JPM · 10-Q · 2026Q2 · Full report
Credit Derivatives Activity
JPMORGAN CHASE & CO · 2026-08-06 · Importance 54 · Surprise 40 · No source text
As of June 30, 2026, JPMorgan had sold $717.0 billion of credit protection and purchased $812.3 billion under credit derivatives, producing net purchased protection of $95.3 billion, plus $36.0 billion of other protection purchased through credit derivatives and credit-related notes. Total protection sold increased from $628.1 billion at December 31, 2025, while credit-default-swap protection sold rose to $569.6 billion from $503.5 billion. Protection sold on noninvestment-grade reference entities totaled $149.6 billion, including $109.5 billion with maturities of one to five years, compared with $139.1 billion at year-end 2025. The fair value of receivables on protection sold was $9.2 billion and payables were $3.1 billion at June 30, 2026, for net positive fair value of $6.0 billion.
Key facts
- Total notional amount of protection sold for credit default swaps: $(569,598) million at June 30, 2026 and $(503,480) million at December 31, 2025. source
- Net protection (sold)/purchased for total credit derivatives: $95,287 million at June 30, 2026 and $108,400 million at December 31, 2025. source
- Total notional amount of protection purchased for credit default swaps: $594,677 million at June 30, 2026 and $549,440 million at December 31, 2025. source
- Total notional amount of credit derivatives and credit-related notes used in credit portfolio management activities was $33,184 million at June 30 and $23,898 million at December 31 (periods shown). source
- Total credit derivatives protection sold notional by maturity: <1 year $(223,470) million; 1–5 years $(455,194) million; >5 years $(38,344) million; total $(717,008) million at June 30, 2026. source
- Notional amount of credit derivatives and credit-related notes used to manage loans and lending-related commitments was $14,288 million at June 30 and $9,899 million at December 31 (periods shown). source
- Notional amount of credit derivatives and credit-related notes used to manage derivative receivables was $18,896 million at June 30 and $13,999 million at December 31 (periods shown). source
- Total credit-related notes reported: $14,940 million at June 30, 2026 and $13,162 million at December 31, 2025. source
Impact estimates
| metric | direction | stage | expected | basis |
|---|---|---|---|---|
| liability | negative | contingent | -2.1% | Total credit derivatives protection sold notional by maturity: <1 year $(223,470) million; 1–5 years $(455,194) million; >5 years… |
| liability | negative | realized | -1.3% | Total notional amount of protection sold for credit default swaps: $(569,598) million at June 30, 2026 and $(503,480) million at December… |
| liability | negative | realized | -0.3% | Net protection (sold)/purchased for total credit derivatives: $95,287 million at June 30, 2026 and $108,400 million at December 31, 2025. |