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Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2019

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	139
	Mortgage securitization trusts	Servicing and securitization of both originated and purchased residential mortgages	139-141
CIB	Mortgage and other securitization trusts	Securitization of both originated and purchased residential and commercial mortgages, and other consumer loans	139-141
	Multi-seller conduits	Assist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs	141
	Municipal bond vehicles	Financing of municipal bond investments	141

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 contracts. In certain instances, the Firm’s only continuing involvement is servicing the loans. Refer to Securitization activity on page 143 of this Note for further information regarding the Firm’s cash flows associated with and interests retained in nonconsolidated VIEs, and pages 143–144 of this Note for information on the Firm’s loan sales and securitization activity related to U.S. GSEs and government agencies.



	Principal amount outstanding						JPMorgan Chase interest in securitized assets in nonconsolidated VIEs^(c)(d)(e)
September 30, 2019 (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	$	61,480	$	2,966	$	49,826	$	522	$	728	$	—	$	1,250
Subprime	15,156		—		14,085		16		—		—		16
Commercial and other^(b)	101,624		—		86,302		919		708		234		1,861
Total	$	178,260	$	2,966	$	150,213	$	1,457	$	1,436	$	234	$	3,127



	Principal amount outstanding						JPMorgan Chase interest in securitized assets in nonconsolidated VIEs^(c)(d)(e)
December 31, 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	$	63,350	$	3,237	$	50,679	$	623	$	647	$	—	$	1,270
Subprime	16,729		32		15,434		53		—		—		53
Commercial and other^(b)	102,961		—		79,387		783		801		210		1,794
Total	$	183,040	$	3,269	$	145,500	$	1,459	$	1,448	$	210	$	3,117


(a)	Excludes U.S. GSEs and government agency securitizations and re-securitizations, which are not Firm-sponsored. Refer to pages 143–144 of this Note for information on the Firm’s loan sales and securitization activity related to U.S. GSEs and government agencies.


(b)	Consists of securities backed by commercial real estate loans 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 and securitization activity related to U.S. GSEs and 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 $168 million and $69 million, respectively, at September 30, 2019, and $87 million and $28 million, respectively, at December 31, 2018, 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, 2019, and December 31, 2018, 67% and 60%, 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 $1.2 billion and $1.3 billion of investment-grade, and $55 million and $16 million of noninvestment-grade at September 30, 2019, and December 31, 2018, respectively. The retained interests in commercial and other securitizations trusts consisted of $1.3 billion and $1.2 billion of investment-grade retained interests at September 30, 2019 and December 31, 2018, and $567 million and $623 million of noninvestment-grade retained interests at September 30, 2019, and December 31, 2018, 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)	2019		2018		2019		2018
Transfers of securities to VIEs
U.S. GSEs and government agencies	$	5,377	$	2,540	$	12,444	$	11,321

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



	Nonconsolidated re-securitization VIEs
(in millions)	September 30, 2019		December 31, 2018
Firm-sponsored private-label
Assets held in VIEs with continuing involvement^(a)	$	21	$	118
Interest in VIEs	—		10
U.S. GSEs and government agencies
Interest in VIEs	2,097		3,058

(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, 2019, and December 31, 2018.



	Assets								Liabilities
September 30, 2019 (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	$	—	$	27,377	$	370	$	27,747	$	6,457	$	6	$	6,463
Firm-administered multi-seller conduits	3		22,708		334		23,045		10,514		35		10,549
Municipal bond vehicles	1,280		—		3		1,283		1,249		2		1,251
Mortgage securitization entities^(a)	70		2,937		58		3,065		295		137		432
Other	108		—		209		317		—		121		121
Total	$	1,461	$	53,022	$	974	$	55,457	$	18,515	$	301	$	18,816

	Assets								Liabilities
December 31, 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	$	—	$	31,760	$	491	$	32,251	$	13,404	$	12	$	13,416
Firm-administered multi-seller conduits	—		24,411		300		24,711		4,842		33		4,875
Municipal bond vehicles	1,779		—		4		1,783		1,685		3		1,688
Mortgage securitization entities^(a)	53		3,285		40		3,378		308		161		469
Other	134		—		178		312		2		103		105
Total	$	1,966	$	59,456	$	1,013	$	62,435	$	20,241	$	312	$	20,553


(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. Refer to note 14 of JPMorgan Chase’s 2018 Form 10-K for conduits program-wide credit enhancements. Included in beneficial interests in VIE assets are long-term beneficial interests of $6.8 billion and $13.7 billion at September 30, 2019, and December 31, 2018.

(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, 2019 and 2018, 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,
	2019				2018				2019				2018
(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	$	3,225	$	1,477	$	1,513	$	3,533	$	7,132	$	4,215	$	5,972	$	8,705
All cash flows during the period^(a):
Proceeds received from loan sales as financial instruments^(b)(c)	$	3,327	$	1,506	$	1,524	$	3,558	$	7,337	$	4,329	$	5,984	$	8,745
Servicing fees collected^(d)	70		—		80		1		220		1		240		1
Cash flows received on interests	115		34		99		99		314		183		328		230


(a)	Excludes re-securitization transactions.


(b)	Predominantly includes Level 2 assets.


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


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


(e)	Includes prime mortgages only. Excludes loan securitization activity related to U.S. GSEs and government agencies.

(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, and loans in securitization transactions pursuant to Ginnie Mae guidelines.



	Three months ended September 30,				Nine months ended September 30,
(in millions)	2019		2018		2019		2018
Carrying value of loans sold	$	35,556	$	11,968	$	73,873	$	28,804
Proceeds received from loan sales as cash	3		1		73		1
Proceeds from loan sales as securities^(a)(b)	35,512		11,713		73,172		28,291
Total proceeds received from loan sales^(c)	$	35,515	$	11,714	$	73,245	$	28,292
Gains on loan sales^(d)(e)	$	342	$	9	$	495	$	32


(a)	Includes securities from U.S. GSEs and Ginnie Mae that are generally sold shortly after receipt or retained as part of the Firm’s Investment securities portfolio.


(b)	Included in level 2 assets.


(c)	Excludes the value of MSRs retained upon the sale of loans.


(d)	Gains on loan sales include the value of MSRs.

(e)

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, 2019 and December 31, 2018. 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, 2019, and December 31, 2018.



									Net liquidation losses^(a)
	Securitized assets				90 days past due				Three months ended September 30,				Nine months ended September 30,
(in millions)	Sep 30, 2019		Dec 31, 2018		Sep 30, 2019		Dec 31, 2018		2019		2018		2019		2018
Securitized loans
Residential mortgage:
Prime / Alt-A & option ARMs	$	49,826	$	50,679	$	2,679	$	3,354	$	146	$	182	$	474	$	453
Subprime	14,085		15,434		1,962		2,478		145		155		456		(307		)
Commercial and other	86,302		79,387		153		225		118		71		283		119
Total loans securitized	$	150,213	$	145,500	$	4,794	$	6,057	$	409	$	408	$	1,213	$	265


(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,
2019

Dec 31,
2018

Loans repurchased or option to repurchase^(a)

Real estate owned

Foreclosed government-guaranteed residential mortgage loans^(b)