Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2013

Variable Interest Entities (Tables) [Abstract]

Firm-sponsored mortgage and other consumer securitization trusts

The following table presents the total unpaid principal amount of assets held in Firm-sponsored private-label 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 page 182 of this Note for further information regarding the Firm’s cash flows with and interests retained in nonconsolidated VIEs, and Loans and excess mortgage servicing rights sold to agencies and other third-party-sponsored securitization entities on pages 182–183 of this Note for information on the Firm’s loan sales to U.S. government agencies.

	Principal amount outstanding						JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
June 30, 2013(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 and Alt-A	$	96.4	$	2.5	$	74.9	$	0.5	$	0.2	$	0.7
Subprime	33.7		1.1		30.3		0.1		—		0.1
Option ARMs	24.5		0.2		24.2		—		—		—
Commercial and other(b)	129.2		—		92.1		1.2		2.6		3.8
Total	$	283.8	$	3.8	$	221.5	$	1.8	$	2.8	$	4.6

	Principal amount outstanding						JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
December 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 and Alt-A	$	107.2	$	2.5	$	80.6	$	0.3	$	—	$	0.3
Subprime	34.5		1.3		31.3		0.1		—		0.1
Option ARMs	26.3		0.2		26.1		—		—		—
Commercial and other(b)	127.8		—		81.8		1.5		2.8		4.3
Total	$	295.8	$	4.0	$	219.8	$	1.9	$	2.8	$	4.7

(a) Excludes U.S. government agency securitizations. See Loans and excess mortgage servicing rights sold to agencies and other third-party-sponsored securitization entities on pages 182–183 of this Note for information on the Firm’s loan sales to U.S. government agencies.

(b) 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.

(c) The table above excludes the following: retained servicing (see Note 16 on pages 184–187 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 131–142 of this Form 10-Q for further information on derivatives); senior and subordinated securities of $276 million and $12 million, respectively, at June 30, 2013, and $131 million and $45 million, respectively, at December 31, 2012, which the Firm purchased in connection with CIB’s secondary market-making activities.

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

(e) As of June 30, 2013, and December 31, 2012, 69% and 74%, 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 $418 million and $170 million of investment-grade and $284 million and $171 million of noninvestment-grade retained interests at June 30, 2013, and December 31, 2012, respectively. The retained interests in commercial and other securitizations trusts consisted of $3.7 billion and $4.1 billion of investment-grade and $163 million and $164 million of noninvestment-grade retained interests at June 30, 2013, and December 31, 2012, respectively.

Firm's exposure to nonconsolidated municipal bond VIEs

The Firm’s exposure to nonconsolidated municipal bond VIEs at June 30, 2013, and December 31, 2012, 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
June 30, 2013	$	13.5	$	8.1	$	5.4	$	8.1
December 31, 2012	14.2		8.0		6.2		8.0

Ratings profile of the VIEs' assets

	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
June 30, 2013	$	2.8	$	10.6	$	0.1	$	—	$	—	$	13.5	5.7
December 31, 2012	3.1		11.0		0.1		—		—		14.2		5.9

(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 presented on an S&P-equivalent basis. Prior periods have been reclassified to conform with the current presentation.

Exposure to nonconsolidated credit-linked note and asset swap VIEs

Exposure to nonconsolidated credit-related note and asset swap VIEs at June 30, 2013, and December 31, 2012, was as follows.

June 30, 2013 (in billions)	Net derivative receivables		Total exposure		Par value of collateral held by VIEs(a)
Credit-related notes
Static structure	$	—	$	—	$	5.0
Managed structure	0.2		0.2		4.7
Total credit-related notes	0.2		0.2		9.7
Asset swaps	0.4		0.4		7.6
Total	$	0.6	$	0.6	$	17.3
December 31, 2012 (in billions)	Net derivative receivables		Total exposure		Par value of collateral held by VIEs(a)
Credit-related notes
Static structure	$	0.5	$	0.5	$	7.3
Managed structure	0.6		0.6		5.6
Total credit-related notes	1.1		1.1		12.9
Asset swaps	0.4		0.4		7.9
Total	$	1.5	$	1.5	$	20.8

(a) 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

The following table presents information on assets and liabilities related to VIEs consolidated by the Firm as of June 30, 2013, and December 31, 2012.

	Assets								Liabilities
June 30, 2013 (in billions)(a)	Trading assets – debt and equity instruments		Loans		Other(d)		Total assets(e)		Beneficial interests in VIE assets(f)		Other(g)		Total liabilities
VIE program type
Firm-sponsored credit card trusts	$	—	$	49.2	$	1.0	$	50.2	$	28.6	$	—	$	28.6
Firm-administered multi-seller conduits	—		18.7		0.1		18.8		15.0		—		15.0
Municipal bond vehicles	7.2		—		0.1		7.3		7.0		—		7.0
Mortgage securitization entities(b)	1.1		1.8		—		2.9		2.0		1.0		3.0
Other(c)	0.9		2.6		1.0		4.5		2.5		0.1		2.6
Total	$	9.2	$	72.3	$	2.2	$	83.7	$	55.1	$	1.1	$	56.2
	Assets								Liabilities
December 31, 2012 (in billions)(a)	Trading assets – debt and equity instruments		Loans		Other(d)		Total assets(e)		Beneficial interests in VIE assets(f)		Other(g)		Total liabilities
VIE program type
Firm-sponsored credit card trusts	$	—	$	51.9	$	0.8	$	52.7	$	30.1	$	—	$	30.1
Firm-administered multi-seller conduits	—		25.4		0.1		25.5		17.2		—		17.2
Municipal bond vehicles	9.8		—		0.1		9.9		11.0		—		11.0
Mortgage securitization entities(b)	1.4		2.0		—		3.4		2.3		1.1		3.4
Other(c)	0.8		3.4		1.1		5.3		2.6		0.1		2.7
Total	$	12.0	$	82.7	$	2.1	$	96.8	$	63.2	$	1.2	$	64.4

(a) Excludes intercompany transactions which were eliminated in consolidation.

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

(c) Primarily comprises student loan securitization entities. The Firm consolidated $2.6 billion and $3.3 billion of student loan securitization entities as of June 30, 2013, and December 31, 2012, respectively.

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

(e) 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.

(f) 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 $33.1 billion and $35.0 billion at June 30, 2013, and December 31, 2012, respectively. The maturities of the long-term beneficial interests as of June 30, 2013, were as follows: $9.4 billion under one year, $17.0 billion between one and five years, and $6.7 billion over five years, all respectively.

(g) Includes liabilities classified as accounts payable and other liabilities in the Consolidated Balance Sheets.

Securitization activities

The following table provides information related to the Firm’s securitization activities for the three and six months ended June 30, 2013 and 2012, related to assets held in JPMorgan Chase-sponsored securitization entities that were not consolidated by the Firm, and where sale accounting was achieved based on the accounting rules in effect at the time of the securitization.

	Three months ended June 30,								Six months ended June 30,
	2013				2012				2013					2012
(in millions, except rates)(a)	Residential mortgage(d)		Commercial and other(f)		Residential mortgage(d)(e)		Commercial and other(f)		Residential mortgage(d)		Commercial and other(f)			Residential mortgage(d)(e)		Commercial and other(f)
Principal securitized	$	443	$	3,078	$	—	$	2,063	$	1,059	$	5,284	(f)	$	—	$	2,063
All cash flows during the period:
Proceeds from new securitizations(b)	$	446	$	3,149	$	—	$	2,161	$	1,080	$	5,426	(f)	$	—	$	2,161
Servicing fees collected	158		2		171		1		285		3			351		2
Purchases of previously transferred financial assets (or the underlying collateral)(c)	19		—		52		—		271		—			111		—
Cash flows received on interests	30		78		55		40		55		142			108		64

(a) Excludes re-securitization transactions.

(b) For the three and six months ended June 30, 2013, $446 million and $1.1 billion, respectively, of proceeds from residential mortgage securitizations were received as securities classified in level 2 of the fair value hierarchy. For the three and six months June 30, 2013, $3.1 billion and $5.2 billion, respectively, of proceeds from commercial mortgage securitizations were received as securities classified in level 2 of the fair value hierarchy and zero and $207 million, respectively, of proceeds from commercial mortgage securitizations were received as cash. For the three and six months ended June 30, 2012, $2.2 billion and $2.2 billion, respectively, of commercial mortgage securitizations were received as securities classified in level 2 of the fair value hierarchy.

(c) 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.

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

(e) There were no residential mortgage securitizations during the three months and six months ended June 30, 2012.

(f) Includes commercial and student loan securitizations.

Summary of loan sale activities

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

	Three months ended June 30,				Six months ended June 30,
(in millions)	2013		2012		2013		2012
Carrying value of loans sold(a)	$	48,045	$	43,925	$	102,925	$	83,733
Proceeds received from loan sales as cash	295		23		461		41
Proceeds from loans sales as securities(b)	47,223		43,436		101,392		82,691
Total proceeds received from loan sales(c)	$	47,518	$	43,459	$	101,853	$	82,732
Gains on loan sales(d)	112		56		250		91

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

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

(c) Excludes the value of MSRs retained upon the sale of loans. Gains on loans sales include the value of MSRs.

(d) The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale.

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

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 June 30, 2013, and December 31, 2012, 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 184–187 of this Form 10-Q.

	Commercial and other
(in millions, except rates and where otherwise noted)(a)	June 30, 2013			December 31, 2012
JPMorgan Chase interests in securitized assets	$	1,217		$	1,488
Weighted-average life (in years)	6.1			6.1
Weighted-average discount rate(b)	4.8		%	4.1		%
Impact of 10% adverse change	$	(35	)	$	(34	)
Impact of 20% adverse change	(64		)	(65		)

(a) The Firm’s interests in prime mortgage securitizations were $702 million and $341 million, as of June 30, 2013, and December 31, 2012, respectively. These include retained interests in Alt-A loans and re-securitization transactions. The Firm’s interests in subprime mortgage securitizations were $65 million and $68 million, as of June 30, 2013, and December 31, 2012, respectively.

(b) Incorporates the Firm’s weighted-average loss assumption.

Information about delinquencies, net charge-offs, and components of off-balance sheet securitized financial assets

The table below includes information about components of nonconsolidated securitized financial assets, in which the Firm has continuing involvement, and delinquencies as of June 30, 2013, and December 31, 2012, respectively; and liquidation losses for the three and six months ended June 30, 2013 and 2012, respectively.

									Liquidation losses
	Securitized assets				90 days past due				Three months ended June 30,				Six months ended June 30,
(in millions)	June 30, 2013		December 31, 2012		June 30, 2013		December 31, 2012		2013		2012		2013		2012
Securitized loans(a)
Residential mortgage:
Prime mortgage(b)	$	74,919	$	80,572	$	11,972	$	16,270	$	1,007	$	2,125	$	2,245	$	3,824
Subprime mortgage	30,271		31,264		8,915		10,570		756		320		1,539		1,121
Option ARMs	24,253		26,095		5,384		6,595		303		634		714		1,250
Commercial and other	92,075		81,834		2,820		4,077		184		292		330		521
Total loans securitized(c)	$	221,518	$	219,765	$	29,091	$	37,512	$	2,250	$	3,371	$	4,828	$	6,716

(a) Total assets held in securitization-related SPEs were $283.8 billion and $295.8 billion, respectively, at June 30, 2013, and December 31, 2012. The $221.5 billion and $219.8 billion, respectively, of loans securitized at June 30, 2013, and December 31, 2012, excluded: $58.5 billion and $72.0 billion, respectively, of securitized loans in which the Firm has no continuing involvement, and $3.8 billion and $4.0 billion, respectively, of loan securitizations consolidated on the Firm’s Consolidated Balance Sheets at June 30, 2013, and December 31, 2012.

(b) Includes Alt-A loans.

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