Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2012

Variable Interest Entities (Tables) [Abstract]

Firm-sponsored mortgage and other consumer securitization trusts [Table Text Block]

	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.

Firm's exposure to nonconsolidated municipal bond VIEs [Table Text Block]

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 the VIEs' assets [Table Text Block]

	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.

Exposure to nonconsolidated credit-linked note and asset swap VIEs [Table Text Block]

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.

Information on assets and liabilities related to VIEs that are consolidated by the Firm [Table Text Block]

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.

Securitization activities [Table Text Block]

	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.

Summary of loan sale activities [Table Text Block]

	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.

Key economic assumptions used to determine the fair value of certain Firm's retained interests in nonconsolidated VIEs, other than MSRs [Table Text Block]

	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. 

Information about delinquencies, net charge-offs, and components of off-balance sheet securitized financial assets [Table Text Block]

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.