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Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2018

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.



Line of Business	Transaction Type	Activity	Form 10-Q page reference
CCB	Credit card securitization trusts	Securitization of originated credit card receivables	148
	Mortgage securitization trusts	Servicing and securitization of both originated and purchased residential mortgages	148-150
CIB	Mortgage and other securitization trusts	Securitization of both originated and purchased residential and commercial mortgages, and other consumer loans	148-150
	Multi-seller conduits	Assist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs	150
	Municipal bond vehicles	Financing of municipal bond investments	150

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 (including amounts required to be held pursuant to credit risk retention rules), recourse or guarantee arrangements, and derivative transactions. In certain instances, the Firm’s only continuing involvement is servicing the loans. Refer to Securitization activity on page 152 of this Note for further information regarding the Firm’s cash flows associated with and interests retained in nonconsolidated VIEs, and pages 152-153 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)
September 30, 2018 (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		Investment securities		Other financial assets		Total interests held by JPMorgan Chase
Securitization-related^(a)
Residential mortgage:
Prime/Alt-A and option ARMs	$	65,481	$	3,314	$	51,914	$	607	$	704	$	—	$	1,311
Subprime	17,278		19		15,950		55		—		—		55
Commercial and other^(b)	102,603		—		77,494		497		869		216		1,582
Total	$	185,362	$	3,333	$	145,358	$	1,159	$	1,573	$	216	$	2,948



	Principal amount outstanding						JPMorgan Chase interest in securitized assets in nonconsolidated VIEs^(c)(d)(e)
December 31, 2017 (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		Investment securities		Other financial assets		Total interests held by JPMorgan Chase
Securitization-related^(a)
Residential mortgage:
Prime/Alt-A and option ARMs	$	68,874	$	3,615	$	52,280	$	410	$	943	$	—	$	1,353
Subprime	18,984		7		17,612		93		—		—		93
Commercial and other^(b)	94,905		63		63,411		745		1,133		157		2,035
Total	$	182,763	$	3,685	$	133,303	$	1,248	$	2,076	$	157	$	3,481


(a)	Excludes U.S. government agency securitizations and re-securitizations, which are not Firm-sponsored. Refer to pages 152-153 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 (refer to Note 14 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 (Refer to Note 4 for further information on derivatives); senior and subordinated securities of $75 million and $111 million, respectively, at September 30, 2018, and $88 million and $48 million, respectively, at December 31, 2017, which the Firm purchased in connection with CIB’s secondary market-making activities.


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

(e)

As of September 30, 2018, and December 31, 2017, 66% and 61%, respectively, of the Firm’s retained securitization interests, which are predominantly carried at fair value and include amounts required to be held pursuant to credit risk retention rules, were risk-rated “A” or better, on an S&P-equivalent basis. The retained interests in prime residential mortgages consisted of $1.3 billion of investment-grade at both September 30, 2018 and December 31, 2017, and $34 million and $48 million of noninvestment-grade at September 30, 2018, and December 31, 2017, respectively. The retained interests in commercial and other securitizations trusts consisted of $1.2 billion and $1.6 billion of investment-grade and $410 million and $412 million of noninvestment-grade retained interests at September 30, 2018, and December 31, 2017, respectively.

Schedule of re-securitizations

The following table presents the principal amount of securities transferred to re-securitization VIEs.



	Three months ended September 30,				Nine months ended September 30,
(in millions)	2018		2017		2018		2017
Transfers of securities to VIEs
Agency	$	2,540	$	1,477	$	11,321	$	6,163

The following table presents information on nonconsolidated re-securitization VIEs.



	Nonconsolidated re-securitization VIEs
(in millions)	September 30, 2018		December 31, 2017
Firm-sponsored private-label
Assets held in VIEs with continuing involvement^(a)	$	198	$	783
Interest in VIEs	10		29
Agency
Interest in VIEs	2,263		2,250

(a)

Represents the principal amount and includes the notional amount of interest-only securities.

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 September 30, 2018, and December 31, 2017.



	Assets								Liabilities
September 30, 2018 (in millions)	Trading assets		Loans		Other^(b)		Total assets^(c)		Beneficial interests in VIE assets^(d)		Other^(e)		Total liabilities
VIE program type
Firm-sponsored credit card trusts	$	—	$	30,949	$	504	$	31,453	$	14,142	$	12	$	14,154
Firm-administered multi-seller conduits	1		22,797		129		22,927		4,304		30		4,334
Municipal bond vehicles	1,370		—		4		1,374		1,344		2		1,346
Mortgage securitization entities^(a)	62		3,368		37		3,467		304		171		475
Other	134		—		1,733		1,867		147		115		262
Total	$	1,567	$	57,114	$	2,407	$	61,088	$	20,241	$	330	$	20,571

	Assets								Liabilities
December 31, 2017 (in millions)	Trading assets		Loans		Other^(b)		Total assets^(c)		Beneficial interests in VIE assets^(d)		Other^(e)		Total liabilities
VIE program type
Firm-sponsored credit card trusts	$	—	$	41,923	$	652	$	42,575	$	21,278	$	16	$	21,294
Firm-administered multi-seller conduits	—		23,411		48		23,459		3,045		28		3,073
Municipal bond vehicles	1,278		—		3		1,281		1,265		2		1,267
Mortgage securitization entities^(a)	66		3,661		55		3,782		359		199		558
Other	105		—		1,916		2,021		134		104		238
Total	$	1,449	$	68,995	$	2,674	$	73,118	$	26,081	$	349	$	26,430


(a)	Includes residential and commercial mortgage securitizations.


(b)	Includes assets classified as cash and other assets on the Consolidated balance sheets.


(c)	The assets of the consolidated VIEs included in the program types above are used to settle the liabilities of those entities. The assets and liabilities include third-party assets and liabilities of consolidated VIEs and exclude intercompany balances that eliminate in consolidation.

(d)

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 generally do not have recourse to the general credit of JPMorgan Chase. For conduits program-wide credit enhancements, refer to note 14 of JPMorgan Chase’s 2017 Annual Report. Included in beneficial interests in VIE assets are long-term beneficial interests of $14.6 billion and $21.8 billion at September 30, 2018, and December 31, 2017, respectively.

(e)

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 three and nine months ended September 30, 2018 and 2017, related to assets held in Firm-sponsored securitization entities that were not consolidated by the Firm, and where sale accounting was achieved at the time of the securitization.



	Three months ended September 30,								Nine months ended September 30,
	2018				2017				2018				2017
(in millions)	Residential mortgage^(e)		Commercial and other^(f)		Residential mortgage^(e)		Commercial and other^(f)		Residential mortgage^(e)		Commercial and other^(f)		Residential mortgage^(e)		Commercial and other^(f)
Principal securitized	$	1,513	$	3,533	$	1,017	$	4,411	$	5,972	$	8,705	$	3,066	$	7,723
All cash flows during the period^(a):
Proceeds received from loan sales as financial instruments^(b)	$	1,524	$	3,558	$	1,053	$	4,419	$	5,984	$	8,745	$	3,136	$	7,796
Servicing fees collected^(c)	43		1		49		1		134		1		151		3
Purchases of previously transferred financial assets (or the underlying collateral)^(d)	—		—		—		—		—		—		1		—
Cash flows received on interests	99		99		125		287		328		230		384		828


(a)	Excludes re-securitization transactions.


(b)	Predominantly includes Level 2 assets.


(c)	The prior period amounts have been revised to conform with the current period presentation.


(d)	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.


(e)	Includes prime, Alt-A, subprime, and option ARMs. Excludes loan securitization transactions entered into with Ginnie Mae, Fannie Mae and Freddie Mac.

(f)

Includes commercial mortgage and other consumer loans.

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.



	Three months ended September 30,				Nine months ended September 30,
(in millions)	2018		2017		2018		2017
Carrying value of loans sold	$	11,968	$	15,402	$	28,804	$	44,282
Proceeds received from loan sales as cash	1		104		1		117
Proceeds from loan sales as securities^(a)	11,713		15,093		28,291		43,682
Total proceeds received from loan sales^(b)	$	11,714	$	15,197	$	28,292	$	43,799
Gains on loan sales^(c)(d)	$	9	$	41	$	32	$	114


(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.

Schedule options to repurchase delinquent loans

The following table presents loans the Firm repurchased or had an option to repurchase, real estate owned, and foreclosed government-guaranteed residential mortgage loans recognized on the Firm’s Consolidated balance sheets as of September 30, 2018 and December 31, 2017. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies.


(a)	Predominantly all of these amounts relate to loans that have been repurchased from Ginnie Mae loan pools.

(b)

Relates to voluntary repurchases of loans, which are included in accrued interest and accounts receivable.

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 September 30, 2018, and December 31, 2017.



									Net liquidation losses^(a)
	Securitized assets				90 days past due				Three months ended September 30,				Nine months ended September 30,
(in millions)	Sep 30, 2018		Dec 31, 2017		Sep 30, 2018		Dec 31, 2017		2018		2017		2018			2017
Securitized loans
Residential mortgage:
Prime / Alt-A & option ARMs	$	51,914	$	52,280	$	3,612	$	4,870	$	182	$	184	$	453		$	622
Subprime	15,950		17,612		2,637		3,276		155		153		(307		)	529
Commercial and other	77,494		63,411		526		957		71		2		119			59
Total loans securitized	$	145,358	$	133,303	$	6,775	$	9,103	$	408	$	339	$	265		$	1,210


(a)	Includes liquidation gains as a result of private label mortgage settlement payments during the first quarter of 2018, which were reflected as asset recoveries by trustees.

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References + Details

(in millions)

Sep 30,
2018

Dec 31,
2017

Loans repurchased or option to repurchase^(a)

Real estate owned

Foreclosed government-guaranteed residential mortgage loans^(b)