JPM · 10-Q · 2026Q2 · Full report

Interest Rate and Refinancing Exposure

JPMORGAN CHASE & CO · 2026-08-06 · Importance 55 · Surprise 32

JPMorgan’s interest-rate hedges primarily cover SOFR benchmark risk in fixed-rate long-term debt and available-for-sale securities, while cash-flow hedges cover SOFR- and Prime-indexed floating-rate assets. At June 30, 2026, the investment-securities portfolio totaled $786.4 billion at fair value, including $22.3 billion of gross unrealized losses, compared with $20.4 billion at December 31, 2025. The Firm expects approximately $1.7 billion after tax of net cash-flow-hedge losses recorded in AOCI to be recognized in income over the next 12 months, with recognition for terminated and open hedges extending up to approximately ten years. Fair-value hedge basis adjustments included a $10.7 billion cumulative reduction to long-term debt carrying amounts at June 30, 2026, affecting future net interest income.