(b)Includes FHLB advances in level 2 of Long-term debt and Short-term borrowings and the Purchase Money Note in level 3 of Long-term debt associated with First Republic. Refer to Notes 20 and 34 for additional information.


JPM Notes to consolidated financial statements

The majority of the Firm’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated balance sheets. The carrying value and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated. ############December 31, 2023####################December 31, 2022######## ############Estimated fair value hierarchy####################Estimated fair value hierarchy######## (in billions)####Carrying value(a)(b)(c)####Level 1####Level 2####Level 3####Total estimated fair value####Carrying value(a)(b)####Level 1####Level 2####Level 3####Total estimated fair value Wholesale lending-related commitments##$##3.0##$##—##$##—##$##4.8##$##4.8##$##2.3##$##—##$##—##$##3.2##$##3.2


(a)Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which is recognized at fair value at the inception of the guarantees.


(b)Includes the wholesale allowance for lending-related commitments.


(c)As of December 31, 2023, includes fair value adjustments associated with First Republic for other unfunded commitments to extend credit totaling $1.1 billion recorded in accounts payable and other liabilities on the Consolidated balance sheets. Refer to Notes 28 and 34 for additional information.


The Firm does not estimate the fair value of consumer off-balance sheet lending-related commitments. In many cases, the Firm can reduce or cancel these commitments by providing the borrower notice or, in some cases as permitted by law, without notice. Refer to page 177 of this Note for a further discussion of the valuation of lending-related commitments.


JPM Note 3 – Fair value option

The fair value option provides an option to elect fair value for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments.


JPM Note 3 – Fair value option

The Firm has elected to measure certain instruments at fair value for several reasons including to mitigate income statement volatility caused by the differences between the measurement basis of elected instruments (e.g., certain instruments that otherwise would be accounted for on an accrual basis) and the associated risk management arrangements that are accounted for on a fair value basis, as well as to better reflect those instruments that are managed on a fair value basis.


JPM Note 3 – Fair value option

The Firm’s election of fair value includes the following instruments: •Loans purchased or originated as part of securitization warehousing activity, subject to bifurcation accounting, or managed on a fair value basis, including lending-related commitments •Certain securities financing agreements •Owned beneficial interests in securitized financial assets that contain embedded credit derivatives, which would otherwise be required to be separately accounted for as a derivative instrument •Structured notes and other hybrid instruments, which are predominantly financial instruments that contain embedded derivatives, that are issued or transacted as part of client-driven activities •Certain long-term beneficial interests issued by CIB’s consolidated securitization trusts where the underlying assets are carried at fair value


JPM Changes in fair value under the fair value option election

The following table presents the changes in fair value included in the Consolidated statements of income for the years ended December 31, 2023, 2022 and 2021, for items for which the fair value option was elected. The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measured at fair value, are not included in the table. ##########2023##############2022################2021######## December 31, (in millions)####Principal transactions######All other income######Total changes in fair value recorded(e)####Principal transactions######All other income######Total changes in fair value recorded(e)####Principal transactions######All other income######Total changes in fair value recorded(e) Federal funds sold and securities purchased under resale agreements##$##300##$##—######$##300##$##(384)##$##—######$##(384)##$##(112)##$##—######$##(112) Securities borrowed####164####—########164####(499)####—########(499)####(200)####—########(200) Trading assets:################################################ Debt and equity instruments, excluding loans####3,656####—########3,656####(1,703)####—########(1,703)####(2,171)####(1)####(c)####(2,172) Loans reported as trading  assets:################################################ Changes in instrument-specific credit risk####248####—########248####(136)####—########(136)####353####—########353 Other changes in fair value####3####5####(c)####8####(59)####—########(59)####(8)####—########(8) Loans:################################################ Changes in instrument-specific credit risk####322####(4)####(c)####318####(242)####21####(c)####(221)####589####(7)####(c)####582 Other changes in fair value####427####216####(c)####643####(1,421)####(794)####(c)####(2,215)####(139)####2,056####(c)####1,917 Other assets####282####(4)####(d)####278####39####(6)####(d)####33####12####(26)####(d)####(14) Deposits(a)####(2,582)####—########(2,582)####901####—########901####(183)####—########(183) Federal funds purchased and securities loaned or sold under repurchase agreements####(121)####—########(121)####181####—########181####69####—########69 Short-term borrowings(a)####(567)####—########(567)####473####—########473####(366)####—########(366) Trading liabilities####(24)####—########(24)####43####—########43####7####—########7 Beneficial interests issued by consolidated VIEs####—####—########—####(1)####—########(1)####—####—########— Other liabilities####(16)####—########(16)####(11)####—########(11)####(17)####—########(17) Long-term debt(a)(b)####(5,875)####(78)####(c)(d)####(5,953)####8,990####98####(c)(d)####9,088####(980)####4####(c)(d)####(976)


(a)Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected are recorded in OCI, while realized gains/(losses) are recorded in principal transactions revenue. Realized gains/(losses) due to instrument-specific credit risk recorded in principal transactions revenue were not material for the years ended December 31, 2023, 2022 and 2021.


(b)Long-term debt measured at fair value predominantly relates to structured notes. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk.


(c)Reported in mortgage fees and related income.


(d)Reported in other income.


(e)Changes in fair value exclude contractual interest, which is included in interest income and interest expense for all instruments other than certain hybrid financial instruments in CIB. Refer to Note 7 for further information regarding interest income and interest expense.


Determination of instrument-specific credit risk for items for which the fair value option was elected


The following describes how the gains and losses that are attributable to changes in instrument-specific credit risk, were determined. •Loans and lending-related commitments: For floating-rate instruments, all changes in value are attributed to instrument-specific credit risk. For fixed-rate instruments, an allocation of the changes in value for the period is made between those changes in value that are interest rate-related and changes in value that are credit-related. Allocations are generally based on an analysis of borrower-specific credit spread and recovery


information, where available, or benchmarking to similar entities or industries. •Long-term debt: Changes in value attributable to instrument-specific credit risk were derived principally from observable changes in the Firm’s credit spread as observed in the bond market. •Securities financing agreements: Generally, for these types of agreements, there is a requirement that collateral be maintained with a market value equal to or in excess of the principal amount loaned; as a result, there would be no adjustment or an immaterial adjustment for instrument-specific credit risk related to these agreements.


JPM 198 JPMorgan Chase & Co./2023 Form 10-K

Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding


The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of December 31, 2023 and 2022, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected. ########2023##############2022###### December 31, (in millions)####Contractual principal outstanding######Fair value####Fair value over/(under) contractual principal outstanding####Contractual principal outstanding######Fair value####Fair value over/(under) contractual principal outstanding Loans############################ Nonaccrual loans############################ Loans reported as trading assets##$##2,987####$##588##$##(2,399)##$##2,517####$##368##$##(2,149) Loans####838######732####(106)####967######829####(138) Subtotal####3,825######1,320####(2,505)####3,484######1,197####(2,287) 90 or more days past due and government guaranteed############################ Loans(a)####65######59####(6)####124######115####(9) All other performing loans(b)############################ Loans reported as trading assets####9,547######7,968####(1,579)####7,823######6,135####(1,688) Loans####38,948######38,060####(888)####42,588######41,135####(1,453) Subtotal####48,495######46,028####(2,467)####50,411######47,270####(3,141) Total loans##$##52,385####$##47,407##$##(4,978)##$##54,019####$##48,582##$##(5,437) Long-term debt############################ Principal-protected debt##$##47,768##(d)##$##38,882##$##(8,886)##$##41,341##(d)##$##31,105##$##(10,236) Nonprincipal-protected debt(c)####NA######49,042####NA####NA######41,176####NA Total long-term debt####NA####$##87,924####NA####NA####$##72,281####NA Long-term beneficial interests############################ Nonprincipal-protected debt(c)####NA####$##1####NA####NA####$##5####NA Total long-term beneficial interests####NA####$##1####NA####NA####$##5####NA


(a)These balances are excluded from nonaccrual loans as the loans are insured and/or guaranteed by U.S. government agencies.


(b)There were no performing loans that were ninety days or more past due as of December 31, 2023 and 2022.


(c)Remaining contractual principal is not applicable to nonprincipal-protected structured notes and long-term beneficial interests. Unlike principal-protected structured notes and long-term beneficial interests, for which the Firm is obligated to return a stated amount of principal at maturity, nonprincipal-protected structured notes and long-term beneficial interests do not obligate the Firm to return a stated amount of principal at maturity, but for structured notes to return an amount based on the performance of an underlying variable or derivative feature embedded in the note. However, investors are exposed to the credit risk of the Firm as issuer for both nonprincipal-protected and principal-protected notes.


(d)Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at the Firm’s next call date.


At December 31, 2023 and 2022, the contractual amount of lending-related commitments for which the fair value option was elected was $9.7 billion and $7.6 billion, respectively, with a corresponding fair value of $97 million and $24 million, respectively. Refer to Note 28 for further information regarding off-balance sheet lending-related financial instruments.


JPM Structured note products by balance sheet classification and risk component

The following table presents the fair value of structured notes, by balance sheet classification and the primary risk type. ##########December 31, 2023######################December 31, 2022############ (in millions)####Long-term debt####Short-term borrowings########Deposits######Total####Long-term debt####Short-term borrowings########Deposits######Total Risk exposure############################################ Interest rate##$##38,604##$##654####$##74,526######$##113,784##$##31,973##$##260####$##24,655######$##56,888 Credit####5,444####350######—########5,794####4,105####170######—########4,275 Foreign exchange####2,605####941######187########3,733####2,674####788######50########3,512 Equity####38,685####5,483######2,905########47,073####30,864####4,272######3,545########38,681 Commodity####1,862####11######1####(a)####1,874####1,655####16######2####(a)####1,673 Total structured notes##$##87,200##$##7,439####$##77,619######$##172,258##$##71,271##$##5,506####$##28,252######$##105,029


(a)Excludes deposits linked to precious metals for which the fair value option has not been elected of $627 million and $602 million for the years ended December 31, 2023 and 2022, respectively.


JPM Note 4 – Credit risk concentrations

Concentrations of credit risk arise when a number of clients, counterparties or customers are engaged in similar business activities or activities in the same geographic region, or when they have similar economic features that would cause their ability to meet contractual obligations to be similarly affected by changes in economic conditions.


JPM Note 4 – Credit risk concentrations

JPMorgan Chase regularly monitors various segments of its credit portfolios to assess potential credit risk concentrations and to obtain additional collateral when deemed necessary and permitted under the Firm’s agreements. Senior management is significantly involved in the credit approval and review process, and risk levels are adjusted as needed to reflect the Firm’s risk appetite.


JPM Note 4 – Credit risk concentrations

In the Firm’s consumer portfolio, concentrations are managed primarily by product and by U.S. geographic region, with a key focus on trends and concentrations at the portfolio level, where potential credit risk concentrations can be remedied through changes in underwriting policies and portfolio guidelines. Refer to Note 12 for additional information on the geographic composition of the Firm’s consumer loan portfolios. In the wholesale portfolio, credit risk concentrations are evaluated primarily by industry and monitored regularly on both an aggregate portfolio level and on an individual client or counterparty basis.


JPM Note 4 – Credit risk concentrations

The Firm’s wholesale exposure is managed through loan syndications and participations, loan sales, securitizations, credit derivatives, master netting agreements, collateral and other risk-reduction techniques. Refer to Note 12 for additional information on loans.


JPM Note 4 – Credit risk concentrations

The Firm does not believe that its exposure to any particular loan product or industry segment results in a significant concentration of credit risk.


JPM Note 4 – Credit risk concentrations

Terms of loan products and collateral coverage are included in the Firm’s assessment when extending credit and establishing its allowance for credit losses. Refer to Note 13 for additional information on the allowance for credit losses.


The table below presents both on–balance sheet and off–balance sheet consumer and wholesale credit exposure by the Firm’s three credit portfolio segments as of December 31, 2023 and 2022. The wholesale industry of risk category is generally based on the client or counterparty’s primary business activity. ##########2023####################2022## ####Credit exposure(h)(i)######On-balance sheet########Off-balance sheet(k)####Credit exposure(h)######On-balance sheet#### December 31, (in millions)########Loans######Derivatives############Loans######Derivatives Consumer, excluding credit card##$##455,496##$##410,093####$##—##$##45,403##$##344,893##$##311,375##(j)##$##— Credit card(a)####1,126,781####211,123######—####915,658####1,006,459####185,175######— Total consumer(a)####1,582,277####621,216######—####961,061####1,351,352####496,550######— Wholesale(b)################################ Real Estate####208,261####166,372######420####41,469####170,857####131,681######249 Individuals and Individual Entities(c)####145,849####126,339######725####18,785####130,815####120,424######434 Asset Managers####129,574####52,178######9,925####67,471####95,656####40,511######16,397 Consumer & Retail####127,086####46,274######2,013####78,799####120,555####45,867######1,650 Technology, Media &  Telecommunications####77,296####22,450######2,451####52,395####72,286####21,622######2,950 Industrials####75,092####26,548######1,335####47,209####72,483####26,960######1,770 Healthcare####65,025####23,169######1,577####40,279####62,613####22,970######1,683 Banks & Finance Companies####57,177####33,941######2,898####20,338####51,816####32,172######3,246 Utilities####36,061####7,067######3,396####25,598####36,218####9,107######3,269 State & Municipal Govt(d)####35,986####20,019######442####15,525####33,847####18,147######585 Oil & Gas####34,475####8,480######705####25,290####38,668####9,632######5,121 Automotive####33,977####17,459######428####16,090####33,287####14,735######529 Chemicals & Plastics####20,773####6,458######441####13,874####20,030####5,771######407 Insurance####20,501####2,535######7,138####10,828####21,045####2,387######8,081 Central Govt####17,704####5,463######10,669####1,572####19,095####3,167######12,955 Transportation####16,060####5,080######555####10,425####15,009####5,005######567 Metals & Mining####15,508####4,655######274####10,579####15,915####5,398######475 Securities Firms####8,689####865######3,285####4,539####8,066####556######3,387 Financial Markets Infrastructure####4,251####86######2,155####2,010####4,962####13######3,050 All other(e)####134,777####97,034######4,032####33,711####123,307####87,545######4,075 Subtotal####1,264,122####672,472######54,864####536,786####1,146,530####603,670######70,880 Loans held-for-sale and loans at fair value####30,018####30,018######—####—####35,427####35,427######— Receivables from customers(f)####47,625####—######—####—####49,257####—######— Total wholesale####1,341,765####702,490######54,864####536,786####1,231,214####639,097######70,880 Total exposure(g)(h)##$##2,924,042##$##1,323,706####$##54,864##$##1,497,847##$##2,582,566##$##1,135,647####$##70,880


(a)Also includes commercial card lending-related commitments primarily in CB and CIB.


(b)The industry rankings presented in the table as of December 31, 2022, are based on the industry rankings of the corresponding exposures at December 31, 2023, not actual rankings of such exposures at December 31, 2022.


(c)Individuals and Individual Entities predominantly consists of Global Private Bank clients within AWM and J.P. Morgan Wealth Management within CCB, and includes exposure to personal investment companies and personal and testamentary trusts.


(d)In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at December 31, 2023 and 2022, noted above, the Firm held: $5.9 billion and $6.6 billion, respectively, of trading assets; $21.4 billion and $6.8 billion, respectively, of AFS securities; and $9.9 billion and $19.7 billion, respectively, of HTM securities, issued by U.S. state and municipal governments. Refer to Note 2 and Note 10 for further information.


(e)All other includes: SPEs and Private education and civic organizations, representing approximately 94% and 6%, respectively, at December 31, 2023 and 95% and 5%, respectively, at December 31, 2022. Refer to Note 14 for more information on exposures to SPEs.


(f)Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB, CCB and AWM that are collateralized by assets maintained in the clients’ brokerage accounts (including cash on deposit, and primarily liquid and readily marketable debt or equity securities).


(g)Excludes cash placed with banks of $614.1 billion and $556.6 billion, at December 31, 2023 and 2022, respectively, which is predominantly placed with various central banks, primarily Federal Reserve Banks.


(h)Credit exposure is net of risk participations and excludes the benefit of credit derivatives used in credit portfolio management activities held against derivative receivables or loans and liquid securities and other cash collateral held against derivative receivables.


(i)Included credit exposure associated with First Republic consisting of $102.2 billion in the Consumer, excluding credit card portfolio, and $90.6 billion in the Wholesale portfolio predominantly in Real Estate, Asset Managers, and Individuals and Individual Entities.


(j)At December 31, 2023 and 2022, included $94 million and $350 million of loans in Business Banking under the PPP, respectively. PPP loans are guaranteed by the SBA. Other than in certain limited circumstances, the Firm typically does not recognize charge-offs, classify as nonaccrual nor record an allowance for loan losses on these loans.


(k)Represents lending-related financial instruments.


JPM Note 5 – Derivative instruments

Derivative contracts derive their value from underlying asset prices, indices, reference rates, other inputs or a combination of these factors and may expose counterparties to risks and rewards of an underlying asset or liability without having to initially invest in, own or exchange the asset or liability. JPMorgan Chase makes markets in derivatives for clients and also uses derivatives to hedge or manage its own risk exposures. Predominantly all of the Firm’s derivatives are entered into for market-making or risk management purposes.


JPM Market-making derivatives

The majority of the Firm’s derivatives are entered into for market-making purposes. Clients use derivatives to mitigate or modify interest rate, credit, foreign exchange, equity and commodity risks. The Firm actively manages the risks from its exposure to these derivatives by entering into other derivative contracts or by purchasing or selling other financial instruments that partially or fully offset the exposure from client derivatives.


JPM Risk management derivatives

The Firm manages certain market and credit risk exposures using derivative instruments, including derivatives in hedge accounting relationships and other derivatives that are used to manage risks associated with specified assets and liabilities.


JPM Risk management derivatives

The Firm generally uses interest rate derivatives to manage the risk associated with changes in interest rates. Fixed-rate assets and liabilities appreciate or depreciate in market value as interest rates change. Similarly, interest income and expense increase or decrease as a result of variable-rate assets and liabilities resetting to current market rates, and as a result of the repayment and subsequent origination or issuance of fixed-rate assets and liabilities at current market rates. Gains and losses on the derivative instruments related to these assets and liabilities are expected to substantially offset this variability.


JPM Risk management derivatives

Foreign currency derivatives are used to manage the foreign exchange risk associated with certain foreign currency–denominated (i.e., non-U.S. dollar) assets and liabilities and forecasted transactions, as well as the Firm’s net investments in certain non-U.S. subsidiaries or branches whose functional currencies are not the U.S. dollar. As a result of fluctuations in foreign currencies, the U.S. dollar–equivalent values of the foreign currency–denominated assets and liabilities or the forecasted revenues or expenses increase or decrease. Gains or losses on the derivative instruments related to these foreign currency–denominated assets or liabilities, or forecasted transactions, are expected to substantially offset this variability.


JPM Risk management derivatives

Commodities derivatives are used to manage the price risk of certain commodities inventories. Gains or losses on these derivative instruments are expected to substantially offset the depreciation or appreciation of the related inventory.


JPM Risk management derivatives

Credit derivatives are used to manage the counterparty credit risk associated with loans and lending-related commitments. Credit derivatives compensate the purchaser when the entity referenced in the contract experiences a credit event, such as bankruptcy or a failure to pay an obligation when due. Credit derivatives primarily consist of CDS. Refer to the Credit derivatives section on pages 214–216 of this Note for a further discussion of credit derivatives.


JPM Risk management derivatives

Refer to the risk management derivatives gains and losses table on page 214 and the hedge accounting gains and losses tables on pages 211–213 of this Note for more information about risk management derivatives.


JPM Derivative counterparties and settlement types

The Firm enters into OTC derivatives, which are negotiated and settled bilaterally with the derivative counterparty. The Firm also enters into, as principal, certain ETD such as futures and options, and OTC-cleared derivative contracts with CCPs. ETD contracts are generally standardized contracts traded on an exchange and cleared by the CCP, which is the Firm’s counterparty from the inception of the transactions. OTC-cleared derivatives are traded on a bilateral basis and then novated to the CCP for clearing.


JPM Derivative clearing services

The Firm provides clearing services for clients in which the Firm acts as a clearing member at certain exchanges and clearing houses. The Firm does not reflect the clients’ derivative contracts in its Consolidated Financial Statements. Refer to Note 28 for further information on the Firm’s clearing services.


JPM Accounting for derivatives

All free-standing derivatives that the Firm executes for its own account are required to be recorded on the Consolidated balance sheets at fair value.


JPM Accounting for derivatives

As permitted under U.S. GAAP, the Firm nets derivative assets and liabilities, and the related cash collateral receivables and payables, when a legally enforceable master netting agreement exists between the Firm and the derivative counterparty. Refer to Note 1 for further discussion of the offsetting of assets and liabilities. The accounting for changes in value of a derivative depends on whether or not the transaction has been designated and qualifies for hedge accounting. Derivatives that are not designated as hedges are reported and measured at fair value through earnings. The tabular disclosures on pages 207–214 of this Note provide additional information on the amount of, and reporting for, derivative assets, liabilities, gains and losses. Refer to Notes 2 and 3 for a further discussion of derivatives embedded in structured notes.


JPM Derivatives designated as hedges

The Firm applies hedge accounting to certain derivatives executed for risk management purposes – generally interest rate, foreign exchange and commodity derivatives. However, JPMorgan Chase does not seek to apply hedge accounting to all of the derivatives associated with the Firm’s risk management activities. For example, the Firm does not apply hedge accounting to purchased CDS used to manage the credit risk of loans and lending-related commitments, because of the difficulties in qualifying such contracts as hedges. For the same reason, the Firm does not apply hedge accounting to certain interest rate, foreign exchange, and commodity derivatives used for risk management purposes.


JPM Derivatives designated as hedges

To qualify for hedge accounting, a derivative must be highly effective at reducing the risk associated with the exposure being hedged. In addition, for a derivative to be designated as a hedge, the risk management objective and strategy must be documented. Hedge documentation must identify the derivative hedging instrument, the asset or liability or forecasted transaction and type of risk to be hedged, and how the effectiveness of the derivative is assessed prospectively and retrospectively. To assess effectiveness, the Firm uses statistical methods such as regression analysis, nonstatistical methods such as dollar-value comparisons of the change in the fair value of the derivative to the change in the fair value or cash flows of the hedged item, and qualitative comparisons of critical terms and the evaluation of any changes in those terms. The extent to which a derivative has been, and is expected to continue to be, highly effective at offsetting changes in the fair value or cash flows of the hedged item must be assessed and documented at least quarterly. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued.


JPM Derivatives designated as hedges

There are three types of hedge accounting designations: fair value hedges, cash flow hedges and net investment hedges. JPMorgan Chase uses fair value hedges primarily to hedge fixed-rate long-term debt, AFS securities and certain commodities inventories. For qualifying fair value hedges, the changes in the fair value of the derivative, and in the value of the hedged item for the risk being hedged, are recognized in earnings. Certain amounts excluded from the assessment of effectiveness are recorded in OCI and recognized in earnings over the life of the derivative. If the hedge relationship is terminated, then the adjustment to the hedged item continues to be reported as part of the basis of the hedged item and, for interest-bearing financial instruments, is amortized to earnings as a yield adjustment. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item – primarily net interest income and principal transactions revenue.


JPM Derivatives designated as hedges

Effective January 1, 2023, the Firm adopted the new portfolio layer method hedge accounting guidance which expanded the ability to hedge a portfolio of fixed-rate assets to allow more types of assets to be included in the portfolio, and to allow more of the portfolio to be hedged.


JPM Derivatives designated as hedges

The Firm employs the Portfolio Layer Method to manage the interest rate risk of portfolios of fixed-rate assets. Throughout the life of the open hedge, basis adjustments are maintained at the portfolio level and are only allocated to individual assets under certain circumstances. These include instances where the portfolio amount falls below the hedged layer amounts, or in cases of voluntary de-designation.


JPM Derivatives designated as hedges

JPMorgan Chase uses cash flow hedges primarily to hedge the exposure to variability in forecasted cash flows from floating-rate assets and liabilities and foreign currency–denominated revenue and expense. For qualifying cash flow hedges, changes in the fair value of the derivative are recorded in OCI and recognized in earnings as the hedged item affects earnings. Derivative amounts affecting earnings are recognized consistent with the classification of the hedged item – primarily noninterest revenue, net interest income and compensation expense. If the hedge relationship is terminated, then the change in value of the derivative recorded in AOCI is recognized in earnings when the cash flows that were hedged affect earnings. For hedge relationships that are discontinued because a forecasted transaction is expected to not occur according to the original hedge forecast, any related derivative values recorded in AOCI are immediately recognized in earnings.


JPM Derivatives designated as hedges

JPMorgan Chase uses net investment hedges to protect the value of the Firm’s net investments in certain non-U.S. subsidiaries or branches whose functional currencies are not the U.S. dollar. For qualifying net investment hedges, changes in the fair value of the derivatives due to changes in spot foreign exchange rates are recorded in OCI as translation adjustments. Amounts excluded from the assessment of effectiveness are recorded directly in earnings.


JPM 204 JPMorgan Chase & Co./2023 Form 10-K

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##211-212 •Interest rate####Hedge floating-rate assets and liabilities##Cash flow hedge##Corporate##213 •Foreign exchange####Hedge foreign currency-denominated assets and liabilities##Fair value hedge##Corporate##211-212 •Foreign exchange####Hedge foreign currency-denominated forecasted revenue and expense##Cash flow hedge##Corporate##213 •Foreign exchange####Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities##Net investment hedge##Corporate##213 •Commodity####Hedge commodity inventory##Fair value hedge##CIB, AWM##211-212 ####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##214 •Credit####Manage the credit risk associated with wholesale lending exposures##Specified risk management##CIB, AWM##214 •Interest rate and foreign exchange####Manage the risk associated with certain other specified assets and liabilities##Specified risk management##Corporate, CIB##214 ##Market-making derivatives and other activities:######## •Various####Market-making and related risk management##Market-making and other##CIB##214 •Various####Other derivatives##Market-making and other##CIB, AWM, Corporate##214


JPM Notional amount of derivative contracts

The following table summarizes the notional amount of free-standing derivative contracts outstanding as of December 31, 2023 and 2022. ######Notional amounts(b)#### December 31, (in billions)####2023######2022 Interest rate contracts########## Swaps##$##23,251####$##24,491 Futures and forwards####2,690######2,636 Written options####3,370######3,047 Purchased options####3,362######2,992 Total interest rate contracts####32,673######33,166 Credit derivatives(a)####1,045######1,132 Foreign exchange contracts########## Cross-currency swaps####4,721######4,196 Spot, futures and forwards####6,957######7,017 Written options####830######775 Purchased options####798######759 Total foreign exchange contracts####13,306######12,747 Equity contracts########## Swaps####639######618 Futures and forwards####157######110 Written options####778######636 Purchased options####698######580 Total equity contracts####2,272######1,944 Commodity contracts########## Swaps####115######136 Spot, futures and forwards####157######136 Written options####130######117 Purchased options####115######98 Total commodity contracts####517######487 Total derivative notional amounts##$##49,813####$##49,476


(a)Refer to the Credit derivatives discussion on pages 214–216 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.


JPM 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, 2023 and 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######## December 31, 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##$##250,689##$##2##$##250,691##$##26,324##$##240,482##$##—##$##240,482##$##11,896 Credit####9,654####—####9,654####551####12,038####—####12,038####1,089 Foreign exchange####205,010####765####205,775####18,019####210,623####1,640####212,263####12,620 Equity####57,689####—####57,689####4,928####65,811####—####65,811####9,368 Commodity####15,228####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 ########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.


JPM Derivatives netting

The following tables present, as of December 31, 2023 and 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.


JPM Derivatives netting

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. ##########2023##############2022###### 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#### U.S. GAAP nettable derivative receivables############################## Interest rate contracts:############################## OTC##$##176,901##$##(152,703)####$##24,198####$##203,922##$##(178,261)####$##25,661 OTC–cleared####71,419####(71,275)######144######93,800####(93,424)######376 Exchange-traded(a)####402####(389)######13######559####(311)######248 Total interest rate contracts####248,722####(224,367)######24,355######298,281####(271,996)######26,285 Credit contracts:############################## OTC####7,637####(7,226)######411######8,474####(7,535)######939 OTC–cleared####1,904####(1,877)######27######1,746####(1,704)######42 Total credit contracts####9,541####(9,103)######438######10,220####(9,239)######981 Foreign exchange contracts:############################## OTC####203,624####(187,295)######16,329######237,941####(216,796)######21,145 OTC–cleared####469####(459)######10######1,461####(1,417)######44 Exchange-traded(a)####6####(2)######4######15####(1)######14 Total foreign exchange contracts####204,099####(187,756)######16,343######239,417####(218,214)######21,203 Equity contracts:############################## OTC####25,001####(23,677)######1,324######30,323####(25,665)######4,658 Exchange-traded(a)####30,462####(29,084)######1,378######28,467####(27,109)######1,358 Total equity contracts####55,463####(52,761)######2,702######58,790####(52,774)######6,016 Commodity contracts:############################## OTC####8,049####(5,084)######2,965######14,430####(7,633)######6,797 OTC–cleared####133####(123)######10######120####(112)######8 Exchange-traded(a)####5,214####(5,190)######24######9,103####(8,745)######358 Total commodity contracts####13,396####(10,397)######2,999######23,653####(16,490)######7,163 Derivative receivables with appropriate legal opinion####531,221####(484,384)######46,837##(d)####630,361####(568,713)######61,648 Derivative receivables where an appropriate legal opinion has not been either sought or obtained####8,027##########8,027######9,232##########9,232 Total derivative receivables recognized on the Consolidated balance sheets##$##539,248########$##54,864####$##639,593########$##70,880 Collateral not nettable on the Consolidated balance sheets(b)(c)##############(22,461)################(23,014) Net amounts############$##32,403##############$##47,866


JPM 208 JPMorgan Chase & Co./2023 Form 10-K

##########2023##############2022###### 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#### U.S. GAAP nettable derivative payables############################## Interest rate contracts:############################## OTC##$##161,901##$##(152,467)####$##9,434####$##190,108##$##(176,890)####$##13,218 OTC–cleared####76,007####(75,729)######278######97,417####(97,126)######291 Exchange-traded(a)####436####(390)######46######327####(305)######22 Total interest rate contracts####238,344####(228,586)######9,758######287,852####(274,321)######13,531 Credit contracts:############################## OTC####10,332####(9,313)######1,019######8,054####(7,572)######482 OTC–cleared####1,639####(1,636)######3######1,674####(1,645)######29 Total credit contracts####11,971####(10,949)######1,022######9,728####(9,217)######511 Foreign exchange contracts:############################## OTC####209,386####(199,173)######10,213######246,457####(231,248)######15,209 OTC–cleared####552####(470)######82######1,488####(1,417)######71 Exchange-traded(a)####6####—######6######20####—######20 Total foreign exchange contracts####209,944####(199,643)######10,301######247,965####(232,665)######15,300 Equity contracts:############################## OTC####29,999####(27,360)######2,639######29,833####(26,554)######3,279 Exchange-traded(a)####33,137####(29,083)######4,054######28,291####(27,103)######1,188 Total equity contracts####63,136####(56,443)######6,693######58,124####(53,657)######4,467 Commodity contracts:############################## OTC####8,788####(5,192)######3,596######11,954####(7,642)######4,312 OTC–cleared####120####(120)######—######112####(112)######— Exchange-traded(a)####5,376####(5,192)######184######9,021####(8,758)######263 Total commodity contracts####14,284####(10,504)######3,780######21,087####(16,512)######4,575 Derivative payables with appropriate legal opinion####537,679####(506,125)######31,554##(d)####624,756####(586,372)######38,384 Derivative payables where an appropriate legal opinion has not been either sought or obtained####9,293##########9,293######12,757##########12,757 Total derivative payables recognized on the Consolidated balance sheets##$##546,972########$##40,847####$##637,513########$##51,141 Collateral not nettable on the Consolidated balance sheets(b)(c)##############(4,547)################(3,318) Net amounts############$##36,300##############$##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 $48.3 billion and $51.5 billion at December 31, 2023 and 2022, respectively. Net derivatives payable included cash collateral netted of $70.0 billion and $69.2 billion at December 31, 2023 and 2022, respectively. Derivative cash collateral relates to OTC and OTC-cleared derivative instruments.


JPM Liquidity risk and credit-related contingent features

In addition to the specific market risks introduced by each derivative contract type, derivatives expose JPMorgan Chase to credit risk — the risk that derivative counterparties may fail to meet their payment obligations under the derivative contracts and the collateral, if any, held by the Firm proves to be of insufficient value to cover the payment obligation. It is the policy of JPMorgan Chase to actively pursue, where possible, the use of legally enforceable master netting arrangements and collateral agreements to mitigate derivative counterparty credit risk inherent in derivative receivables.


While derivative receivables expose the Firm to credit risk, derivative payables expose the Firm to liquidity risk, as the derivative contracts typically require the Firm to post cash or securities collateral with counterparties as the fair value of the contracts moves in the counterparties’ favor or upon specified downgrades in the Firm’s and its subsidiaries’ respective credit ratings. Certain derivative contracts also provide for termination of the contract, generally upon a downgrade of either the Firm or the counterparty, at the fair value of the 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 December 31, 2023 and 2022. ######OTC and OTC-cleared derivative payables containing downgrade triggers#### (in millions)####December 31, 2023######December 31, 2022 Aggregate fair value of net derivative payables##$##14,655####$##16,023 Collateral posted####14,673######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 December 31, 2023 and 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######## ######December 31, 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)##$##75##$##1,153####$##128##$##1,293 Amount required to settle contracts with termination triggers upon downgrade(b)####93####592######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.


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 11, 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 December 31, 2023 and 2022.


JPM 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.


JPM 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, 2023, 2022 and 2021, respectively. The Firm includes gains/(losses) on the hedging derivative in the same line item in the Consolidated statements of income as the related hedged item. ########Gains/(losses) recorded in income##########Income statement impact of excluded components(e)######OCI impact Year ended December 31, 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)##$##1,554##$##(1,248)##$##306##$##—##$##157##$##— Foreign exchange(c)####722####(483)####239####(601)####239####(134) Commodity(d)####1,227####(706)####521####—####525####— Total##$##3,503##$##(2,437)##$##1,066##$##(601)##$##921##$##(134) ########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)


JPM Fair value hedge gains and losses

(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.


JPM Fair value hedge gains and losses

(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.


JPM Fair value hedge gains and losses

(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.


JPM Fair value hedge gains and losses

(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.


JPM Fair value hedge gains and losses

(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.


JPM Fair value hedge gains and losses

(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 December 31, 2023 and 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:#### 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 debt##$##195,455####$##(2,042)##$##(9,727)##$##(11,769) ####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)


(a)Excludes physical commodities with a carrying value of $5.6 billion and $26.0 billion at December 31, 2023 and 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 December 31, 2023 and 2022, the carrying amount excluded for AFS securities is $19.3 billion and $20.3 billion, respectively, and for long-term debt is zero and $221 million, respectively.


(c)Carrying amount represents the amortized cost, net of allowance if applicable. Effective January 1, 2023, the Firm adopted the portfolio layer method hedge accounting guidance. At December 31, 2023, the amortized cost of the portfolio layer method closed portfolios was $83.9 billion, of which $68.0 billion was designated as hedged. 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. The cumulative amount of basis adjustments was $(165) million, which is comprised of $73 million and $(238) 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.


JPM 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, 2023, 2022 and 2021, respectively. The Firm includes the gains/(losses) on the hedging derivative in the same line item in the Consolidated statements of income as the change in cash flows on the related hedged item. ########Derivatives gains/(losses) recorded in income and other comprehensive income/(loss)#### Year ended December 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)##$##(1,839)##$##274##$##2,113 Foreign exchange(b)####64####209####145 Total##$##(1,775)##$##483##$##2,258 ########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)


JPM Cash flow hedge gains and losses

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


JPM Cash flow hedge gains and losses

(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.


JPM Cash flow hedge gains and losses

The Firm did not experience any forecasted transactions that failed to occur for the years ended 2023, 2022 and 2021.


JPM Cash flow hedge gains and losses

Over the next 12 months, the Firm expects that approximately $(1.6) billion (after-tax) of net losses recorded in AOCI at December 31, 2023, 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 six 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.


JPM 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, 2023, 2022 and 2021. ####2023######2022######2021## 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##$384####$(1,732)##$(123)####$3,591##$(228)####$2,452


(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 year ended December 31, 2023, the Firm reclassified a net pre-tax loss of $(35) million to other revenue including the impact of the acquisition of CIFM. The Firm reclassified net pre-tax gains of $38 million to other income/expense related to the liquidation of certain legal entities during the year ended December 31, 2022. The amount reclassified for the year ended December 31, 2021 was not material. Refer to Note 24 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#### Year ended December 31, (in millions)####2023####2022####2021 Contract type############ Interest rate(a)##$##(135)##$##(827)##$##1,078 Credit(b)####(441)####51####(94) Foreign exchange(c)####(2)####(48)####94 Total##$##(578)##$##(824)##$##1,078


(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 6 for information on principal transactions revenue.


JPM Credit derivatives

Credit derivatives are financial instruments whose value is derived from the credit risk associated with the debt of a third-party issuer (the reference entity) and which allow one party (the protection purchaser) to transfer that risk to another party (the protection seller). Credit derivatives expose the protection purchaser to the creditworthiness of the protection seller, as the protection seller is required to make payments under the contract when the reference entity experiences a credit event, such as a bankruptcy, a failure to pay its obligation or a restructuring. The seller of credit protection receives a premium for providing protection but has the risk that the underlying instrument referenced in the contract will be subject to a credit event.


JPM Credit derivatives

The Firm is both a purchaser and seller of protection in the credit derivatives market and uses these derivatives for two primary purposes. First, in its capacity as a market-maker, the Firm actively manages a portfolio of credit derivatives by purchasing and selling credit protection, predominantly on corporate debt obligations, to meet the needs of customers. Second, as an end-user, the Firm uses credit derivatives to manage credit risk associated with lending exposures (loans and unfunded commitments) in its wholesale and consumer businesses and derivatives counterparty exposures in its wholesale businesses, and to manage the credit risk arising from certain financial instruments in the Firm’s market-making businesses. Following is a summary of various types of credit derivatives.


JPM Credit default swaps

Credit derivatives may reference the credit of either a single reference entity (“single-name”), broad-based index or portfolio. The Firm purchases and sells protection on both single- name and index-reference obligations. Single-name CDS and index CDS contracts are either OTC or OTC-cleared derivative contracts. Single-name CDS are used to manage the default risk of a single reference entity, while index CDS contracts are used to manage the credit risk associated with the broader credit markets or credit market segments. Like the S&P 500 and other market indices, a CDS index consists of a portfolio of CDS across many reference entities. New series of CDS indices are periodically established with a new underlying portfolio of reference entities to reflect changes in the credit markets. If one of the reference entities in the index experiences a credit event, then the reference entity that defaulted is removed from the index. CDS can also be referenced against specific portfolios of reference names or against customized exposure levels: for example, to provide protection against the first $1 million of realized credit losses in a $10 million portfolio of exposure. Such structures are commonly known as tranche CDS.


JPM Credit default swaps

For both single-name CDS contracts and index CDS contracts, upon the occurrence of a credit event, under the terms of a CDS contract neither party to the CDS contract has recourse to the reference entity. The protection purchaser has recourse to the protection seller for the difference between the face value of the CDS contract and the fair value of the reference obligation at settlement of the credit derivative contract, also known as the recovery value. The protection purchaser does not need to hold the debt instrument of the underlying reference entity in order to receive amounts due under the CDS contract when a credit event occurs.


JPM Credit-related notes

A credit-related note is a funded derivative with a credit risk component where the issuer of the credit-related note purchases from the note investor credit protection on a reference entity or an index. Under the contract, the investor pays the issuer the par value of the note at the inception of the transaction, and in return, the issuer makes periodic payments to the investor, based on the credit risk of the referenced entity. The issuer also repays the investor the par value of the note at maturity unless the reference entity (or one of the entities that makes up a reference index) experiences a specified credit event. If a credit event occurs, the issuer is not obligated to repay the par value of the note, but rather, the issuer pays the investor the difference between the par value of the note and the fair value of the defaulted reference obligation at the time of settlement. Neither party to the credit-related note has recourse to the defaulting reference entity.


JPM Credit-related notes

The following tables present a summary of the notional amounts of credit derivatives and credit-related notes the Firm sold and purchased as of December 31, 2023 and 2022. Upon a credit event, the Firm as a seller of protection would typically pay out a percentage of the full notional amount of net protection sold, as the amount actually required to be paid on the contracts takes into account the recovery value of the reference obligation at the time of settlement. The Firm manages the credit risk on contracts to sell protection by purchasing protection with identical or similar underlying reference entities. Other purchased protection referenced in the following tables includes credit derivatives bought on related, but not identical, reference positions (including indices, portfolio coverage and other reference points) as well as protection purchased by CIB through credit-related notes. Other purchased protection also includes credit protection against certain loans in the retained lending portfolio through the issuance of credit derivatives and credit-related notes.


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.


JPM Total

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


JPM Total

(b)Predominantly represents Other protection purchased by CIB.


JPM Total

(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.


JPM Total

(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.


JPM Total

(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.


JPM Total

The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives as of December 31, 2023 and 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################## December 31, 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##$##(89,981)##$##(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 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)


JPM Total

(a)The ratings scale is primarily based on external credit ratings defined by S&P and Moody’s.


JPM Total

(b)Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements including cash collateral netting.


JPM Noninterest revenue

The Firm records noninterest revenue from certain contracts with customers in investment banking fees, deposit-related fees, asset management fees, commissions and other fees, and components of card income. The related contracts are often terminable on demand and the Firm has no remaining obligation to deliver future services. For arrangements with a fixed term, the Firm may commit to deliver services in the future. Revenue associated with these remaining performance obligations typically depends on the occurrence of future events or underlying asset values, and is not recognized until the outcome of those events or values are known.


JPM Investment banking fees

This revenue category includes debt and equity underwriting and advisory fees. As an underwriter, the Firm helps clients raise capital via public offering and private placement of various types of debt and equity instruments. Underwriting fees are primarily based on the issuance price and quantity of the underlying instruments, and are recognized as revenue typically upon execution of the client’s transaction. The Firm also manages and syndicates loan arrangements. Credit arrangement and syndication fees, included within debt underwriting fees, are recorded as revenue after satisfying certain retention, timing and yield criteria.


JPM Investment banking fees

The Firm also provides advisory services, by assisting its clients with mergers and acquisitions, divestitures, restructuring and other complex transactions. Advisory fees are recognized as revenue typically upon execution of the client’s transaction.


JPM Investment banking fees

The following table presents the components of investment banking fees. Year ended December 31, (in millions)####2023####2022####2021 Underwriting############ Equity##$##1,149##$##975##$##3,969 Debt####2,610####2,732####4,853 Total underwriting####3,759####3,707####8,822 Advisory####2,760####2,979####4,394 Total investment banking fees##$##6,519##$##6,686##$##13,216


JPM Investment banking fees

Investment banking fees are earned primarily by CIB.


JPM Principal transactions

Principal transactions revenue is driven by many factors, including: •the bid-offer spread, which is the difference between the price at which a market participant is willing and able to sell an instrument to the Firm and the price at which another market participant is willing and able to buy it from the Firm, and vice versa; and •realized and unrealized gains and losses on financial instruments and commodities transactions, including those accounted for under the fair value option, primarily used in client-driven market-making activities.


JPM Principal transactions

–Realized gains and losses result from the sale of instruments, closing out or termination of transactions, or interim cash payments.


JPM Principal transactions

–Unrealized gains and losses result from changes in valuation.


JPM Principal transactions

In connection with its client-driven market-making activities, the Firm transacts in debt and equity instruments, derivatives and commodities, including physical commodities inventories and financial instruments that reference commodities.


JPM Principal transactions

Principal transactions revenue also includes realized and unrealized gains and losses related to: •derivatives designated in qualifying hedge accounting relationships, primarily fair value hedges of commodity and foreign exchange risk; •derivatives used for specific risk management purposes, primarily to mitigate credit, foreign exchange and interest rate risks.


JPM Principal transactions

Refer to Note 5 for further information on the income statement classification of gains and losses from derivatives activities.


JPM Principal transactions

In the financial commodity markets, the Firm transacts in OTC derivatives (e.g., swaps, forwards, options) and ETD that reference a wide range of underlying commodities. In the physical commodity markets, the Firm primarily purchases and sells precious and base metals and may hold other commodities inventories under financing and other arrangements with clients.


JPM Principal transactions

The following table presents all realized and unrealized gains and losses recorded in principal transactions revenue. This table excludes interest income and interest expense on trading assets and liabilities, which are an integral part of the overall performance of the Firm’s client-driven market-making activities in CIB and fund deployment activities in Treasury and CIO. Refer to Note 7 for further information on interest income and interest expense.


JPM Principal transactions

Trading revenue is presented primarily by instrument type. The Firm’s client-driven market-making businesses generally utilize a variety of instrument types in connection with their market-making and related risk-management activities; accordingly, the trading revenue presented in the table below is not representative of the total revenue of any individual LOB.


Year ended December 31, (in millions)####2023####2022######2021 Trading revenue by  instrument type############## Interest rate(a)##$##5,607##$##3,010####$##1,646 Credit(b)####1,434####1,412##(c)####2,691 Foreign exchange####5,082####5,119######2,787 Equity####10,229####8,068######7,773 Commodity####2,202####2,348######1,428 Total trading revenue####24,554####19,957######16,325 Private equity losses####(94)####(45)######(21) Principal transactions##$##24,460##$##19,912####$##16,304


(a)Includes the impact of changes in funding valuation adjustments on derivatives.


(b)Includes the impact of changes in credit valuation adjustments on derivatives, net of the associated hedging activities.


(c)Includes net markdowns on held-for-sale positions, primarily unfunded commitments, in the bridge financing portfolio.


Principal transactions revenue is earned primarily by CIB.


JPM Lending- and deposit-related fees

Lending-related fees include fees earned from loan commitments, standby letters of credit, financial guarantees, and other loan-servicing activities. Deposit-related fees include fees earned from performing cash management activities, and providing overdraft and other deposit account services. Lending- and deposit-related fees are recognized over the period in which the related service is provided. Refer to Note 28 for further information on lending-related commitments.


JPM Lending- and deposit-related fees

The following table presents the components of lending- and deposit-related fees. Year ended December 31, (in millions)####2023######2022####2021 Lending-related fees##$##2,365##(a)##$##1,468##$##1,472 Deposit-related fees####5,048######5,630####5,560 Total lending- and deposit-related fees##$##7,413####$##7,098##$##7,032


JPM Lending- and deposit-related fees

(a) Includes the amortization of the purchase discount on certain acquired lending-related commitments associated with First Republic, predominantly in AWM and CB. The discount is deferred in other liabilities and recognized on a straight-line basis over the commitment period and was largely recognized in the current year as the commitments are generally short term. Refer to Note 34 for additional information.


JPM Lending- and deposit-related fees

Lending- and deposit-related fees are earned by CCB, CIB, CB, and AWM.


JPM Asset management fees

Investment management fees include fees associated with assets the Firm manages on behalf of its clients, including investors in Firm-sponsored funds and owners of separately managed investment accounts. Management fees are typically based on the value of assets under management and are collected and recognized at the end of each period over which the management services are provided and the value of the managed assets is known. The Firm also receives performance-based management fees, which are earned based on exceeding certain benchmarks or other performance targets and are accrued and recognized when the probability of reversal is remote, typically at the end of the related billing period.


JPM Asset management fees

All other asset management fees include commissions earned on the sales or distribution of mutual funds to clients. These fees are recorded as revenue at the time the service is rendered or, in the case of certain distribution fees, based on the underlying fund’s asset value or investor redemption activity.


JPM Asset management fees

The following table presents the components of asset management fees. Year ended December 31, (in millions)####2023######2022####2021 Asset management fees############## Investment management fees##$##14,908##(a)##$##13,765##$##14,027 All other asset management fees####312######331####378 Total asset management fees##$##15,220####$##14,096##$##14,405


JPM Asset management fees

(a)Includes the impact of First Republic. Refer to Note 34 for additional information.


JPM Asset management fees

Asset management fees earned primarily by AWM and CCB.


JPM Commissions and other fees

This revenue category includes commissions and fees from brokerage and custody services, and other products.


JPM Commissions and other fees

Brokerage commissions represents commissions earned when the Firm acts as a broker, by facilitating its clients’ purchases and sales of securities and other financial instruments. Brokerage commissions are collected and recognized as revenue upon occurrence of the client transaction. The Firm reports certain costs paid to third-party clearing houses and exchanges net against commission revenue.


JPM Commissions and other fees

Administration fees predominantly include fees for custody, funds services, securities lending and securities clearance. These fees are recorded as revenue over the period in which the related service is provided.


JPM 218 JPMorgan Chase & Co./2023 Form 10-K

The following table presents the components of commissions and other fees. Year ended December 31, (in millions)####2023####2022####2021 Commissions and other fees############ Brokerage commissions##$##2,820##$##2,831##$##3,046 Administration fees####2,310####2,348####2,554 All other commissions and fees(a)####1,706####1,402####1,024 Total commissions and other fees##$##6,836##$##6,581##$##6,624


(a)Includes travel-related and annuity sales commissions, depositary receipt-related service fees, as well as other service fees, which are recognized as revenue when the services are rendered.


Commissions and other fees are earned primarily by CIB, CCB and AWM.


JPM Mortgage fees and related income

This revenue category reflects CCB’s Home Lending production and net mortgage servicing revenue.


JPM Mortgage fees and related income

Production revenue includes fees and income recognized as earned on mortgage loans originated with the intent to sell, and the impact of risk management activities associated with the mortgage pipeline and warehouse loans. Production revenue also includes gains and losses on sales and lower of cost or fair value adjustments on mortgage loans held-for-sale (excluding certain repurchased loans insured by U.S. government agencies), and changes in the fair value of financial instruments measured under the fair value option. Net mortgage servicing revenue includes operating revenue earned from servicing third-party mortgage loans, which is recognized over the period in which the service is provided; changes in the fair value of MSRs; the impact of risk management activities associated with MSRs; and gains and losses on securitization of excess mortgage servicing. Net mortgage servicing revenue also includes gains and losses on sales and lower of cost or fair value adjustments of certain repurchased loans insured by U.S. government agencies.


JPM Mortgage fees and related income

Refer to Note 15 for further information on risk management activities and MSRs.


JPM Mortgage fees and related income

Net interest income from mortgage loans is recorded in interest income.


JPM Card income

This revenue category includes interchange and other income from credit and debit card transactions; and fees earned from processing card transactions for merchants, both of which are recognized when purchases are made by a cardholder and presented net of certain transaction-related costs. Card income also includes account origination costs and annual fees, which are deferred and recognized on a straight-line basis over a 12-month period.


JPM Card income

Certain credit card products offer the cardholder the ability to earn points based on account activity, which the cardholder can choose to redeem for cash and non-cash rewards. The cost to the Firm related to these proprietary rewards programs varies based on multiple factors including the terms and conditions of the rewards


JPM Card income

programs, cardholder activity, cardholder reward redemption rates and cardholder reward selections. The Firm maintains a liability for its obligations under its rewards programs and reports the current-period cost as a reduction of card income.


JPM Credit card revenue sharing agreements

The Firm has contractual agreements with numerous co-brand partners that grant the Firm exclusive rights to issue co-branded credit card products and market them to the customers of such partners. These partners endorse the co-brand credit card programs and provide their customer or member lists to the Firm. The partners may also conduct marketing activities and provide rewards redeemable under their own loyalty programs that the Firm will grant to co-brand credit cardholders based on account activity. The terms of these agreements generally range from five to ten years.


The Firm typically makes payments to the co-brand credit card partners based on the cost of partners’ marketing activities and loyalty program rewards provided to credit cardholders, new account originations and sales volumes. Payments to partners based on marketing efforts undertaken by the partners are expensed by the Firm as incurred and reported as marketing expense. Payments for partner loyalty program rewards are reported as a reduction of card income when incurred. Payments to partners based on new credit card account originations are accounted for as direct loan origination costs and are deferred and recognized as a reduction of card income on a straight-line basis over a 12-month period. Payments to partners based on sales volumes are reported as a reduction of card income when the related interchange income is earned.


The following table presents the components of card income: Year ended December 31, (in millions)####2023####2022####2021 Interchange and merchant processing income##$##31,021##$##28,085##$##23,592 Reward costs and partner payments####(24,601)####(22,162)####(17,868) All other(a)####(1,636)####(1,503)####(622) Total card income##$##4,784##$##4,420##$##5,102


(a)Predominantly represents the amortization of account origination costs and annual fees, which are deferred and recognized on a straight-line basis over a 12-month period.


Card income is earned primarily by CCB, CIB and CB.


JPM Other income

This revenue category includes operating lease income, as well as losses associated with the Firm’s tax-oriented investments, predominantly alternative energy equity-method investments in CIB. The losses associated with these tax-oriented investments are more than offset by lower income tax expense from the associated tax credits.


JPM Other income

The following table presents certain components of other income: Year ended December 31, (in millions)####2023######2022####2021 Operating lease income##$##2,843####$##3,654##$##4,914 Losses on tax-oriented investments####(1,538)######(1,491)####(1,570) Estimated bargain purchase gain associated with the First Republic acquisition####2,775##(a)####—####— Gain related to the acquisition of CIFM####339##(b)####—####— Gain on sale of Visa B shares####—######914####—


JPM Other income

(a) Refer to Note 34 for additional information on the First Republic acquisition.


JPM Other income

(b) Gain on the original minority interest in CIFM upon the Firm's acquisition of the remaining 51% of the entity.


JPM Other income

Refer to Note 2 and 18 for additional information on Visa B shares and operating leases, respectively.


JPM Other expense

Other expense on the Firm’s Consolidated statements of income included: Year ended December 31, (in millions)####2023######2022####2021 Legal expense##$##1,436####$##266##$##426 FDIC-related expense####4,203##(a)####860####730 First Republic-related expense####1,060##(b)####—####


JPM Other expense

(a) Included the $2.9 billion FDIC special assessment.


JPM Other expense

(b) Included payments to the FDIC in the second quarter of 2023 with respect to First Republic individuals who were not employees of the Firm until July 2, 2023, as well as $360 million restructuring and integration costs. Refer to Note 34 for additional information on the First Republic acquisition.


JPM FDIC Special Assessment

In November 2023, the FDIC approved a final rule to implement a special assessment intended to recover losses to the Deposit Insurance Fund (“DIF”) arising from the protection of uninsured depositors resulting from the systemic risk determination made on March 12, 2023. The final rule imposed a special assessment at a quarterly rate of 3.36 basis points on insured depository institutions whose estimated uninsured deposits were over $5.0 billion as of December 31, 2022. In the fourth quarter of 2023, the Firm recognized the estimated special assessment expense of $2.9 billion (pre-tax).


JPM FDIC Special Assessment

Refer to Note 32 for additional information on noninterest revenue and expense by segment.


JPM Note 7 – Interest income and Interest expense

Interest income and interest expense are recorded in the Consolidated statements of income and classified based on the nature of the underlying asset or liability.


Interest income and interest expense includes the current-period interest accruals for financial instruments measured at fair value, except for derivatives and financial instruments containing embedded derivatives that would be separately accounted for in accordance with U.S. GAAP, absent the fair value option election; for those instruments, all changes in fair value including any interest elements, are primarily reported in principal transactions revenue. For financial instruments that are not measured at fair value, the related interest is included within interest income or interest expense, as applicable.


Interest income on loans and securities include the amortization and accretion of purchase premiums and discounts, as well as net deferred fees and costs on loans. These amounts are deferred in loans and investment securities, respectively, and recognized on a level-yield basis.


Refer to Notes 10, 11, 12, and 20 for further information on accounting for interest income and interest expense related to investment securities, securities financing activities (i.e., securities purchased or sold under resale or repurchase agreements; securities borrowed; and securities loaned), loans and long-term debt, respectively.


The following table presents the components of interest income and interest expense: Year ended December 31, (in millions)####2023######2022####2021 Interest income############## Loans##$##83,384##(e)##$##52,736##$##41,537 Taxable securities####17,390######10,372####6,460 Non-taxable securities(a)####1,336######975####1,063 Total investment securities####18,726##(e)####11,347####7,523 Trading assets - debt instruments####15,950######9,053####6,825 Federal funds sold and securities purchased under resale agreements####15,079######4,632####958 Securities borrowed(b)####7,983######2,237####(385) Deposits with banks####21,797######9,039####512 All other interest-earning assets(c)####7,669######3,763####894 Total interest income##$##170,588####$##92,807##$##57,864 Interest expense############## Interest bearing deposits##$##40,016####$##10,082##$##531 Federal funds purchased and securities loaned or sold under repurchase agreements####13,259######3,721####274 Short-term borrowings####1,894######747####126 Trading liabilities - debt and all other interest-bearing liabilities(d)####9,396######3,246####257 Long-term debt####15,803######8,075####4,282 Beneficial interest issued by consolidated VIEs####953######226####83 Total interest expense##$##81,321####$##26,097##$##5,553 Net interest income##$##89,267####$##66,710##$##52,311 Provision for credit losses####9,320######6,389####(9,256) Net interest income after provision for credit losses##$##79,947####$##60,321##$##61,567


(a)Represents securities that are tax-exempt for U.S. federal income tax purposes.


(b)Negative interest and rates reflect the net impact of interest earned offset by fees paid on client-driven prime brokerage securities borrowed transactions.


(c)Includes interest earned on brokerage-related held-for-investment customer receivables, which are classified in accrued interest and accounts receivable, and all other interest-earning assets, which are classified in other assets on the Consolidated balance sheets.


(d)All other interest-bearing liabilities includes interest expense on brokerage-related customer payables.


(e)Includes the accretion of the purchase discount on certain acquired loans and investment securities associated with First Republic. Refer to Note 34 for additional information.


JPM employee benefit plans

The Firm has various defined benefit pension plans and OPEB plans that provide benefits to its employees in the U.S. and certain non-U.S. locations. Substantially all the defined benefit pension plans are closed to new participants. The principal defined benefit pension plan in the U.S., which covered substantially all U.S. employees, was closed to new participants and frozen for existing participants on January 1, 2020, (and January 1, 2019 for new hires on or after December 2, 2017). Interest credits continue to accrue to participants’ accounts based on their accumulated balances.


JPM employee benefit plans

The Firm maintains funded and unfunded postretirement benefit plans that provide medical and life insurance for certain eligible employees and retirees as well as their


JPM employee benefit plans

dependents covered under these programs. None of these plans have a material impact on the Firm’s Consolidated Financial Statements.


JPM employee benefit plans

The Firm also provides a qualified defined contribution plan in the U.S. and maintains other similar arrangements in certain non-U.S. locations. The most significant of these plans is the JPMorgan Chase 401(k) Savings Plan (“the 401(k) Savings Plan”), which covers substantially all U.S. employees. Employees can contribute to the 401(k) Savings Plan on a pretax and/or Roth 401(k) after-tax basis. The Firm makes annual matching and pay credit contributions to the 401(k) Savings Plan on behalf of eligible participants.


JPM employee benefit plans

The following table presents the pretax benefit obligations, plan assets, the net funded status, and the amounts recorded in AOCI on the Consolidated balance sheets for the Firm’s significant defined benefit pension and OPEB plans. As of or for the year ended December 31,######Defined benefit pension and OPEB plans#### (in millions)####2023######2022 Projected benefit obligations##$##(14,740)####$##(13,545) Fair value of plan assets####22,013######19,890 Net funded status####7,273######6,345 Accumulated other comprehensive income/(loss)####(1,517)######(1,916)


JPM employee benefit plans

The weighted-average discount rate used to value the benefit obligations as of December 31, 2023 and 2022, was 5.16% and 5.14%, respectively.