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Variable Interest Entities (Tables)
 12 Months Ended
Dec. 31, 2016
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
232
Mortgage securitization trusts
Servicing and securitization of both originated and purchased residential mortgages
233–235
CIB
Mortgage and other securitization trusts
Securitization of both originated and purchased residential and commercial mortgages and student loans
233–235
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
235–237
Municipal bond vehicles
 
235–236
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 238 of this Note for further information regarding the Firm’s cash flows with and interests retained in nonconsolidated VIEs, and pages 238-239 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, 2016 (in millions)
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(a)













Residential mortgage:













Prime/Alt-A and option ARMs
$
76,789

$
4,209

$
57,543


$
226

$
1,334

$
1,560

Subprime
21,542

—

19,903


76

—

76

Commercial and other(b)
101,265

107

71,464


509

2,064

2,573

Total
$
199,596

$
4,316

$
148,910


$
811

$
3,398

$
4,209



Principal amount outstanding

JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
December 31, 2015 (in millions)
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(a)













Residential mortgage:













Prime/Alt-A and option ARMs
$
85,687

$
1,400

$
66,708


$
394

$
1,619

$
2,013

Subprime
24,389

64

22,549


109

—

109

Commercial and other(b)
123,474

107

80,319


447

3,451

3,898

Total
$
233,550

$
1,571

$
169,576


$
950

$
5,070

$
6,020

(a)
Excludes U.S. government agency securitizations and re-securitizations, which are not Firm-sponsored. See pages 238-239 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.
(c)
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 $180 million and $49 million, respectively, at December 31, 2016, and $163 million and $73 million, respectively, at December 31, 2015, 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, 2016 and 2015, 61% and 76%, 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 $1.5 billion and $1.9 billion of investment-grade and $77 million and $93 million of noninvestment-grade retained interests at December 31, 2016 and 2015, respectively. The retained interests in commercial and other securitizations trusts consisted of $2.4 billion and $3.7 billion of investment-grade and $210 million and $198 million of noninvestment-grade retained interests at December 31, 2016 and 2015, respectively.
Firm's exposure to nonconsolidated municipal bond VIEs
The Firm’s exposure to nonconsolidated municipal bond VIEs at December 31, 2016 and 2015, including the ratings profile of the VIEs’ assets, was as follows.
December 31,
(in millions)
Fair value of assets held by VIEs
Liquidity facilities
Excess/(deficit)(a)
Maximum exposure
Nonconsolidated municipal bond vehicles
 
 
 
 
2016
$
1,096

$
662

$
434

$
662

2015
6,937

3,794

3,143

3,794
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
 
 
December 31,
(in millions, except where otherwise noted)
AAA to AAA-
AA+ to AA-
A+ to A-
BBB+ to BBB-
 
Unrated(c)
2016
$
264

$
700

$
43

$
24

 
$
65

$
1,096

1.6
2015
1,743

4,631

448

24

 
91

$
6,937

4.0
(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.
(c)
These security positions have been defeased by the municipality and no longer carry credit ratings, but are backed by high-quality assets such as U.S. treasuries and cash.
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, 2016 and 2015.
 
Assets
 
Liabilities
December 31, 2016 (in millions)
Trading assets
Loans
Other(c)
Total
assets(d)
 
Beneficial interests in
VIE assets(e)
Other(f)
Total
liabilities
VIE program type(a)
 
 
 
 
 
 
 
 
Firm-sponsored credit card trusts
$
—

$
45,919

$
790

$
46,709

 
$
31,181

$
18

$
31,199

Firm-administered multi-seller conduits
—

23,760

43

23,803

 
2,719

33

2,752

Municipal bond vehicles
2,897

—

8

2,905

 
2,969

2

2,971

Mortgage securitization entities(b)
143

4,246

103

4,492

 
468

313

781

Student loan securitization entities
—

1,689

59

1,748

 
1,527

4

1,531

Other
145

—

2,318

2,463

 
183

120

303

Total
$
3,185

$
75,614

$
3,321

$
82,120

 
$
39,047

$
490

$
39,537

 
 
 
 
 
 
 
 
 
 
Assets
 
Liabilities
December 31, 2015 (in millions)
Trading assets
Loans
Other(c)
Total
assets(d)
 
Beneficial interests in
VIE assets(e)
Other(f)
Total
liabilities
VIE program type(a)
 
 
 
 
 
 
 
 
Firm-sponsored credit card trusts
$
—

$
47,358

$
718

$
48,076

 
$
27,906

$
15

$
27,921

Firm-administered multi-seller conduits
—

24,388

37

24,425

 
8,724

19

8,743

Municipal bond vehicles
2,686

—

5

2,691

 
2,597

1

2,598

Mortgage securitization entities(b)
840

1,433

27

2,300

 
777

643

1,420

Student loan securitization entities
—

1,925

62

1,987

 
1,760

5

1,765

Other
210

—

1,916

2,126

 
115

126

241

Total
$
3,736

$
75,104

$
2,765

$
81,605

 
$
41,879

$
809

$
42,688

(a)
Excludes intercompany transactions, which are 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 on 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 $33.4 billion and $30.6 billion at December 31, 2016 and 2015, respectively. The maturities of the long-term beneficial interests as of December 31, 2016, were as follows: $11.6 billion under one year, $19.1 billion between one and five years, and $2.7 billion over five years.
(f)
Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.
Securitization activities
The following table provides information related to the Firm’s securitization activities for the years ended December 31, 2016, 2015 and 2014, related to assets held in Firm-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.
 
2016
 
2015
 
2014
Year ended December 31,
(in millions, except rates)
Residential mortgage(c)(d)
Commercial and other(d)(e)
 
Residential mortgage(c)(d)
Commercial and other(d)(e)
 
Residential mortgage(c)(d)
Commercial and other(d)(e)
 
Principal securitized
$
1,817

$
8,964

 
$
3,008

$
11,933

 
$
2,558

$
11,911

 
All cash flows during the period:(a)
 
 
 
 
 
 
 
 
 
Proceeds received from loan sales as cash
$
—

$
—

 
$
—

$
—

 
$
—

$
568

 
Proceeds received from loan sales as securities
 
 
 
 
 
 
 
 
 
Level 2
1,831

9,092

 
2,963

11,968

 
2,384

11,381

 
Level 3
—

2

 
59

43

 
185

130

 
Total proceeds received from loan sales
$
1,831

$
9,094

 
$
3,022

$
12,011

 
$
2,569

$
12,079

 
Servicing fees collected
477

3

 
528

3

 
557

4

 
Purchases of previously transferred financial assets (or the underlying collateral)(b)
37

—

 
3

—

 
121

—

 
Cash flows received on interests
482

1,441

 
407

597

 
179

578

 
(a)
Excludes re-securitization transactions.
(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, and option ARMs. Excludes certain loan securitization transactions entered into with Ginnie Mae, Fannie Mae and Freddie Mac.
(d)
Key assumptions used to measure residential mortgage retained interests originated during the year included weighted-average life (in years) of 4.5, 4.2 and 5.9 for the years ended December 31, 2016, 2015 and 2014, respectively, and weighted-average discount rate of 4.2%, 2.9% and 3.4% for the years ended December 31, 2016, 2015 and 2014, respectively. Key assumptions used to measure commercial and other retained interests originated during the year included weighted-average life (in years) of 6.2, 6.2 and 6.5 for the years ended December 31, 2016, 2015 and 2014, respectively, and weighted-average discount rate of 5.8%, 4.1% and 4.8% for the years ended December 31, 2016, 2015 and 2014, respectively.
(e)
Includes commercial mortgage 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)
2016
2015
2014
Carrying value of loans sold
$
52,869

$
42,161

$
55,802

Proceeds received from loan sales as cash
$
592

$
313

$
260

Proceeds from loans sales as securities(a)
51,852

41,615

55,117

Total proceeds received from loan sales(b)
$
52,444

$
41,928

$
55,377

Gains on loan sales(c)(d)
$
222

$
299

$
316

(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.
(c)
Gains on loan 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.
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 held in Firm-sponsored private-label securitization entities, in which the Firm has continuing involvement, and delinquencies as of December 31, 2016 and 2015.
 
Securitized assets
 
90 days past due
 
Liquidation losses
As of or for the year ended December 31, (in millions)
2016
2015
 
2016
2015
 
2016
2015
Securitized loans(a)
 
 
 
 
 
 
 
 
Residential mortgage:
 
 
 
 
 
 
 
 
Prime/ Alt-A & option ARMs
$
57,543

$
66,708

 
$
6,169

$
8,325

 
$
1,160

$
1,946

Subprime
19,903

22,549

 
4,186

5,448

 
1,087

1,431

Commercial and other
71,464

80,319

 
1,755

1,808

 
643

375

Total loans securitized
$
148,910

$
169,576

 
$
12,110

$
15,581

 
$
2,890

$
3,752

(a)
Total assets held in securitization-related SPEs were $199.6 billion and $233.6 billion, respectively, at December 31, 2016 and 2015. The $148.9 billion and $169.6 billion, respectively, of loans securitized at December 31, 2016 and 2015, excludes: $46.4 billion and $62.4 billion, respectively, of securitized loans in which the Firm has no continuing involvement, and $4.3 billion and $1.6 billion, respectively, of loan securitizations consolidated on the Firm’s Consolidated balance sheets at December 31, 2016 and 2015.