)		53		(7)
Commodity(d)	938		(799)		139		—		145		—
Total	$	1,540	$	(1,305)	$	235	$	(145)	$	259	$	(7)

	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Three months ended September 30, 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)	$	(2,947)	$	2,819	$	(128)	$	—	$	(93)	$	—
Foreign exchange(c)	(1,044)		1,082		38		(170)		39		50
Commodity(d)	5,000		(4,992)		8		—		26		—
Total	$	1,009	$	(1,091)	$	(82)	$	(170)	$	(28)	$	50

	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Nine months ended September 30, 2023 (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)	$	1,641	$	(1,516)	$	125	$	—	$	75	$	—
Foreign exchange(c)	394		(211)		183		(474)		183		(20)
Commodity(d)	(180)		536		356		—		362		—
Total	$	1,855	$	(1,191)	$	664	$	(474)	$	620	$	(20)

	Gains/(losses) recorded in income						Income statement impact of excluded components(e)				OCI impact
Nine months ended September 30, 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)	$	(14,484)	$	14,167	$	(317)	$	—	$	(238)	$	—
Foreign exchange(c)	(2,552)		2,600		48		(350)		49		262
Commodity(d)	3,288		(3,381)		(93)		—		(84)		—
Total	$	(13,748)	$	13,386	$	(362)	$	(350)	$	(273)	$	262

(a)Primarily consists of hedges of the benchmark (e.g., 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)Includes the amortization of income/expense associated with the inception hedge accounting adjustment applied to the hedged item. 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, 2023 and December 31, 2022, 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, 2023 (in millions)				Active hedging relationships(d)		Discontinued hedging relationships(d)(e)		Total
Assets
Investment securities - AFS	$	129,501	(c)	$	(5,006)	$	(3,636)	$	(8,642)
Liabilities
Long-term debt	180,160			(7,717)		(9,191)		(16,908)
	Carrying amount of the hedged items(b)(c)			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)

(a)Excludes physical commodities with a carrying value of $11.9 billion and $26.0 billion at September 30, 2023 and December 31, 2022, 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, 2023 and December 31, 2022, the carrying amount excluded for AFS securities is $24.9 billion and $20.3 billion, respectively, and for long-term debt is $209 million and $221 million, respectively.

(c)Carrying amount represents the amortized cost, net of allowance if applicable. Effective January 1, 2023, the Firm adopted the new portfolio layer method hedge accounting guidance which expanded the ability to hedge a portfolio of prepayable assets to allow more of the portfolio to be hedged. At September 30, 2023, the amortized cost of the portfolio layer method closed portfolios was $64.9 billion, of which $63.5 billion was designated as hedged. The cumulative amount of basis adjustments was $(3.1) billion, reflecting $(2.9) billion and $(207) million for active and discontinued hedging relationships, respectively. Refer to Note 1 and 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 three and nine months ended September 30, 2023 and 2022, 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, 2023 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	(514)	$	(1,087)	$	(573)
Foreign exchange(b)	71		(122)		(193)
Total	$	(443)	$	(1,209)	$	(766)
	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended September 30, 2022 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	(160)	$	(2,279)	$	(2,119)
Foreign exchange(b)	(118)		(232)		(114)
Total	$	(278)	$	(2,511)	$	(2,233)
	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Nine months ended September 30, 2023 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	(1,416)	$	(1,825)	$	(409)
Foreign exchange(b)	25		64		39
Total	$	(1,391)	$	(1,761)	$	(370)
	Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Nine months ended September 30, 2022 (in millions)	Amounts reclassified from AOCI to income		Amounts recorded in OCI		Total change in OCI for period
Contract type
Interest rate(a)	$	169	$	(7,149)	$	(7,318)
Foreign exchange(b)	(186)		(548)		(362)
Total	$	(17)	$	(7,697)	$	(7,680)

(a)Primarily consists of hedges of SOFR-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 three and nine months ended September 30, 2023 and 2022.

	Gains/(losses) recorded in income and other comprehensive income/(loss)
	2023					2022
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		$	26	$	1,650		$	26	$	2,992
	Gains/(losses) recorded in income and other comprehensive income/(loss)
	2023					2022
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		$	231	$	558		$	(221)	$	6,850

(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. During the nine months ended September 30, 2023, the Firm reclassified a net pre-tax loss of $(38) million to other revenue predominantly related to the acquisition of CIFM. The amounts reclassified for the three months ended September 30, 2023 and nine months ended September 30, 2022 were not material. Refer to Note 21 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)	2023		2022		2023		2022
Contract type
Interest rate(a)	$	(259)	$	(215)	$	(385)	$	(753)
Credit(b)	(39)		(17)		(202)		105
Foreign exchange(c)	(22)		(3)		21		(79)
Total	$	(320)	$	(235)	$	(566)	$	(727)

(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 2022 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, 2023 and December 31, 2022. 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, 2023 (in millions)	Protection sold		Protection purchased with identical underlyings(c)			Net protection (sold)/purchased(d)		Other protection purchased(e)
Credit derivatives
Credit default swaps	$	(561,857)		$	581,432	$	19,575	$	4,536
Other credit derivatives(a)	(46,909)			54,830		7,921		25,537
Total credit derivatives	(608,766)			636,262		27,496		30,073
Credit-related notes(b)	—			—		—		7,520
Total	$	(608,766)		$	636,262	$	27,496	$	37,593
	Maximum payout/Notional amount
December 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	$	(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

(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 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, 2023 and December 31, 2022, 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, 2023 (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	$	(88,064)	$	(299,190)	$	(78,835)	$	(466,089)	$	3,584	$	(1,774)	$	1,810
Noninvestment-grade	(34,254)		(86,100)		(22,323)		(142,677)		2,072		(1,799)		273
Total	$	(122,318)	$	(385,290)	$	(101,158)	$	(608,766)	$	5,656	$	(3,573)	$	2,083

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)

(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.