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Derivative Instruments
3 Months Ended
Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments Derivative instruments
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 2023 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 DerivativeUse of DerivativeDesignation and disclosureAffected
segment or unit
10-Q page reference
Manage specifically identified risk exposures in qualifying hedge accounting relationships:
Interest rate
Hedge fixed rate assets and liabilitiesFair value hedge
Corporate
111-112
Interest rate
Hedge floating-rate assets and liabilitiesCash flow hedge
Corporate
113
Foreign exchange
Hedge foreign currency-denominated assets and liabilities
Fair value hedge
Corporate
111-112
Foreign exchange
Hedge foreign currency-denominated forecasted revenue and expense
Cash flow hedge
Corporate
113
Foreign exchange
Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities
Net investment hedge
Corporate
113
Commodity
Hedge commodity inventory
Fair value hedge
CIB, AWM
111-112
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 managementCCB114
Credit
Manage the credit risk associated with wholesale lending exposures
Specified risk management
CIB, AWM
114
Interest rate and foreign exchange
Manage the risk associated with certain other specified assets and liabilities
Specified risk management
Corporate, CIB
114
Market-making derivatives and other activities:
Various
Market-making and related risk management
Market-making and other
CIB114
Various
Other derivatives
Market-making and other
CIB, AWM, Corporate114
Notional amount of derivative contracts
The following table summarizes the notional amount of free-standing derivative contracts outstanding as of March 31, 2024 and December 31, 2023.
Notional amounts(b)
(in billions)March 31, 2024December 31, 2023
Interest rate contracts
Swaps
$25,005 $23,251 
Futures and forwards
3,701 2,690 
Written options
3,282 3,370 
Purchased options
3,250 3,362 
Total interest rate contracts
35,238 32,673 
Credit derivatives(a)
1,216 1,045 
Foreign exchange contracts
Cross-currency swaps
4,681 4,721 
Spot, futures and forwards
8,466 6,957 
Written options
871 830 
Purchased options
848 798 
Total foreign exchange contracts
14,866 13,306 
Equity contracts
Swaps
769 639 
Futures and forwards
192 157 
Written options
911 778 
Purchased options
817 698 
Total equity contracts2,689 2,272 
Commodity contracts
Swaps
120 115 
Spot, futures and forwards
175 157 
Written options
142 130 
Purchased options
125 115 
Total commodity contracts
562 517 
Total derivative notional amounts
$54,571 $49,813 
(a)Refer to the Credit derivatives discussion on page 115 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, 2024 and December 31, 2023, 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 receivablesGross derivative payables
March 31, 2024
(in millions)
Not designated as hedgesDesignated as hedgesTotal derivative receivables
Net derivative receivables(b)
Not designated as hedgesDesignated
as hedges
Total derivative payables
Net derivative payables(b)
Trading assets and liabilities
Interest rate$238,001 $1 $238,002 $25,528 $226,684 $ $226,684 $12,006 
Credit10,730  10,730 731 12,740  12,740 1,150 
Foreign exchange183,020 848 183,868 18,088 180,484 619 181,103 10,007 
Equity83,504  83,504 7,045 90,677  90,677 6,567 
Commodity17,754 40 17,794 5,229 18,852 27 18,879 6,273 
Total fair value of trading assets and liabilities
$533,009 $889 $533,898 $56,621 $529,437 $646 $530,083 $36,003 
Gross derivative receivablesGross derivative payables
December 31, 2023
(in millions)
Not designated as hedgesDesignated as hedgesTotal derivative receivables
Net derivative receivables(b)
Not designated as hedgesDesignated
as hedges
Total derivative payables
Net derivative payables(b)
Trading assets and liabilities
Interest rate$250,689 

$$250,691 $26,324 $240,482 $— $240,482 $11,896 
Credit9,654 — 9,654 551 12,038 — 12,038 1,089 
Foreign exchange205,010 765 205,775 18,019 210,623 1,640 212,263 12,620 
Equity57,689 — 57,689 4,928 65,811 — 65,811 9,368 
Commodity15,228 211 15,439 5,042 16,286 92 16,378 5,874 
Total fair value of trading assets and liabilities
$538,270 $978 $539,248 $54,864 $545,240 $1,732 $546,972 $40,847 
(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, 2024 and December 31, 2023, 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, 2024December 31, 2023
(in millions)Gross derivative receivablesAmounts netted on the Consolidated balance sheetsNet derivative receivablesGross derivative receivablesAmounts netted on the Consolidated balance sheetsNet
derivative receivables
U.S. GAAP nettable derivative receivables
Interest rate contracts:
Over-the-counter (“OTC”)$170,338 $(146,870)$23,468 $176,901 $(152,703)$24,198 
OTC–cleared65,545 (65,298)247 71,419 (71,275)144 
Exchange-traded(a)
323 (306)17 402 (389)13 
Total interest rate contracts236,206 (212,474)23,732 248,722 (224,367)24,355 
Credit contracts:
OTC8,186 (7,656)530 7,637 (7,226)411 
OTC–cleared2,405 (2,343)62 1,904 (1,877)27 
Total credit contracts10,591 (9,999)592 9,541 (9,103)438 
Foreign exchange contracts:
OTC181,432 (165,261)16,171 203,624 (187,295)16,329 
OTC–cleared519 (519) 469 (459)10 
Exchange-traded(a)
2  2 (2)
Total foreign exchange contracts181,953 (165,780)16,173 204,099 (187,756)16,343 
Equity contracts:
OTC31,191 (29,234)1,957 25,001 (23,677)1,324 
Exchange-traded(a)
50,237 (47,225)3,012 30,462 (29,084)1,378 
Total equity contracts81,428 (76,459)4,969 55,463 (52,761)2,702 
Commodity contracts:
OTC11,017 (7,641)3,376 8,049 (5,084)2,965 
OTC–cleared150 (117)33 133 (123)10 
Exchange-traded(a)
4,953 (4,807)146 5,214 (5,190)24 
Total commodity contracts16,120 (12,565)3,555 13,396 (10,397)2,999 
Derivative receivables with appropriate legal opinion
526,298 (477,277)49,021 
(d)
531,221 (484,384)46,837 
(d)
Derivative receivables where an appropriate legal opinion has not been either sought or obtained
7,600 7,600 8,027 8,027 
Total derivative receivables recognized on the Consolidated balance sheets
$533,898 $56,621 $539,248 $54,864 
Collateral not nettable on the Consolidated balance sheets(b)(c)
(23,012)(22,461)
Net amounts
$33,609 $32,403 
March 31, 2024December 31, 2023
(in millions)Gross derivative payablesAmounts netted on the Consolidated balance sheetsNet derivative payablesGross derivative payablesAmounts netted on the Consolidated balance sheetsNet
derivative payables
U.S. GAAP nettable derivative payables
Interest rate contracts:
OTC$154,378 $(144,659)$9,719 $161,901 $(152,467)$9,434 
OTC–cleared70,016 (69,713)303 76,007 (75,729)278 
Exchange-traded(a)
421 (306)115 436 (390)46 
Total interest rate contracts224,815 (214,678)10,137 238,344 (228,586)9,758 
Credit contracts:
OTC10,597 (9,581)1,016 10,332 (9,313)1,019 
OTC–cleared2,028 (2,009)19 1,639 (1,636)
Total credit contracts12,625 (11,590)1,035 11,971 (10,949)1,022 
Foreign exchange contracts:
OTC179,286 (170,556)8,730 209,386 (199,173)10,213 
OTC–cleared585 (540)45 552 (470)82 
Exchange-traded(a)
9  9 — 
Total foreign exchange contracts179,880 (171,096)8,784 209,944 (199,643)10,301 
Equity contracts:
OTC40,599 (36,886)3,713 29,999 (27,360)2,639 
Exchange-traded(a)
48,014 (47,224)790 33,137 (29,083)4,054 
Total equity contracts88,613 (84,110)4,503 63,136 (56,443)6,693 
Commodity contracts:
OTC11,137 (7,682)3,455 8,788 (5,192)3,596 
OTC–cleared117 (117) 120 (120)— 
Exchange-traded(a)
5,005 (4,807)198 5,376 (5,192)184 
Total commodity contracts16,259 (12,606)3,653 14,284 (10,504)3,780 
Derivative payables with appropriate legal opinion
522,192 (494,080)28,112 
(d)
537,679 (506,125)31,554 
(d)
Derivative payables where an appropriate legal opinion has not been either sought or obtained
7,891 7,891 9,293 9,293 
Total derivative payables recognized on the Consolidated balance sheets
$530,083 $36,003 $546,972 $40,847 
Collateral not nettable on the Consolidated balance sheets(b)(c)
(5,095)(4,547)
Net amounts
$30,908 $36,300 
(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 $47.6 billion and $48.3 billion at March 31, 2024 and December 31, 2023, respectively. Net derivatives payable included cash collateral netted of $64.4 billion and $70.0 billion at March 31, 2024 and December 31, 2023, 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 2023 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, 2024 and December 31, 2023.
OTC and OTC-cleared derivative payables containing downgrade triggers
(in millions)March 31, 2024December 31, 2023
Aggregate fair value of net derivative payables
$14,611 $14,655 
Collateral posted14,804 14,673 
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, 2024 and December 31, 2023, 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
March 31, 2024December 31, 2023
(in millions)Single-notch downgradeTwo-notch downgradeSingle-notch downgradeTwo-notch downgrade
Amount of additional collateral to be posted upon downgrade(a)
$106 $1,209 $75 $1,153 
Amount required to settle contracts with termination triggers upon downgrade(b)
91 397 93 592 
(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 both March 31, 2024 and December 31, 2023.
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, 2024 and 2023, 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 March 31, 2024
(in millions)
DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)
$318 $(220)$98 $ $112 $ 
Foreign exchange(c)
(139)189 50 (116)50 (27)
Commodity(d)
261 (235)26  24  
Total$440 $(266)$174 $(116)$186 $(27)
Gains/(losses) recorded in income
Income statement impact of
excluded components(e)
OCI impact
Three months ended March 31, 2023
(in millions)
DerivativesHedged itemsIncome statement impactAmortization approachChanges in fair value
Derivatives - Gains/(losses) recorded in OCI(f)
Contract type
Interest rate(a)(b)
$1,171 $(1,103)$68 $— $$— 
Foreign exchange(c)
158 (94)64 (172)64 (28)
Commodity(d)
(1,540)1,625 85 — 84 — 
Total$(211)$428 $217 $(172)$157 $(28)
(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.
As of March 31, 2024 and December 31, 2023, 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, 2024
(in millions)
Active hedging relationships(d)
Discontinued hedging relationships(d)(e)
Total
Assets
Investment securities - AFS$140,677 
(c)
$(1,704)$(1,992)$(3,696)
Liabilities
Long-term debt196,497 (4,124)(9,427)(13,551)
Beneficial interests issued by consolidated VIEs2,325 (23) (23)
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, 2023
(in millions)
Active hedging relationships(d)
Discontinued hedging relationships(d)(e)
Total
Assets
Investment securities - AFS$151,752 
(c)
$549 $(2,010)$(1,461)
Liabilities
Long-term debt195,455 (2,042)(9,727)(11,769)
Beneficial interests issued by consolidated VIEs— — — — 
(a)Excludes physical commodities with a carrying value of $2.6 billion and $5.6 billion at March 31, 2024 and December 31, 2023, 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, 2024 and December 31, 2023, the carrying amount excluded for AFS securities is $15.9 billion and $19.3 billion, respectively. For both periods, the carrying amount excluded for long-term debt is zero.
(c)Carrying amount represents the amortized cost, net of allowance if applicable. At March 31, 2024 and December 31, 2023, the amortized cost of the portfolio layer method closed portfolios was $69.3 billion and $83.9 billion, of which $59.0 billion and $68.0 billion was designated as hedged, respectively. The amount designated as hedged is the sum of the notional amounts of all outstanding layers in each portfolio, which includes both spot starting and forward starting layers. At March 31, 2024 and December 31, 2023, the cumulative amount of basis adjustments was $(1.5) billion and $(165) million, which is comprised of $(1.2) billion and $73 million for active hedging relationships, and $(304) million and $(238) million for discontinued hedging relationships, respectively. Refer to Note 9 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 months ended March 31, 2024 and 2023, 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, 2024
(in millions)
Amounts reclassified
from AOCI to income
Amounts recorded
in OCI
Total change
in OCI for period
Contract type
Interest rate(a)
$(620)$(1,725)$(1,105)
Foreign exchange(b)
31 (37)(68)
Total$(589)$(1,762)$(1,173)
Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)
Three months ended March 31, 2023
(in millions)
Amounts reclassified
from AOCI to income
Amounts recorded
in OCI
Total change
in OCI for period
Contract type
Interest rate(a)
$(427)$461 $888 
Foreign exchange(b)
(56)106 162 
Total$(483)$567 $1,050 
(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.
The Firm did not experience any forecasted transactions that failed to occur for the three months ended March 31, 2024 and 2023.
Over the next 12 months, the Firm expects that approximately $(1.8) billion (after-tax) of net losses recorded in AOCI at March 31, 2024, 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 seven years, corresponding to the timing of the originally hedged forecasted cash flows. For open cash flow hedges, the maximum length of time over which forecasted transactions are hedged is approximately seven years. The Firm’s longer-dated forecasted transactions relate to core lending and borrowing activities.
Net investment hedge gains and losses
The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pre-tax gains/(losses) recorded on such instruments for the three months ended March 31, 2024 and 2023.
Gains/(losses) recorded in income and other comprehensive income/(loss)
20242023
Three months ended March 31,
(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$89 $1,442 $84 $(1,004)
(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. There were no sales or liquidations of legal entities that resulted in reclassifications for the three month period ended March 31, 2024. During the three months ended March 31, 2023, the Firm reclassified a pre-tax loss of $(41) million to other revenue related to the acquisition of CIFM. Refer to Note 19 for further information.
Gains and losses on derivatives used for specified risk management purposes
The following table presents pre-tax gains/(losses) recorded on a limited number of derivatives, not designated in hedge accounting relationships, that are used to manage risks associated with certain specified assets and liabilities, including certain risks arising from mortgage commitments, warehouse loans, MSRs, wholesale lending exposures, and foreign currency-denominated assets and liabilities.
Derivatives gains/(losses)
recorded in income
Three months ended March 31,
(in millions)20242023
Contract type
Interest rate(a)
$(223)$(14)
Credit(b)
(258)(96)
Foreign exchange(c)
7 
Total$(474)$(108)
(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 derivatives
The 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 2023 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, 2024 and December 31, 2023. 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, 2024 (in millions)Protection sold
Protection purchased with identical underlyings(c)
Net protection (sold)/purchased(d)
Other protection purchased(e)
Credit derivatives
Credit default swaps$(504,864)$529,505 $24,641 $7,556 
Other credit derivatives(a)
(68,859)91,669 22,810 13,874 
Total credit derivatives(573,723)621,174 47,451 21,430 
Credit-related notes(b)
   9,887 
Total$(573,723)$621,174 $47,451 $31,317 
Maximum payout/Notional amount
December 31, 2023 (in millions)Protection sold
Protection purchased with identical underlyings(c)
Net protection (sold)/purchased(d)
Other protection purchased(e)
Credit derivatives
Credit default swaps$(450,172)$473,823 $23,651 $7,517 
Other credit derivatives(a)
(38,846)45,416 6,570 

29,206 
Total credit derivatives(489,018)519,239 30,221 36,723 
Credit-related notes(b)
— — — 9,788 
Total$(489,018)$519,239 $30,221 $46,511 
(a)Other credit derivatives predominantly consist of credit swap options and total return swaps.
(b)Predominantly represents Other protection purchased by CIB.
(c)Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold.
(d)Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value.
(e)Represents protection purchased by the Firm on referenced instruments (single-name, portfolio or index) where the Firm has not sold any protection on the identical reference instrument. Also includes credit protection against certain loans and lending-related commitments in the retained lending portfolio through the issuance of credit derivatives and credit-related notes.
The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives as of March 31, 2024 and December 31, 2023, where JPMorgan Chase is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives where JPMorgan Chase is the purchaser of protection are comparable to the profile reflected below.
Protection sold — credit derivatives ratings(a)/maturity profile
March 31, 2024
(in millions)
<1 year1–5 years>5 yearsTotal
notional amount
Fair value of receivables(b)
Fair value of payables(b)
Net fair value
Risk rating of reference entity
Investment-grade$(116,655)$(261,889)$(69,109)$(447,653)$4,436 $(1,140)$3,296 
Noninvestment-grade(33,353)(74,872)(17,845)(126,070)2,419 (1,700)719 
Total$(150,008)$(336,761)$(86,954)$(573,723)$6,855 $(2,840)$4,015 
December 31, 2023
(in millions)
<1 year1–5 years>5 yearsTotal
notional amount
Fair value of receivables(b)
Fair value of payables(b)
Net fair value
Risk rating of reference entity
Investment-grade$(89,981)$(263,834)$(29,470)$(383,285)$3,659 $(1,144)$2,515 
Noninvestment-grade(31,419)(69,515)(4,799)(105,733)2,466 (1,583)883 
Total$(121,400)$(333,349)$(34,269)$(489,018)$6,125 $(2,727)$3,398 
(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.