Variable Interest Entities

3 Months Ended

Mar. 31, 2015

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 of JPMorgan Chase’s 2014 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
CCB	Credit card securitization trusts	Securitization of both originated and purchased credit card receivables	127
	Mortgage securitization trusts	Servicing and securitization of both originated and purchased residential mortgages	127-129
CIB	Mortgage and other securitization trusts	Securitization of both originated and purchased residential and commercial mortgages, and student loans	127-129
	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	129
	Municipal bond vehicles		129-130
	Credit-related note and asset swap vehicles		130

The Firm also invests in and provides financing and other services to VIEs sponsored by third parties, as described on page 130 of this Note.

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 of JPMorgan Chase’s 2014 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 the table on page 131 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 student loans) primarily in its CCB and CIB businesses. 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 of JPMorgan Chase’s 2014 Annual Report.

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 132 of this Note for further information regarding the Firm’s cash flows with and interests retained in nonconsolidated VIEs, and page 132 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)
March 31, 2015(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/Alt-A and Option ARMs	$	95.5	$	2.0	$	77.4	$	0.6	$	1.6	$	2.2
Subprime	26.4		0.1		24.6		0.1		—		0.1
Commercial and other(b)	130.5		0.2		93.3		0.3		3.5		3.8
Total	$	252.4	$	2.3	$	195.3	$	1.0	$	5.1	$	6.1

	Principal amount outstanding						JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
December 31, 2014(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/Alt-A and Option ARMs	$	96.3	$	2.7	$	78.3	$	0.5	$	0.7	$	1.2
Subprime	28.4		0.8		25.7		0.1		—		0.1
Commercial and other(b)	129.6		0.2		94.4		0.4		3.5		3.9
Total	$	254.3	$	3.7	$	198.4	$	1.0	$	4.2	$	5.2

(a) Excludes U.S. government agency securitizations. See page 132 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 for a discussion of MSRs); securities retained from loan 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 for further information on derivatives); senior and subordinated securities of $28 million and $129 million, respectively, at March 31, 2015, and $136 million and $34 million, respectively, at December 31, 2014, which the Firm purchased in connection with CIB’s secondary market-making activities.

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

(e) As of March 31, 2015, and December 31, 2014, 83% and 77%, 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 $2.1 billion and $1.1 billion of investment-grade and $125 million and $185 million of noninvestment-grade retained interests at March 31, 2015, and December 31, 2014, respectively. The retained interests in commercial and other securitizations trusts consisted of $3.7 billion and $3.7 billion of investment-grade and $113 million and $194 million of noninvestment-grade retained interests at March 31, 2015, and December 31, 2014, respectively.

Residential mortgages

For a more detailed description of the Firm’s involvement with residential mortgage securitizations, see Note 16 of JPMorgan Chase’s 2014 Annual Report.

At March 31, 2015, and December 31, 2014, 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 131 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

CIB 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 of JPMorgan Chase’s 2014 Annual Report. See the table on page 131 of this Note for more information on the consolidated commercial mortgage securitizations, and the table on the previous page of this Note for more 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 of JPMorgan Chase’s 2014 Annual Report.

During the three months ended March 31, 2015 and 2014, the Firm transferred $3.9 billion and $5.3 billion respectively of securities to agency VIEs, and $472 million and $169 million, respectively, of securities to private-label VIEs.

As of March 31, 2015, and December 31, 2014, the Firm did not consolidate any agency re-securitizations. As of March 31, 2015, and December 31, 2014, the Firm consolidated $73 million and $77 million, respectively, of assets, and $19 million and $21 million, respectively, of liabilities of private-label re-securitizations. See the table on page 131 of this Note for more information on consolidated re-securitization transactions.

As of March 31, 2015, and December 31, 2014, total assets (including the notional amount of interest-only securities) of nonconsolidated Firm-sponsored private-label re-securitization entities in which the Firm has continuing involvement were $2.3 billion and $2.9 billion, respectively. At March 31, 2015, and December 31, 2014, the Firm held approximately $1.6 billion and $2.4 billion, respectively, of interests in nonconsolidated agency re-securitization entities, and $14 million and $36 million, respectively, of senior and subordinated interests in nonconsolidated private-label re-securitization entities. See the table on page 128 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 of JPMorgan Chase’s 2014 Annual Report.

In the normal course of business, JPMorgan Chase makes markets in and invests in commercial paper, including commercial paper issued by the Firm-administered multi-seller conduits. The Firm held $4.9 billion and $5.7 billion of the commercial paper issued by the Firm-administered multi-seller conduits at March 31, 2015, and December 31, 2014, respectively, which was eliminated in consolidation. The Firm’s investments reflect the Firm’s funding needs and capacity and were not driven by market illiquidity. 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 to the multi-seller conduits have been eliminated in consolidation. Unfunded lending-related commitments made to clients of the Firm-administered multi-seller conduits were $10.2 billion and $9.9 billion at March 31, 2015, and December 31, 2014, respectively, and are reported as off-balance sheet lending-related commitments. For more information on off-balance sheet lending-related commitments, see Note 21.

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 of JPMorgan Chase’s 2014 Annual Report.

The Firm’s exposure to nonconsolidated municipal bond VIEs at March 31, 2015, and December 31, 2014, 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, 2015	$	11.5	$	6.3	$	5.2	$	6.3
December 31, 2014	11.5		6.3		5.2		6.3

	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, 2015	$	2.7	$	8.4	$	0.4	$	—	$	—	$	11.5	4.9
December 31, 2014	2.7		8.4		0.4		—		—		11.5		4.9

(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.

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 of JPMorgan Chase’s 2014 Annual Report.

VIEs sponsored by third parties

The Firm enters into transactions with VIEs sponsored by other parties. These include, for example, acting as a derivative counterparty, liquidity provider, investor, underwriter, placement agent, trustee or custodian. These transactions are conducted at arm’s-length, and individual credit decisions are based on the analysis of the specific VIE, taking into consideration the quality of the underlying assets. Where the Firm does not have the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance, or a variable interest that could potentially be significant, the Firm records and reports these positions on its Consolidated balance sheets similarly to the way it would record and report positions in respect of any other third-party transaction.

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, 2015, and December 31, 2014.

	Assets								Liabilities
March 31, 2015 (in billions)(a)	Trading assets		Loans		Other(c)		Total assets(d)		Beneficial interests in VIE assets(e)		Other(f)		Total liabilities
VIE program type
Firm-sponsored credit card trusts	$	—	$	47.9	$	0.8	$	48.7	$	31.4	$	—	$	31.4
Firm-administered multi-seller conduits	—		16.5		—		16.5		11.8		—		11.8
Municipal bond vehicles	5.2		—		—		5.2		4.7		—		4.7
Mortgage securitization entities(b)	2.1		0.7		0.1		2.9		1.1		0.8		1.9
Student loan securitization entities	0.1		2.1		0.1		2.3		2.0		—		2.0
Other	0.3		—		1.4		1.7		0.1		0.1		0.2
Total	$	7.7	$	67.2	$	2.4	$	77.3	$	51.1	$	0.9	$	52.0
	Assets								Liabilities
December 31, 2014 (in billions)(a)	Trading assets		Loans		Other(c)		Total assets(d)		Beneficial interests in VIE assets(e)		Other(f)		Total liabilities
VIE program type
Firm-sponsored credit card trusts	$	—	$	48.3	$	0.7	$	49.0	$	31.2	$	—	$	31.2
Firm-administered multi-seller conduits	—		17.7		0.1		17.8		12.0		—		12.0
Municipal bond vehicles	5.3		—		—		5.3		4.9		—		4.9
Mortgage securitization entities(b)	3.3		0.7		—		4.0		2.1		0.8		2.9
Student loan securitization entities	0.2		2.2		—		2.4		2.1		—		2.1
Other	0.3		—		1.0		1.3		0.1		0.1		0.2
Total	$	9.1	$	68.9	$	1.8	$	79.8	$	52.4	$	0.9	$	53.3

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

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

(c) Includes assets classified as cash, 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 $34.7 billion and $35.4 billion at March 31, 2015, and December 31, 2014 respectively. The maturities of the long-term beneficial interests as of March 31, 2015, were as follows: $9.0 billion under one year, $21.1 billion between one and five years, and $4.6 billion over five years, all respectively.

(f) Includes liabilities classified as accounts payable and other liabilities in the Consolidated balance sheets.

Loan securitizations

The Firm securitizes (or has securitized) a variety of loans, including residential mortgage, credit card, student and commercial (primarily related to real estate) loans. For a

further description of the Firm’s accounting policies regarding securitizations, see Note 16 of JPMorgan Chase’s 2014 Annual Report.

Securitization activity

The following table provides information related to the Firm’s securitization activities for the three months ended March 31, 2015 and 2014, 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 March 31,
	2015				2014
(in millions)(a)	Residential mortgage(d)		Commercial and other(e)		Residential mortgage(d)		Commercial and other(e)
Principal securitized	$	1,312	$	3,375	$	356	$	2,027
All cash flows during the period:
Proceeds from new securitizations(b)	$	1,317	$	3,369	$	351	$	2,044
Servicing fees collected	146		1		139		1
Purchases of previously transferred financial assets (or the underlying collateral)(c)	—		—		3		—
Cash flows received on interests	70		79		44		62

(a) Excludes re-securitization transactions.

(b) For the three months ended March 31, 2015, $1.3 billion of proceeds from residential mortgage securitizations were received as securities classified in level 2 of the fair value hierarchy. For the three months ended March 31, 2015, $3.4 billion of proceeds from commercial mortgage securitizations were received as securities classified in level 2 of the fair value hierarchy. For the three months ended March 31, 2014, $330 million and $21 million of proceeds from residential mortgage securitizations were received as securities classified in level 2 and 3 of the fair value hierarchy, respectively. For the three months ended March 31, 2014, $2.0 billion of proceeds from 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 certain loan securitization transactions entered into with Ginnie Mae, Fannie Mae and

Freddie Mac.

(e) Includes commercial and student loan securitizations.

Loans and excess MSRs sold to the GSEs, loans in securitization transactions pursuant to Ginnie Mae guidelines, 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 and certain originated excess MSRs on a nonrecourse basis, predominantly to Fannie Mae and Freddie Mac (the “GSEs”). These loans and excess MSRs are sold primarily for the purpose of securitization by the GSEs, who provide certain guarantee provisions (e.g., credit enhancement of the loans). The Firm also sells loans into securitization transactions pursuant to Ginnie Mae guidelines; these loans are typically insured or guaranteed by another U.S. government agency. The Firm does not consolidate the securitization vehicles underlying any of the transactions described above 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 29 of JPMorgan Chase’s 2014 Annual Report for additional information about the Firm’s loan sales- and securitization-related indemnifications. See Note 16 for additional information about the impact of the Firm’s sale of certain excess MSRs.

The following table summarizes the activities related to loans sold to the GSEs, loans in securitization transactions pursuant to Ginnie Mae guidelines, and other third-party-sponsored securitization entities.

	Three months ended March 31,
(in millions)	2015		2014
Carrying value of loans sold(a)	$	12,139	$	13,920
Proceeds received from loan sales as cash	51		39
Proceeds from loans sales as securities(b)	12,029		13,735
Total proceeds received from loan sales(c)	$	12,080	$	13,774
Gains on loan sales(d)	$	91	$	37

(a) Predominantly to the GSEs and in securitization transactions pursuant to Ginnie Mae guidelines.

(b) Predominantly includes securities from the GSEs and Ginnie Mae that are generally sold shortly after receipt.

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

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

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, the Firm also has the option to repurchase delinquent loans that it services for Ginnie Mae loan pools, as well as for other U.S. government agencies under certain arrangements. The Firm typically elects to repurchase delinquent loans from Ginnie Mae loan pools 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, 2015, and December 31, 2014, the Firm had recorded on its Consolidated balance sheets $12.3 billion and $12.4 billion, respectively, of loans that either had been repurchased or for which the Firm had an option to repurchase. Predominantly all of these amounts relate to loans that have been repurchased from Ginnie Mae loan pools. Additionally, real estate owned resulting from voluntary repurchases of loans was $471 million and $464 million as of March 31, 2015, and December 31, 2014, respectively. Substantially all of these loans and real estate owned are insured or guaranteed by U.S. government agencies. For additional information, refer to Note 13 of this Form 10-Q and Note 14 of JPMorgan Chase’s 2014 Annual Report.

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, 2015, and December 31, 2014, respectively; and liquidation losses for the three months ended March 31, 2015 and 2014, respectively.

									Liquidation losses
	Securitized assets				90 days past due				Three months ended March 31,
(in millions)	Mar 31, 2015		Dec 31, 2014		Mar 31, 2015		Dec 31, 2014		2015		2014
Securitized loans(a)
Residential mortgage:
Prime / Alt-A & Option ARMs	$	77,349	$	78,294	$	10,572	$	11,363	$	462	$	659
Subprime	24,601		25,659		6,150		6,473		354		739
Commercial and other	93,330		94,438		1,502		1,522		99		234
Total loans securitized(b)	$	195,280	$	198,391	$	18,224	$	19,358	$	915	$	1,632

(a) Total assets held in securitization-related SPEs were $252.4 billion and $254.3 billion, respectively, at March 31, 2015 and December 31, 2014. The $195.3 billion and $198.4 billion, respectively, of loans securitized at March 31, 2015 and December 31, 2014, excluded: $54.8 billion and $52.2 billion, respectively, of securitized loans in which the Firm has no continuing involvement, and $2.3 billion and $3.7 billion, respectively, of loan securitizations consolidated on the Firm’s Consolidated balance sheets at March 31, 2015 and December 31, 2014.

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