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Variable Interest Entities (Tables)
 12 Months Ended
Dec. 31, 2015
Variable Interest Entities [Abstract]  
Schedule of significant types of variable interest entities by business segment
The following table summarizes the most significant types of Firm-sponsored VIEs by business segment. The Firm considers a “sponsored” VIE to include any entity where: (1) JPMorgan Chase is the primary beneficiary of the structure; (2) the VIE is used by JPMorgan Chase to securitize Firm assets; (3) the VIE issues financial instruments with the JPMorgan Chase name; or (4) the entity is a JPMorgan Chase–administered asset-backed commercial paper conduit.
Line-of-Business
Transaction Type
Activity
Annual Report
page references
CCB
Credit card securitization trusts
Securitization of both originated and purchased credit card receivables
266
 
Mortgage securitization trusts
Servicing and securitization of both originated and purchased residential mortgages
267–269
CIB
Mortgage and other securitization trusts
Securitization of both originated and purchased residential and commercial mortgages and student loans
267–269
 
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
269–271
 
Municipal bond vehicles
 
269–270
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 272 of this Note for further information regarding the Firm’s cash flows with and interests retained in nonconsolidated VIEs, and pages 272–273 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)
December 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
$
85.7

$
1.4

$
66.7

 
$
0.4

$
1.6

$
2.0

Subprime
24.4

0.1

22.6

 
0.1

—

0.1

Commercial and other(b)
123.5

0.1

80.3

 
0.4

3.5

3.9

Total
$
233.6

$
1.6

$
169.6

 
$
0.9

$
5.1

$
6.0


 
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 pages 272–273 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 17 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 6 for further information on derivatives); senior and subordinated securities of $163 million and $73 million, respectively, at December 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 December 31, 2015 and 2014, 76% 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 $1.9 billion and $1.1 billion of investment-grade and $93 million and $185 million of noninvestment-grade retained interests at December 31, 2015 and 2014, respectively. The retained interests in commercial and other securitizations trusts consisted of $3.7 billion and $3.7 billion of investment-grade and $198 million and $194 million of noninvestment-grade retained interests at December 31, 2015 and 2014, respectively.
Firm's exposure to nonconsolidated municipal bond VIEs
The Firm’s exposure to nonconsolidated municipal bond VIEs at December 31, 2015 and 2014, including the ratings profile of the VIEs’ assets, was as follows.
December 31,
(in billions)
Fair value of assets held by VIEs
Liquidity facilities
Excess(a)
Maximum exposure
Nonconsolidated municipal bond vehicles
 
 
 
 
2015
$
6.9

$
3.8

$
3.1

$
3.8

2014
11.5

6.3

5.2

6.3
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
December 31,
(in billions, except where otherwise noted)
AAA to AAA-
AA+ to AA-
A+ to A-
BBB+ to BBB-
 
BB+ and below
2015
$
1.7

$
4.6

$
0.5

$
—

 
$
0.1

$
6.9

4.0
2014
2.7

8.4

0.4

—

 
—

$
11.5

4.9
(a)
Represents the excess 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.
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 December 31, 2015 and 2014.
 
Assets
 
Liabilities
December 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
$
—

$
47.4

$
0.7

$
48.1

 
$
27.9

$
—

$
27.9

Firm-administered multi-seller conduits
—

24.4

—

24.4

 
8.7

—

8.7

Municipal bond vehicles
2.7

—

—

2.7

 
2.6

—

2.6

Mortgage securitization entities(b)
0.8

1.4

—

2.2

 
0.8

0.7

1.5

Student loan securitization entities
—

1.9

0.1

2.0

 
1.8

—

1.8

Other
0.2

—

2.0

2.2

 
0.1

0.1

0.2

Total
$
3.7

$
75.1

$
2.8

$
81.6

 
$
41.9

$
0.8

$
42.7

 
 
 
 
 
 
 
 
 
 
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

 
—

0.2

0.2

Total
$
9.1

$
68.9

$
1.8

$
79.8

 
$
52.3

$
1.0

$
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 $30.6 billion and $35.4 billion at December 31, 2015 and 2014, respectively. The maturities of the long-term beneficial interests as of December 31, 2015, were as follows: $5.1 billion under one year, $21.6 billion between one and five years, and $3.9 billion over five years, all respectively.
(f)
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 years ended December 31, 2015, 2014 and 2013, 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.
 
2015
 
2014
 
2013
Year ended December 31,
(in millions, except rates)(a)
Residential mortgage(d)(e)
Commercial and other(e)(f)
 
Residential mortgage(d)(e)
Commercial and other(e)(f)
 
Residential mortgage(d)(e)
Commercial and other(e)(f)
 
Principal securitized
$
3,008

$
11,933

 
$
2,558

$
11,911

 
$
1,404

$
11,318

 
All cash flows during the period:
 
 
 
 
 
 
 
 
 
Proceeds from new securitizations(b)
$
3,022

$
12,011

 
$
2,569

$
12,079

 
$
1,410

$
11,507

 
Servicing fees collected
528

3

 
557

4

 
576

5

 
Purchases of previously transferred financial assets (or the underlying collateral)(c)
3

—

 
121

—

 
294

—

 
Cash flows received on interests
407

597

 
179

578

 
156

325

 
(a)
Excludes re-securitization transactions.
(b)
Proceeds from residential mortgage securitizations were received in the form of securities. During 2015, $3.0 billion of residential mortgage securitizations were received as securities and classified in level 2, and $59 million were classified in level 3 of the fair value hierarchy. During 2014, $2.4 billion of residential mortgage securitizations were received as securities and classified in level 2, and $185 million were classified in level 3 of the fair value hierarchy. During 2013, $1.4 billion of residential mortgage securitizations were received as securities and classified in level 2. Proceeds from commercial mortgage securitizations were received as securities and cash. During 2015, $12.0 billion of proceeds from commercial mortgage securitizations were received as securities and classified in level 2, and $43 million of proceeds were classified in level 3 of the fair value hierarchy; and zero of proceeds from commercial mortgage securitizations were received as cash. During 2014, $11.4 billion of proceeds from commercial mortgage securitizations were received as securities and classified in level 2, and $130 million of proceeds were classified in level 3 of the fair value hierarchy: and $568 million of proceeds from commercial mortgage securitizations were received as cash. During 2013, $11.3 billion of commercial mortgage securitizations were classified in level 2 of the fair value hierarchy, and $207 million of proceeds from commercial mortgage securitizations were received as cash.
(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)
Key assumptions used to measure residential mortgage retained interests originated during the year included weighted-average life (in years) of 4.2, 5.9 and 3.9 for the years ended December 31, 2015, 2014 and 2013, respectively, and weighted-average discount rate of 2.9%, 3.4% and 2.5% for the years ended December 31, 2015, 2014 and 2013, respectively. Key assumptions used to measure commercial and other retained interests originated during the year included weighted-average life (in years) of 6.2, 6.5 and 8.3 for the years ended December 31, 2015, 2014, and 2013, respectively, and weighted-average discount rate of 4.1%, 4.8% and 3.2% for the years ended December 31, 2015, 2014 and 2013, respectively.
(f)
Includes commercial and student loan securitizations.
Summary of loan sale activities
The following table summarizes the activities related to loans sold to the U.S. GSEs, loans in securitization transactions pursuant to Ginnie Mae guidelines, and other third-party-sponsored securitization entities.
Year ended December 31,
(in millions)
2015
2014
2013
Carrying value of loans sold
$
42,161

$
55,802

$
166,028

Proceeds received from loan sales as cash
$
313

$
260

$
782

Proceeds from loans sales as securities(a)
41,615

55,117

163,373

Total proceeds received from loan sales(b)
$
41,928

$
55,377

$
164,155

Gains on loan sales(c)
$
299

$
316

$
302

(a)
Predominantly includes securities from U.S. GSEs and Ginnie Mae that are generally sold shortly after receipt.
(b)
Excludes the value of MSRs retained upon the sale of loans. Gains on loan sales include the value of MSRs.
(c)
The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale.
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 December 31, 2015 and 2014.
 
Securitized assets
 
90 days past due
 
Liquidation losses
As of or for the year ended December 31, (in millions)
2015
2014
 
2015
2014
 
2015
2014
Securitized loans(a)
 
 
 
 
 
 
 
 
Residential mortgage:
 
 
 
 
 
 
 
 
Prime/ Alt-A & option ARMs
$
66,708

$
78,294

 
$
8,325

$
11,363

 
$
1,946

$
2,166

Subprime
22,549

25,659

 
5,448

6,473

 
1,431

1,931

Commercial and other
80,319

94,438

 
1,808

1,522

 
375

1,267

Total loans securitized(b)
$
169,576

$
198,391

 
$
15,581

$
19,358

 
$
3,752

$
5,364

(a)
Total assets held in securitization-related SPEs were $233.6 billion and $254.3 billion, respectively, at December 31, 2015 and 2014. The $169.6 billion and $198.4 billion, respectively, of loans securitized at December 31, 2015 and 2014, excludes: $62.4 billion and $52.2 billion, respectively, of securitized loans in which the Firm has no continuing involvement, and $1.6 billion and $3.7 billion, respectively, of loan securitizations consolidated on the Firm’s Consolidated balance sheets at December 31, 2015 and 2014.
(b)
Includes securitized loans that were previously recorded at fair value and classified as trading assets.