JPM · 10-Q · 2026Q2 · Full report

Cash Flow Hedge Losses

JPMORGAN CHASE & CO · 2026-08-06 · Importance 57 · Surprise 64

Cash flow hedges produced a $2.443 billion reduction in accumulated other comprehensive income during the first six months of 2026, compared with a $4.222 billion increase in the first six months of 2025. Interest-rate hedges accounted for a $3.122 billion loss recorded in OCI during the 2026 six-month period, primarily relating to SOFR- and Prime-indexed floating-rate assets. The Firm expects approximately $1.7 billion after tax of net losses recorded in AOCI at June 30, 2026 to be recognized in income over the next 12 months. Recognition of results for terminated cash flow hedges may extend for approximately ten years.

Key facts

• 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 ten years. source
• For open cash flow hedges, the maximum length of time over which forecasted transactions are hedged is approximately ten years. source
• Cash flow hedges — six months ended June 30, 2026: Amounts recorded in OCI for interest rate cash flow hedges: $(3,122) million; Total change in OCI for period: $(3,275) million; Total change in OCI for period (Total): $(2,443) million. source
• Cash flow hedges — three months ended June 30, 2026: Amounts recorded in OCI for interest rate cash flow hedges: $(1,805) million; Total change in OCI for period: $(1,716) million; Total change in OCI for period (Total): $(1,253) million. source