Variable Interest Entities

3 Months Ended

Mar. 31, 2012

Variable Interest Entities [Abstract]

VARIABLE INTEREST ENTITIES

Variable interest entities

For a further description of JPMorgan Chase’s accounting policies regarding consolidation of variable interest entities (“VIEs”), see Note 1 on pages 182–183 of JPMorgan Chase’s 2011 Annual Report.

The following table summarizes the most significant types of Firm-sponsored VIEs by business segment.

Line-of-Business	Transaction Type	Activity	Form 10-Q page reference
Card	Credit card securitization trusts	Securitization of both originated and purchased credit card receivables	137
	Other securitization trusts	Securitization of originated automobile and student loans	137–139
RFS	Mortgage securitization trusts	Securitization of originated and purchased residential mortgages	137–139
IB	Mortgage and other securitization trusts	Securitization of both originated and purchased residential and commercial mortgages, automobile and student loans	137–139
	Multi-seller conduits Investor intermediation activities:	Assist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs	139
	Municipal bond vehicles		139–140
	Credit-related note and asset swap vehicles		140

The Firm also invests in and provides financing and other services to VIEs sponsored by third parties, as described on page 140 of this Note and Note 16 on page 263 of JPMorgan Chase’s 2011 Annual Report.

Significant Firm-sponsored variable interest entities

Credit card securitizations

For a more detailed discussion of JPMorgan Chase’s involvement with credit card securitizations, see Note 16 on page 257 of JPMorgan Chase's 2011 Annual Report.

As a result of the Firm’s continuing involvement, the Firm is considered to be the primary beneficiary of its Firm-sponsored credit card securitization trusts. This includes the Firm’s primary card securitization trust, Chase Issuance Trust. See table on page 141 of this Note for further information on consolidated VIE assets and liabilities.

Firm-sponsored mortgage and other securitization trusts

The Firm securitizes (or has securitized) originated and purchased residential mortgages, commercial mortgages and other consumer loans (including automobile and student loans) primarily in its IB and RFS business. Depending on the particular transaction, as well as the respective business involved, the Firm may act as the servicer of the loans and/or retain certain beneficial interest in the securitization trusts.

For a detailed discussion of the Firm’s involvement with Firm-sponsored mortgage and other securitization trusts, as well as the accounting treatment relating to such trusts, see Note 16 on pages 257–259 of JPMorgan Chase's 2011 Annual Report.

The following table presents the total unpaid principal amount of assets held in Firm-sponsored securitization entities, including those in which the Firm has continuing involvement and those that are consolidated by the Firm. Continuing involvement includes servicing the loans; holding senior interests or subordinated interests; recourse or guarantee arrangements; and derivative transactions. In certain instances, the Firm’s only continuing involvement is servicing the loans. See Securitization activity on pages 141–142 of this Note for further information regarding the Firm’s cash flows with and interests retained in nonconsolidated VIEs.

	Principal amount outstanding						JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(d)(e)(f)
March 31, 2012(a) (in billions)	Total assets held by securitization VIEs		Assets held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvement		Trading assets		AFS securities		Total interests held by JPMorgan Chase
Securitization-related
Residential mortgage:
Prime(b)	$	125.3	$	2.5	$	98.7	$	0.6	$	—	$	0.6
Subprime	36.9		1.3		33.5		—		—		—
Option ARMs	30.0		0.3		29.8		—		—		—
Commercial and other(c)	134.8		—		92.5		1.3		2.0		3.3
Student	4.1		4.1		—		—		—		—
Total	$	331.1	$	8.2	$	254.5	$	1.9	$	2.0	$	3.9

	Principal amount outstanding						JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(d)(e)(f)
December 31, 2011(a) (in billions)	Total assets held by securitization VIEs		Assets held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvement		Trading assets		AFS securities		Total interests held by JPMorgan Chase
Securitization-related
Residential mortgage:
Prime(b)	$	129.9	$	2.7	$	101.0	$	0.6	$	—	$	0.6
Subprime	39.4		1.4		35.8		—		—		—
Option ARMs	31.4		0.3		31.1		—		—		—
Commercial and other(c)	139.3		—		93.3		1.7		2.0		3.7
Student	4.1		4.1		—		—		—		—
Total	$	344.1	$	8.5	$	261.2	$	2.3	$	2.0	$	4.3

(a) Excludes U.S. government agency securitizations. See page 140 of this Note for information on the Firm’s loan sales to U.S. government agencies.

(b) Includes Alt-A loans.

(c) Consists of securities backed by commercial loans (predominantly real estate) and non-mortgage-related consumer receivables purchased from third parties. The Firm generally does not retain a residual interest in its sponsored commercial mortgage securitization transactions.

(d) The table above excludes the following: retained servicing (see Note 16 on pages 144–146 of this Form 10-Q for a discussion of MSRs); securities retained from loans sales to U.S. government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities (See Note 5 on pages 103–109 of this Form 10-Q for further information on derivatives); senior and subordinated securities of $278 million and $48 million, respectively, at March 31, 2012, and $110 million and $8 million, respectively, at December 31, 2011, which the Firm purchased in connection with IB’s secondary market-making activities.

(e) Includes interests held in re-securitization transactions.

(f) As of March 31, 2012, and December 31, 2011, 72% and 68%, respectively, of the Firm’s retained securitization interests, which are carried at fair value, were risk-rated “A” or better, on an S&P-equivalent basis. The retained interests in prime residential mortgages consisted of $134 million and $136 million of investment-grade and $444 million and $427 million of noninvestment-grade retained interests at March 31, 2012, and December 31, 2011, respectively. The retained interests in commercial and other securitizations trusts consisted of $3.2 billion and $3.4 billion of investment-grade and $138 million and $283 million of noninvestment-grade retained interests at March 31, 2012, and December 31, 2011, respectively.

Residential mortgages

For a more detailed description of the Firm’s involvement with residential mortgage securitizations, see Note 16 on page 259 of JPMorgan Chase's 2011 Annual Report.

At March 31, 2012, and December 31, 2011, the Firm did not consolidate the assets of certain Firm-sponsored residential mortgage securitization VIEs, in which the Firm had continuing involvement, primarily due to the fact that the Firm did not hold an interest in these trusts that could potentially be significant to the trusts. See the table on page 141 of this Note for more information on the consolidated residential mortgage securitizations, and the table on the previous page of this Note for further information on interests held in nonconsolidated residential mortgage securitizations.

Commercial mortgages and other consumer securitizations

IB originates and securitizes commercial mortgage loans, and engages in underwriting and trading activities involving the securities issued by securitization trusts. For a more detailed description of the Firm’s involvement with commercial mortgage and other consumer securitizations, see Note 16 on page 259 of JPMorgan Chase’s 2011 Annual Report. See the table on the previous page of this Note for more information on the consolidated commercial mortgage securitizations, and the table on the previous page of this Note for further information on interests held in nonconsolidated securitizations.

Re-securitizations

For a more detailed description of JPMorgan Chase's

participation in re-securitization transactions, see Note 16 on pages 259–260 of JPMorgan Chase's 2011 Annual Report.

During the three months ended March 31, 2012 and 2011, the Firm transferred $2.9 billion and $8.8 billion, respectively, of securities to agency VIEs, and $241 million and $192 million, respectively, of securities to private-label VIEs.

As of March 31, 2012, and December 31, 2011, the Firm did not consolidate any agency re-securitizations. As of March 31, 2012, and December 31, 2011, the Firm consolidated $152 million and $348 million, respectively, of assets, and $4 million and $139 million, respectively, of liabilities of private-label re-securitizations. See the table on page 139 of this Note for more information on the consolidated re-securitization transactions.

As of March 31, 2012, and December 31, 2011, total assets of nonconsolidated Firm-sponsored private-label re-securitization entities were $3.7 billion and $3.3 billion, respectively. At March 31, 2012, and December 31, 2011, the Firm held approximately $2.8 billion and $3.6 billion, respectively, of interests in nonconsolidated agency re-securitization entities, and $7 million and $14 million, respectively, of senior and subordinated interests in nonconsolidated private-label re-securitization entities. See the table on page 138 of this Note for further information on interests held in nonconsolidated securitizations.

Multi-seller conduits

For a more detailed description of JPMorgan Chase’s principal involvement with Firm-administered multi-seller conduits, see Note 16 on page 260 of JPMorgan Chase's 2011 Annual Report.

In the normal course of business, JPMorgan Chase trades and invests in commercial paper, including commercial paper issued by the Firm-administered multi-seller conduits. The Firm held $9.8 billion and $11.3 billion of the commercial paper issued by the Firm-administered multi-seller conduits at March 31, 2012, and December 31, 2011, which was eliminated in consolidation. The Firm’s investments were not driven by market illiquidity and the Firm is not obligated under any agreement to purchase the commercial paper issued by the Firm-administered multi-seller conduits.

Deal-specific liquidity facilities, program-wide liquidity and credit enhancement provided by the Firm have been eliminated in consolidation. The Firm provides lending-related commitments to certain clients of the Firm-administered multi-seller conduits. The unfunded portion of these commitments was $12.1 billion and $10.8 billion at March 31, 2012, and December 31, 2011, respectively, which are reported as off-balance sheet lending-related commitments. For more information on off-balance sheet lending-related commitments, see Note 21 on pages 150–154 of this Form 10-Q.

VIEs associated with investor intermediation activities

Municipal bond vehicles

For a more detailed description of JPMorgan Chase’s principal involvement with municipal bond vehicles, see Note 16 on pages 260–261 of JPMorgan Chase's 2011 Annual Report.

The Firm’s exposure to nonconsolidated municipal bond VIEs at March 31, 2012, and December 31, 2011, including the ratings profile of the VIEs’ assets, was as follows.

(in billions)	Fair value of assets held by VIEs		Liquidity facilities		Excess/(deficit)(a)		Maximum exposure
Nonconsolidated municipal bond vehicles
March 31, 2012	$	13.8	$	7.9	$	5.9	$	7.9
December 31, 2011	13.5		7.9		5.6		7.9

	Ratings profile of VIE assets(b)										Fair value of assets held by VIEs		Wt. avg. expected life of assets (years)
	Investment-grade								Noninvestment- grade
(in billions, except where otherwise noted)	AAA to AAA-		AA+ to AA-		A+ to A-		BBB+ to BBB-		BB+ and below
March 31, 2012	$	1.5	$	11.5	$	0.7	$	—	$	0.1	$	13.8	6.3
December 31, 2011	1.5		11.2		0.7		—		0.1		13.5		6.6

(a) Represents the excess/(deficit) of the fair values of municipal bond assets available to repay the liquidity facilities, if drawn.

(b) The ratings scale is based on the Firm’s internal risk ratings and is presented on an S&P-equivalent basis.

Credit-related note and asset swap vehicles

For a more detailed description of JPMorgan Chase’s principal involvement with credit-related note and asset swap vehicles, see Note 16 on pages 261–263 of JPMorgan Chase's 2011 Annual Report.

Exposure to nonconsolidated credit-related note and asset swap VIEs at March 31, 2012, and December 31, 2011, was as follows.

March 31, 2012 (in billions)	Net derivative receivables		Trading assets(a)		Total exposure(b)		Par value of collateral held by VIEs(c)
Credit-related notes
Static structure	$	0.6	$	—	$	0.6	$	7.6
Managed structure	2.0		0.1		2.1		7.4
Total credit-related notes	2.6		0.1		2.7		15.0
Asset swaps	0.6		—		0.6		8.4
Total	$	3.2	$	0.1	$	3.3	$	23.4
December 31, 2011 (in billions)	Net derivative receivables		Trading assets(a)		Total exposure(b)		Par value of collateral held by VIEs(c)
Credit-related notes
Static structure	$	1.0	$	—	$	1.0	$	9.1
Managed structure	2.7		—		2.7		7.7
Total credit-related notes	3.7		—		3.7		16.8
Asset swaps	0.6		—		0.6		8.6
Total	$	4.3	$	—	$	4.3	$	25.4

(a) Trading assets principally comprise notes issued by VIEs, which from time to time are held as part of the termination of a deal or to support limited market-making.

(b) On–balance sheet exposure that includes net derivative receivables and trading assets – debt and equity instruments.

(c) The Firm’s maximum exposure arises through the derivatives executed with the VIEs; the exposure varies over time with changes in the fair value of the derivatives. The Firm relies on the collateral held by the VIEs to pay any amounts due under the derivatives; the vehicles are structured at inception so that the par value of the collateral is expected to be sufficient to pay amounts due under the derivative contracts.

The Firm consolidated credit-related note vehicles with collateral fair values of $400 million and $231 million, at March 31, 2012, and December 31, 2011, respectively. These consolidated VIEs included some that were structured by the Firm, where the Firm provides the credit derivative, and some that have been structured by third parties where the Firm is not the credit derivative provider. The Firm consolidated these vehicles, because it held positions in these entities that provided the Firm with control of certain vehicles. The Firm did not consolidate any asset swap vehicles at March 31, 2012, and December 31, 2011. 

VIEs sponsored by third parties

The Firm also invests in and provides financing and other services to VIEs sponsored by third parties, as described on page 263 of JPMorgan Chase's 2011 Annual Report.

Investment in a third-party credit card securitization trust

The Firm holds an interest in a third-party-sponsored VIE, which is a credit card securitization trust that owns credit card receivables issued by a national retailer. The interest is classified as a loan and has a fair value of approximately $1.5 billion and $1.0 billion at March 31, 2012, and December 31, 2011, respectively. The Firm is not the primary beneficiary of the trust as the Firm does not have the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance. As of December 31, 2011, the Firm also had an interest in the VIE that was classified as AFS securities that had a fair value of $2.9 billion. This interest was repurchased by the national retailer on January 26, 2012; at the time of repurchase, the Firm recognized in income $85 million of securities gains previously recorded as unrealized gains in OCI. For more information on AFS securities and loans, see Notes 11 and 13 on pages 113–117 and 118–135, respectively, of this Form 10-Q.

Consolidated VIE assets and liabilities

The following table presents information on assets and liabilities related to VIEs consolidated by the Firm as of March 31, 2012, and December 31, 2011.

	Assets								Liabilities
March 31, 2012 (in billions)	Trading assets – debt and equity instruments		Loans		Other(c)		Total assets(d)		Beneficial interests in VIE assets(e)		Other(f)		Total liabilities
VIE program type
Firm-sponsored credit card trusts	$	—	$	47.2	$	0.8	$	48.0	$	32.5	$	—	$	32.5
Firm-administered multi-seller conduits	—		27.5		0.2		27.7		17.8		—		17.8
Municipal bond vehicles	12.3		—		0.2		12.5		12.3		—		12.3
Mortgage securitization entities(a)	1.2		2.2		—		3.4		2.1		1.3		3.4
Other(b)	1.3		4.1		1.1		6.5		3.0		0.2		3.2
Total	$	14.8	$	81.0	$	2.3	$	98.1	$	67.7	$	1.5	$	69.2
	Assets								Liabilities
December 31, 2011 (in billions)	Trading assets – debt and equity instruments		Loans		Other(c)		Total assets(d)		Beneficial interests in VIE assets(e)		Other(f)		Total liabilities
VIE program type
Firm-sponsored credit card trusts	$	—	$	50.7	$	0.8	$	51.5	$	32.5	$	—	$	32.5
Firm-administered multi-seller conduits	—		29.7		0.2		29.9		18.7		—		18.7
Municipal bond vehicles	9.2		—		0.1		9.3		9.2		—		9.2
Mortgage securitization entities(a)	1.4		2.3		—		3.7		2.3		1.3		3.6
Other(b)	1.5		4.1		1.5		7.1		3.3		0.2		3.5
Total	$	12.1	$	86.8	$	2.6	$	101.5	$	66.0	$	1.5	$	67.5

(a) Includes residential and commercial mortgage securitizations as well as re-securitizations.

(b) Primarily comprises student loan securitization entities. The Firm consolidated $4.1 billion and $4.1 billion of student loan securitization entities as of March 31, 2012, and December 31, 2011, respectively.

(c) Includes assets classified as cash, derivative receivables, AFS securities, and other assets within the Consolidated Balance Sheets.

(d) The assets of the consolidated VIEs included in the program types above are used to settle the liabilities of those entities. The difference between total assets and total liabilities recognized for consolidated VIEs represents the Firm’s interest in the consolidated VIEs for each program type.

(e) The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated Balance Sheets titled, “Beneficial interests issued by consolidated variable interest entities.” The holders of these beneficial interests do not have recourse to the general credit of JPMorgan Chase. Included in beneficial interests in VIE assets are long-term beneficial interests of $37.7 billion and $39.7 billion at March 31, 2012, and December 31, 2011, respectively. The maturities of the long-term beneficial interests as of March 31, 2012, were as follows: $17.3 billion under one year, $14.9 billion between one and five years, and $5.5 billion over five years.

(f) Includes liabilities classified as accounts payable and other liabilities on the Consolidated Balance Sheets.

Supplemental information on loan securitizations

The Firm securitizes and sells a variety of loans, including residential mortgage, credit card, automobile, student and commercial (primarily related to real estate) loans, as well as debt securities. The primary purposes of these securitization transactions are to satisfy investor demand and to generate liquidity for the Firm.

Securitization activity

The following tables provide information related to the Firm’s securitization activities for the three months ended March 31, 2012 and 2011, related to assets held in JPMorgan Chase-sponsored securitization entities that were not consolidated by the Firm, and sale accounting was achieved based on the accounting rules in effect at the time of the securitization.

	Three months ended March 31,
	2012				2011
(in millions, except rates)	Residential mortgage(c)(d)		Commercial and other(e)		Residential mortgage(c)(d)		Commercial and other(e)
Principal securitized	$	—	$	—	$	—	$	1,493
All cash flows during the period:
Proceeds from new securitizations(a)	$	—	$	—	$	—	$	1,558
Servicing fees collected	180		1		226		1
Purchases of previously transferred financial assets (or the underlying collateral)(b)	59		—		391		—
Cash flows received on the interests that continue to be held by the Firm	52		43		67		47

(a) Proceeds from commercial mortgage securitizations were received in the form of securities. For the three months ended March 31, 2011, $1.3 billion and $217 million of commercial mortgage securitizations were classified in levels 2 and 3 of the fair value hierarchy, respectively.

(b) Includes cash paid by the Firm to reacquire assets from off–balance sheet, nonconsolidated entities – for example, loan repurchases due to representation and warranties and servicer clean-up calls.

(c) Includes prime, Alt-A, subprime, option ARMs, and re-securitizations. Excludes sales for which the Firm did not securitize the loan (including loans sold to Ginnie Mae, Fannie Mae and Freddie Mac).

(d) There were no residential mortgage securitizations during the three months ended March 31, 2012 and 2011.

(e) Includes commercial and student loan securitizations. There were no commercial and other securitizations during the three months ended March 31, 2012.

Loans sold to agencies and other third-party-sponsored securitization entities

In addition to the amounts reported in the securitization activity tables above, the Firm, in the normal course of business, sells originated and purchased mortgage loans on a nonrecourse basis, predominantly to Ginnie Mae, Fannie Mae and Freddie Mac (the “Agencies”). These loans are sold primarily for the purpose of securitization by the Agencies, which also provide credit enhancement of the loans through certain guarantee provisions. The Firm does not consolidate these securitization vehicles as it is not the primary beneficiary. For a limited number of loan sales, the Firm is obligated to share a portion of the credit risk associated with the sold loans with the purchaser. See Note 21 on pages 150–154 of this Form 10-Q for additional information about the Firm’s loans sales- and securitization-related indemnifications.

The following table summarizes the activities related to loans sold to U.S. government-sponsored agencies and third-party-sponsored securitization entities.

	Three months ended March 31,
(in millions)	2012		2011
Carrying value of loans sold(a)(b)	$	39,959	$	39,247
Proceeds received from loan sales as cash	548		340
Proceeds from loans sales as securities(c)	38,874		38,172
Total proceeds received from loan sales	$	39,422	$	38,512
Gains on loan sales	35		22

(a) Predominantly to U.S. government agencies.

(b) MSRs were excluded from the above table. See Note 16 on pages 144–146 of this Form 10-Q for further information on originated MSRs.

(c) Predominantly includes securities from U.S. government agencies that are generally sold shortly after receipt.

Options to repurchase delinquent loans

In addition to the Firm’s obligation to repurchase certain loans due to material breaches of representations and warranties as discussed in Note 21 on pages 150–154 of this Form 10-Q, the Firm also has the option to repurchase delinquent loans that it services for Ginnie Mae, as well as for other U.S. government agencies in certain arrangements. The Firm typically elects to repurchase delinquent loans from Ginnie Mae as it continues to service them and/or manage the foreclosure process in accordance with the applicable requirements, and such loans continue to be insured or guaranteed. When the Firm’s repurchase option becomes exercisable, such loans must be reported on the Consolidated Balance Sheets as a loan with a corresponding liability. As of March 31, 2012, and December 31, 2011, the Firm had recorded on its Consolidated Balance Sheets $15.9 billion and $15.7 billion, respectively, of loans that either had been repurchased or for which the Firm had an option to repurchase. Predominately all of the amounts presented above relate to loans that have been repurchased from Ginnie Mae. Additionally, real estate owned resulting from voluntary repurchases of loans was $1.2 billion and $1.0 billion as of March 31, 2012, and December 31, 2011, respectively. Substantially all of these loans and real estate owned are insured or guaranteed by U.S. government agencies, and where applicable, reimbursement is proceeding normally. For additional information, refer to Note 13 on pages 118–135 of this Form 10-Q and Note 14 on pages 231–252 of JPMorgan Chase's 2011 Annual Report.

JPMorgan Chase’s interest in securitized assets held at fair value

The following table outlines the key economic assumptions used to determine the fair value, as of March 31, 2012, and December 31, 2011, of certain of the Firm’s retained interests in nonconsolidated VIEs (other than MSRs), that are valued using modeling techniques. The table also outlines the sensitivities of those fair values to immediate 10% and 20% adverse changes in assumptions used to determine fair value. For a discussion of MSRs, see Note 16 on pages 144–146 of this Form 10-Q.

	Commercial and other
(in millions, except rates and where otherwise noted)	March 31, 2012			December 31, 2011
JPMorgan Chase interests in securitized assets(a)(b)	$	3,311		$	3,663
Weighted-average life (in years)	2.8			3.0
Weighted-average constant prepayment rate(c)	—		%	—		%
	CPR			CPR
Impact of 10% adverse change	$	—		$	—
Impact of 20% adverse change	—			—
Weighted-average loss assumption	—		%	0.2		%
Impact of 10% adverse change	$	(20	)	$	(61	)
Impact of 20% adverse change	(36		)	(119		)
Weighted-average discount rate	16.0		%	28.2		%
Impact of 10% adverse change	$	(38	)	$	(75	)
Impact of 20% adverse change	(68		)	(136		)

(a) The Firm’s interests in prime mortgage securitizations were $578 million and $555 million, as of March 31, 2012, and December 31, 2011, respectively. These include retained interests in Alt-A loans and re-securitization transactions. The Firm’s interests in subprime mortgage securitizations were $28 million and $31 million, as of March 31, 2012, and December 31, 2011, respectively. Additionally, the Firm had interests in option ARM mortgage securitizations of $23 million and $23 million at March 31, 2012, and December 31, 2011, respectively.

(b) Includes certain investments acquired in the secondary market but predominantly held for investment purposes.

(c) CPR: constant prepayment rate. 

The sensitivity analysis in the preceding table is hypothetical. Changes in fair value based on a 10% or 20% variation in assumptions generally cannot be extrapolated easily, because the relationship of the change in the assumptions to the change in fair value may not be linear. Also, in the table, the effect that a change in a particular assumption may have on the fair value is calculated without changing any other assumption. In reality, changes in one factor may result in changes in another, which might counteract or magnify the sensitivities. The above sensitivities also do not reflect risk management practices the Firm may undertake to mitigate such risks.

Loan delinquencies and liquidation losses

The table below includes information about components of nonconsolidated securitized financial assets, in which the Firm has continuing involvement, and delinquencies as of March 31, 2012, and December 31, 2011, respectively; and liquidation losses for the three months ended March 31, 2012 and 2011, respectively.

									Liquidation losses
	Securitized assets				90 days past due				Three months ended March 31,
(in millions)	March 31, 2012		December 31, 2011		March 31, 2012		December 31, 2011		2012		2011
Securitized loans(a)
Residential mortgage:
Prime mortgage(b)	$	98,743	$	101,004	$	22,263	$	24,285	$	1,699	$	1,490
Subprime mortgage	33,444		35,755		12,848		14,293		801		1,000
Option ARMs	29,775		31,075		8,197		9,999		616		443
Commercial and other	92,529		93,336		4,262		4,836		229		204
Total loans securitized(c)	$	254,491	$	261,170	$	47,570	$	53,413	$	3,345	$	3,137

(a) Total assets held in securitization-related SPEs were $331.1 billion and $344.1 billion, respectively, at March 31, 2012, and December 31, 2011. The $254.5 billion and $261.2 billion, respectively, of loans securitized at March 31, 2012, and December 31, 2011, excludes: $68.4 billion and $74.4 billion, respectively, of securitized loans in which the Firm has no continuing involvement, and $8.2 billion and $8.5 billion, respectively, of loan securitizations consolidated on the Firm’s Consolidated Balance Sheets at March 31, 2012, and December 31, 2011.

(b) Includes Alt-A loans.

(c) Includes securitized loans that were previously recorded at fair value and classified as trading assets.