Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2021

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 “Firm-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	Form 10-Q page references
CCB	Credit card securitization trusts	Securitization of originated credit card receivables	155
	Mortgage securitization trusts	Servicing and securitization of both originated and purchased residential mortgages	155-157
CIB	Mortgage and other securitization trusts	Securitization of both originated and purchased residential and commercial mortgages, and other consumer loans	155-157
	Multi-seller conduits	Assist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs	157
	Municipal bond vehicles	Financing of municipal bond investments	157

Firm-sponsored mortgage and other consumer securitization trusts

The following tables present 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. The Firm’s maximum loss exposure from retained and purchased interests is the carrying value of these interests.


	Principal amount outstanding						JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
September 30, 2021 (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	$	52,280	$	1,057	$	43,700	$	561	$	572	$	100	$	1,233
Subprime	11,430		29		10,537		3		—		—		3
Commercial and other(b)	135,904		—		110,012		861		2,443		324		3,628
Total	$	199,614	$	1,086	$	164,249	$	1,425	$	3,015	$	424	$	4,864


	Principal amount outstanding						JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
December 31, 2020 (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	$	49,644	$	1,693	$	41,265	$	574	$	724	$	—	$	1,298
Subprime	12,896		46		12,154		9		—		—		9
Commercial and other(b)	119,732		—		92,351		955		1,549		262		2,766
Total	$	182,272	$	1,739	$	145,770	$	1,538	$	2,273	$	262	$	4,073

(a)Excludes U.S. GSEs and government agency securitizations and re-securitizations, which are not Firm-sponsored.

(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; 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; senior and subordinated securities of $167 million and $72 million, respectively, at September 30, 2021, and $105 million and $40 million, respectively, at December 31, 2020, which the Firm purchased in connection with CIB’s secondary market-making activities.

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

(e)As of both September 30, 2021 and December 31, 2020, 73% 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 $1.1 billion and $1.3 billion of investment-grade retained interests, and $131 million and $41 million of noninvestment-grade retained interests at September 30, 2021, and December 31, 2020, respectively. The retained interests in commercial and other securitization trusts consisted of $2.8 billion and $2.0 billion of investment-grade retained interests, and $854 million and $753 million of noninvestment-grade retained interests at September 30, 2021 and December 31, 2020, 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)	2021		2020		2021		2020
Transfers of securities to VIEs

U.S. GSEs and government agencies	$	11,258	$	12,488	$	43,157	$	27,710

The following table presents information on the Firm's interests in nonconsolidated re-securitization VIEs.


	Nonconsolidated re-securitization VIEs
(in millions)	September 30, 2021		December 31, 2020
U.S. GSEs and government agencies
Interest in VIEs	$	2,074	$	2,631

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, 2021, and December 31, 2020.


	Assets									Liabilities
September 30, 2021 (in millions)	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	$	—	$	10,606		$	97	$	10,703	$	2,396	$	1	$	2,397
Firm-administered multi-seller conduits	2		21,077			76		21,155		8,612		37		8,649
Municipal bond vehicles	2,009		—			4		2,013		1,976		—		1,976
Mortgage securitization entities(a)	—		1,091			47		1,138		216		90		306

Other	—		2,578		(b)	292		2,870		57		106		163
Total	$	2,011	$	35,352		$	516	$	37,879	$	13,257	$	234	$	13,491

	Assets									Liabilities
December 31, 2020 (in millions)	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	$	—	$	11,962		$	148	$	12,110	$	4,943	$	3	$	4,946
Firm-administered multi-seller conduits	2		23,787			188		23,977		10,523		33		10,556
Municipal bond vehicles	1,930		—			2		1,932		1,902		—		1,902
Mortgage securitization entities(a)	—		1,694			94		1,788		210		108		318

Other	2		176			249		427		—		89		89
Total	$	1,934	$	37,619		$	681	$	40,234	$	17,578	$	233	$	17,811

(a)Includes residential and commercial mortgage securitizations.

(b)Predominantly includes purchased supply chain finance receivables and purchased auto loan securitizations in CIB.

(c)Includes assets classified as cash 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 assets and liabilities include third-party assets and liabilities of consolidated VIEs and exclude intercompany balances that eliminate in consolidation.

(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 VIEs”. The holders of these beneficial interests generally do not have recourse to the general credit of JPMorgan Chase. Included in beneficial interests in VIE assets are long-term beneficial interests of $2.7 billion and $5.2 billion at September 30, 2021, and December 31, 2020, respectively.

(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 three and nine months ended September 30, 2021 and 2020, 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,
	2021				2020				2021				2020
(in millions)	Residential mortgage(d)		Commercial and other(e)		Residential mortgage(d)		Commercial and other(e)		Residential mortgage(d)		Commercial and other(e)		Residential mortgage(d)		Commercial and other(e)
Principal securitized	$	8,245	$	4,426	$	2,852	$	1,330	$	16,437	$	9,214	$	6,450	$	5,379
All cash flows during the period:(a)
Proceeds received from loan sales as financial instruments(b)(c)	$	8,424	$	4,456	$	2,955	$	1,392	$	16,876	$	9,335	$	6,645	$	5,577
Servicing fees collected	39		—		54		1		121		—		165		1
Cash flows received on interests	121		92		207		78		477		215		538		138

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

(e)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)	2021		2020		2021		2020
Carrying value of loans sold	$	29,033	$	18,065	$	76,639	$	60,447
Proceeds received from loan sales as cash	70		5		110		27
Proceeds from loan sales as securities(a)(b)	28,549		17,858		75,331		59,795
Total proceeds received from loan sales(c)	$	28,619	$	17,863	$	75,441	$	59,822
Gains/(losses) on loan sales(d)(e)	$	—	$	—	$	4	$	6

(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/(losses) 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, 2021 and December 31, 2020. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies.


(in millions)	Sep 30, 2021		Dec 31, 2020
Loans repurchased or option to repurchase(a)	$	1,103	$	1,413
Real estate owned	5		9
Foreclosed government-guaranteed residential mortgage loans(b)	44		64

(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 and delinquencies related to nonconsolidated securitized financial assets held in Firm-sponsored private-label securitization entities, in which the Firm has continuing involvement as of September 30, 2021, and December 31, 2020.


									Net liquidation losses
	Securitized assets				90 days past due				Three months ended September 30,				Nine months ended September 30,
(in millions)	Sep 30, 2021		Dec 31, 2020		Sep 30, 2021		Dec 31, 2020		2021		2020		2021		2020
Securitized loans
Residential mortgage:
Prime / Alt-A & option ARMs	$	43,700	$	41,265	$	3,160	$	4,988	$	—	$	9	$	14	$	184
Subprime	10,537		12,154		1,808		2,406		—		24		18		159
Commercial and other	110,012		92,351		3,254		5,958		244		—		265		11
Total loans securitized	$	164,249	$	145,770	$	8,222	$	13,352	$	244	$	33	$	297	$	354

- 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.

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