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Variable Interest Entities
 9 Months Ended
Sep. 30, 2023
Variable Interest Entities [Abstract]  
Variable Interest Entities Variable interest entities
Refer to Note 1 and Note 14 of JPMorgan Chase’s 2022 Form 10-K for a further description of the Firm's accounting policies and involvement with VIEs.
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 BusinessTransaction TypeActivityForm 10-Q page references
CCBCredit card securitization trustsSecuritization of originated credit card receivables165
Mortgage securitization trustsServicing and securitization of both originated and purchased residential mortgages165–167
CIBMortgage and other securitization trustsSecuritization of both originated and purchased residential and commercial mortgages, and other consumer loans165–167
Multi-seller conduitsAssisting clients in accessing the financial markets in a cost-efficient manner and structuring transactions to meet investor needs167
Municipal bond vehiclesFinancing of municipal bond investments167
The Firm also invests in and provides financing and other services to VIEs sponsored by third parties. Refer to pages 168–169 of this Note for more information on consolidated VIE assets and liabilities as well as the VIEs sponsored by third parties.
Significant Firm-sponsored VIEs
Credit card securitizations
As a result of the Firm’s continuing involvement, the Firm is considered to be the primary beneficiary of its Firm-sponsored credit card securitization trust, the Chase Issuance Trust.
Firm-sponsored mortgage and other securitization trusts
The Firm securitizes (or has securitized) originated and purchased residential mortgages, commercial mortgages and other consumer loans primarily in its CCB and CIB businesses. Depending on the particular transaction, as well as the respective business involved, the Firm may act as the servicer of the loans and/or retain certain beneficial interests in the 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, 2023 (in millions)Total assets held by securitization VIEsAssets
held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvementTrading assets Investment securitiesOther financial assetsTotal interests held by JPMorgan
Chase
Securitization-related(a)
Residential mortgage:
Prime/Alt-A and option ARMs$58,068 $694 $38,600 $579 $2,002 $41 $2,622 
Subprime9,089 — 1,290 3 — — 3 
Commercial and other(b)
167,402 80 129,838 899 5,634 1,368 7,901 
Total$234,559 $774 $169,728 $1,481 $7,636 $1,409 $10,526 
Principal amount outstanding
JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
December 31, 2022 (in millions)Total assets held by securitization VIEsAssets
held in consolidated securitization VIEs		Assets held in nonconsolidated securitization VIEs with continuing involvementTrading assets Investment securitiesOther financial assetsTotal interests held by
JPMorgan
Chase
Securitization-related(a)
Residential mortgage:
Prime/Alt-A and option ARMs$55,362 $754 $37,058 $744 $1,918 $— $2,662 
Subprime9,709 — 1,743 10 — — 10 
Commercial and other(b)
164,915 — 127,037 888 5,373 670 6,931 
Total$229,986 $754 $165,838 $1,642 $7,291 $670 $9,603 
(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.
(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 securities of $140 million and $134 million at September 30, 2023 and December 31, 2022, respectively, and subordinated securities which were $115 million and $34 million at September 30, 2023 and December 31, 2022, respectively, 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, 2023 and December 31, 2022, 78% and 84%, 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 $2.6 billion of investment-grade retained interests at both September 30, 2023 and December 31, 2022, and $66 million and $27 million of noninvestment-grade retained interests at September 30, 2023 and December 31, 2022, respectively. The retained interests in commercial and other securitization trusts consisted of $6.2 billion and $5.8 billion of investment-grade retained interests at September 30, 2023 and December 31, 2022, respectively, and $1.7 billion and $1.1 billion of noninvestment-grade retained interests at September 30, 2023 and December 31, 2022, respectively.
Residential mortgage
The Firm securitizes residential mortgage loans originated by CCB, as well as residential mortgage loans purchased from third parties by either CCB or CIB.
Commercial mortgages and other consumer securitizations
CIB originates and securitizes commercial mortgage loans, and engages in underwriting and trading activities involving the securities issued by securitization trusts.
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)2023202220232022
Transfers of securities to VIEs
U.S. GSEs and government agencies$4,521 $1,417 $14,188 $14,866 
The Firm did not transfer any private label securities to re-securitization VIEs during the three and nine months ended September 30, 2023 and 2022, respectively and retained interests in any such Firm-sponsored VIEs as of September 30, 2023 and December 31, 2022 were not material.
The following table presents information on the Firm's interests in nonconsolidated re-securitization VIEs.
Nonconsolidated
re-securitization VIEs
(in millions)September 30, 2023December 31, 2022
U.S. GSEs and government agencies
Interest in VIEs
$3,287 $2,580 
As of September 30, 2023 and December 31, 2022, the Firm did not consolidate any U.S. GSE and government agency re-securitization VIEs or any Firm-sponsored private-label re-securitization VIEs.
Multi-seller conduits
In the normal course of business, JPMorgan Chase makes markets in and invests in commercial paper issued by the Firm-administered multi-seller conduits. The Firm held $8.7 billion and $13.8 billion of the commercial paper issued by the Firm-administered multi-seller conduits at September 30, 2023 and December 31, 2022, respectively, which have been eliminated in consolidation. The Firm’s investments reflect the Firm’s funding needs and capacity and were not driven by market illiquidity. Other than the amounts required to be held pursuant to credit risk retention rules, the Firm is not obligated under any agreement to purchase the commercial paper issued by the Firm-administered multi-seller conduits.
Deal-specific liquidity facilities, program-wide liquidity and credit enhancement provided by the Firm have been eliminated in consolidation. The Firm or the Firm-administered multi-seller conduits provide lending-related commitments to certain clients of the Firm-administered multi-seller conduits. The unfunded commitments were $9.9 billion and $10.6 billion at September 30, 2023 and December 31, 2022, respectively, and are reported as off-balance sheet lending-related commitments in other unfunded commitments to extend credit. Refer to Note 24 for more information on off-balance sheet lending-related commitments.
Municipal bond vehicles
Municipal bond vehicles or tender option bond (“TOB”) trusts allow institutions to finance their municipal bond investments at short-term rates. TOB transactions are known as customer TOB trusts and non-customer TOB trusts. Customer TOB trusts are sponsored by a third party.
The Firm serves as sponsor for all non-customer TOB transactions.
Consolidated VIE assets and liabilities
The following table presents information on assets and liabilities related to VIEs consolidated by the Firm as of September 30, 2023 and December 31, 2022.
AssetsLiabilities
September 30, 2023 (in millions)Trading assetsLoans
Other(b)
 Total
assets(c)
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
VIE program type
Firm-sponsored credit card trusts$—$9,003$112$9,115$2,997$6$3,003
Firm-administered multi-seller conduits128,27619628,47319,8172919,846
Municipal bond vehicles1,725—261,7511,888111,899
Mortgage securitization entities(a)
—712872012858186
Other5418525149066140206
Total$1,780$38,176$593$40,549$24,896$244$25,140
AssetsLiabilities
December 31, 2022 (in millions)Trading assetsLoans
Other(b)
 Total
assets(c)
Beneficial interests in
VIE assets(d)
Other(e)
Total
liabilities
VIE program type
Firm-sponsored credit card trusts$—$9,699$100$9,799$1,999$2$2,001
Firm-administered multi-seller conduits—22,81917022,9899,236399,275
Municipal bond vehicles2,089—72,0961,232101,242
Mortgage securitization entities(a)
—7811079114367210
Other621,112
(f)
2631,437—161161
Total$2,151$34,411$550$37,112$12,610$279$12,889
(a)Includes residential 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 on the Consolidated balance sheets as “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 $3.2 billion and $2.1 billion at September 30, 2023 and December 31, 2022, respectively.
(e)Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.
(f)Primarily includes purchased supply chain finance receivables and purchased auto loan securitizations in CIB.
VIEs sponsored by third parties
The Firm enters into transactions with VIEs structured by other parties. These include, for example, acting as a derivative counterparty, liquidity provider, investor, underwriter, placement agent, remarketing agent, trustee or custodian. These transactions are conducted at arm’s-length, and individual credit decisions are based on the analysis of the specific VIE, taking into consideration the quality of the underlying assets. Where the Firm does not have the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance, or a variable interest that could potentially be significant, the Firm generally does not consolidate the VIE, but it records and reports these positions on its Consolidated balance sheets in the same manner it would record and report positions in respect of any other third-party transaction.
Tax credit vehicles
The Firm holds investments in unconsolidated tax credit vehicles, which are limited partnerships and similar entities that own and operate affordable housing, energy, and other projects. These entities are primarily considered VIEs. A third party is typically the general partner or managing
member and has control over the significant activities of the tax credit vehicles, and accordingly the Firm does not consolidate tax credit vehicles. The Firm generally invests in these partnerships as a limited partner and earns a return primarily through the receipt of tax credits allocated to the projects. The maximum loss exposure, represented by equity investments and funding commitments, was $32.5 billion and $30.2 billion at September 30, 2023 and December 31, 2022, of which $12.7 billion and $10.6 billion was unfunded at September 30, 2023 and December 31, 2022, respectively. The Firm assesses each project and to reduce the risk of loss, may withhold varying amounts of its capital investment until the project qualifies for tax credits. Refer to Note 25 of JPMorgan Chase’s 2022 Form 10-K for further information on affordable housing tax credits and Note 24 of this Form 10-Q for more information on off-balance sheet lending-related commitments.
Customer municipal bond vehicles (TOB trusts)
The Firm may provide various services to customer TOB trusts, including remarketing agent, liquidity or tender option provider. In certain customer TOB transactions, the Firm, as liquidity provider, has entered into a reimbursement agreement with the Residual holder.
In those transactions, upon the termination of the vehicle, the Firm has recourse to the third-party Residual holders for any shortfall. The Firm does not have any intent to protect Residual holders from potential losses on any of the underlying municipal bonds. The Firm does not consolidate customer TOB trusts, since the Firm does not have the power to make decisions that significantly impact the economic performance of the municipal bond vehicle.
The Firm’s maximum exposure as a liquidity provider to customer TOB trusts at September 30, 2023 and December 31, 2022 was $5.5 billion and $5.8 billion, respectively. The fair value of assets held by such VIEs at September 30, 2023 and December 31, 2022 was $7.2 billion and $8.2 billion, respectively.
Loan securitizations
The Firm has securitized and sold a variety of loans, including residential mortgages, credit card receivables, commercial mortgages and other consumer loans.
Securitization activity
The following table provides information related to the Firm’s securitization activities for the three and nine months ended September 30, 2023 and 2022, 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,
2023202220232022
(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$2,721 $2,737 $386 $1,297 $6,010 $3,113 $9,909 $8,355 
All cash flows during the period:(a)
Proceeds received from loan sales as financial instruments(b)(c)
$2,585 $2,726 $375 $1,278 $5,738 $3,106 $9,504 $8,253 
Servicing fees collected6 2 12 — 18 3 56 — 
Cash flows received on interests
89 126 131 71 249 304 413 196 
(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.
Loans and excess MSRs sold to U.S. government-sponsored
enterprises and loans in securitization transactions pursuant to
Ginnie Mae guidelines
In addition to the amounts reported in the securitization activity tables above, the Firm, in the normal course of business, sells originated and purchased mortgage loans and certain originated excess MSRs on a nonrecourse basis, predominantly to U.S. GSEs. These loans and excess MSRs are sold primarily for the purpose of securitization by the U.S. GSEs, who provide certain guarantee provisions (e.g., credit enhancement of the loans). The Firm also sells loans into securitization transactions pursuant to Ginnie Mae guidelines; these loans are typically insured or guaranteed by another U.S. government agency. The Firm does not consolidate the securitization vehicles underlying these transactions as it is not the primary beneficiary. For a limited number of loan sales, the Firm is obligated to share
a portion of the credit risk associated with the sold loans with the purchaser. Refer to Note 24 of this Form 10-Q for additional information about the Firm’s loan sales- and securitization-related indemnifications and Note 15 for additional information about the impact of the Firm’s sale of certain excess MSRs.
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)2023202220232022
Carrying value of loans sold
$5,582 $9,501 $14,603 $43,890 
Proceeds received from loan sales as cash
119 2 159 15 
Proceeds from loan sales as securities(a)(b)
5,397 9,352 14,279 43,161 
Total proceeds received from loan sales(c)
$5,516 $9,354 $14,438 $43,176 
Gains/(losses) on loan sales(d)(e)
$— $(25)$— $(25)
(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.
Options to repurchase delinquent loans
In addition to the Firm’s obligation to repurchase certain loans due to material breaches of representations and warranties as discussed in Note 24, the Firm also has the option to repurchase delinquent loans that it services for Ginnie Mae loan pools, as well as for other U.S. government
agencies under certain arrangements. The Firm typically elects to repurchase delinquent loans from Ginnie Mae loan pools as it continues to service them and/or manage the foreclosure process in accordance with the applicable requirements, and such loans continue to be insured or guaranteed. When the Firm’s repurchase option becomes exercisable, such loans must be reported on the Consolidated balance sheets as a loan with a corresponding liability. Refer to Note 12 for additional information.
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, 2023 and December 31, 2022. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies.
(in millions)September 30,
2023		December 31,
2022
Loans repurchased or option to repurchase(a)
$769 $839 
Real estate owned
8 10 
Foreclosed government-guaranteed residential mortgage loans(b)
24 27 
(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.

Loan delinquencies and liquidation losses
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, 2023 and December 31, 2022.
Net liquidation losses/(recoveries)
Securitized assets90 days past dueThree months ended September 30,Nine months ended September 30,
(in millions)September 30, 2023December 31, 2022September 30, 2023December 31, 20222023202220232022
Securitized loans
Residential mortgage:
Prime / Alt-A & option ARMs$38,600 $37,058 $471 $511 $2 $(5)$12 $(32)
Subprime1,290 1,743 131 212 1 (1)5 (4)
Commercial and other129,838 127,037 2,342 948 40 11 59 22 
Total loans securitized$169,728 $165,838 $2,944 $1,671 $43 $5 $76 $(14)