Variable interest entities (Tables)
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9 Months Ended |
Sep. 30, 2015 |
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| Variable Interest Entities [Abstract] |
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| 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 both originated and purchased credit card receivables | 146 | | Mortgage securitization trusts | Servicing and securitization of both originated and purchased residential mortgages | 146–148 | CIB | Mortgage and other securitization trusts | Securitization of both originated and purchased residential and commercial mortgages, and student loans | 146–148
| | 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 | 148 | | Municipal bond vehicles | | 148–149
| | Credit-related note and asset swap vehicles | | 149 |
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| 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 151 of this Note for further information regarding the Firm’s cash flows with and interests retained in nonconsolidated VIEs, and page 151 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, 2015(a) (in billions) | 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 | | | | | | | | Residential mortgage: | | | | | | | | Prime/Alt-A and Option ARMs | $ | 88.7 |
| $ | 1.5 |
| $ | 73.8 |
| | $ | 0.5 |
| $ | 1.7 |
| $ | 2.2 |
| Subprime | 25.2 |
| 0.1 |
| 23.3 |
| | 0.1 |
| — |
| 0.1 |
| Commercial and other(b) | 125.6 |
| 0.2 |
| 87.3 |
| | 0.5 |
| 3.6 |
| 4.1 |
| Total | $ | 239.5 |
| $ | 1.8 |
| $ | 184.4 |
| | $ | 1.1 |
| $ | 5.3 |
| $ | 6.4 |
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| | | | | | | | | | | | | | | | | | | | | | Principal amount outstanding | | JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e) | December 31, 2014(a) (in billions) | 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 | | | | | | | | Residential mortgage: | | | | | | | | Prime/Alt-A and Option ARMs | $ | 96.3 |
| $ | 2.7 |
| $ | 78.3 |
| | $ | 0.5 |
| $ | 0.7 |
| $ | 1.2 |
| Subprime | 28.4 |
| 0.8 |
| 25.7 |
| | 0.1 |
| — |
| 0.1 |
| Commercial and other(b) | 129.6 |
| 0.2 |
| 94.4 |
| | 0.4 |
| 3.5 |
| 3.9 |
| Total | $ | 254.3 |
| $ | 3.7 |
| $ | 198.4 |
| | $ | 1.0 |
| $ | 4.2 |
| $ | 5.2 |
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| | (a) | Excludes U.S. government agency securitizations. See page 151 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. The Firm generally does not retain a residual interest in its sponsored commercial mortgage securitization transactions. |
| | (c) | The table above excludes the following: retained servicing (see Note 16 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 5 for further information on derivatives); senior and subordinated securities of $132 million and $64 million, respectively, at September 30, 2015, and $136 million and $34 million, respectively, at December 31, 2014, 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, 2015, and December 31, 2014, 76% and 77%, 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 $2.1 billion and $1.1 billion of investment-grade and $115 million and $185 million of noninvestment-grade retained interests at September 30, 2015, and December 31, 2014, respectively. The retained interests in commercial and other securitizations trusts consisted of $3.8 billion and $3.7 billion of investment-grade and $239 million and $194 million of noninvestment-grade retained interests at September 30, 2015, and December 31, 2014, respectively. |
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| Firm's exposure to nonconsolidated municipal bond VIEs |
The Firm’s exposure to nonconsolidated municipal bond VIEs at September 30, 2015, and December 31, 2014, including the ratings profile of the VIEs’ assets, was as follows. | | | | | | | | | | | | | | (in billions)(a) | Fair value of assets held by VIEs | Liquidity facilities | Excess/(deficit)(b) | Maximum exposure | Nonconsolidated municipal bond vehicles | | | | | September 30, 2015 | $ | 11.6 |
| $ | 6.5 |
| $ | 5.1 |
| $ | 6.5 |
| December 31, 2014 | 11.5 |
| 6.3 |
| 5.2 |
| 6.3 |
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| Ratings profile of the VIEs' assets |
| | | | | | | | | | | | | | | | | Ratings profile of VIE assets(c) | Fair value of assets held by VIEs | Wt. avg. expected life of assets (years) | | Investment-grade | | Noninvestment- grade | (in billions, except where otherwise noted)(a) | AAA to AAA- | AA+ to AA- | A+ to A- | BBB+ to BBB- | | BB+ and below | September 30, 2015 | 2.7 |
| 8.2 |
| 0.7 |
| — |
| | — |
| 11.6 |
| 4.7 | December 31, 2014 | 2.7 |
| 8.4 |
| 0.4 |
| — |
| | — |
| 11.5 |
| 4.9 |
| | (a) | Includes municipal bond VIEs sponsored by third parties, but where the Firm provides the liquidity facility and serves as the remarketing agent. |
| | (b) | Represents the excess/(deficit) of the fair values of municipal bond assets available to repay the liquidity facilities, if drawn. |
| | (c) | The ratings scale is presented on an S&P-equivalent basis. |
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| 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, 2015, and December 31, 2014. | | | | | | | | | | | | | | | | | | | | | | | | | Assets | | Liabilities | September 30, 2015 (in billions)(a) | 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 | $ | — |
| $ | 46.7 |
| $ | 0.7 |
| $ | 47.4 |
| | $ | 30.1 |
| $ | — |
| $ | 30.1 |
| Firm-administered multi-seller conduits | — |
| 19.0 |
| — |
| 19.0 |
| | 13.0 |
| — |
| 13.0 |
| Municipal bond vehicles | 2.7 |
| — |
| — |
| 2.7 |
| | 2.6 |
| — |
| 2.6 |
| Mortgage securitization entities(b) | 1.2 |
| 1.4 |
| — |
| 2.6 |
| | 0.9 |
| 0.7 |
| 1.6 |
| Student loan securitization entities | 0.1 |
| 2.0 |
| 0.1 |
| 2.2 |
| | 1.9 |
| — |
| 1.9 |
| Other | 0.2 |
| — |
| 1.3 |
| 1.5 |
| | 0.2 |
| 0.1 |
| 0.3 |
| Total | $ | 4.2 |
| $ | 69.1 |
| $ | 2.1 |
| $ | 75.4 |
| | $ | 48.7 |
| $ | 0.8 |
| $ | 49.5 |
| | | | | | | | | | | Assets | | Liabilities | December 31, 2014 (in billions)(a) | 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 | $ | — |
| $ | 48.3 |
| $ | 0.7 |
| $ | 49.0 |
| | $ | 31.2 |
| $ | — |
| $ | 31.2 |
| Firm-administered multi-seller conduits | — |
| 17.7 |
| 0.1 |
| 17.8 |
| | 12.0 |
| — |
| 12.0 |
| Municipal bond vehicles | 5.3 |
| — |
| — |
| 5.3 |
| | 4.9 |
| — |
| 4.9 |
| Mortgage securitization entities(b) | 3.3 |
| 0.7 |
| — |
| 4.0 |
| | 2.1 |
| 0.8 |
| 2.9 |
| Student loan securitization entities | 0.2 |
| 2.2 |
| — |
| 2.4 |
| | 2.1 |
| — |
| 2.1 |
| Other | 0.3 |
| — |
| 1.0 |
| 1.3 |
| | 0.1 |
| 0.1 |
| 0.2 |
| Total | $ | 9.1 |
| $ | 68.9 |
| $ | 1.8 |
| $ | 79.8 |
| | $ | 52.4 |
| $ | 0.9 |
| $ | 53.3 |
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| | (a) | Excludes intercompany transactions which were 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 within 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 $33.2 billion and $35.4 billion at September 30, 2015, and December 31, 2014, respectively. The maturities of the long-term beneficial interests as of September 30, 2015, were as follows: $5.0 billion under one year, $23.8 billion between one and five years, and $4.4 billion over five years. |
| | (f) | Includes liabilities classified as accounts payable and other liabilities in the Consolidated balance sheets. |
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| Securitization activities |
The following table provides information related to the Firm’s securitization activities for the three and nine months ended September 30, 2015 and 2014, related to assets held in JPMorgan Chase-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. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended September 30, | | Nine months ended September 30, | | 2015 | | 2014 | | 2015 | | 2014 | (in millions)(a) | 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 | $ | 971 |
| $ | 2,982 |
| | $ | 484 |
| $ | 3,101 |
| | $ | 2,663 |
| $ | 9,033 |
| | $ | 1,144 |
| $ | 7,740 |
| All cash flows during the period: | | | | | | | | | | | | Proceeds from new securitizations(b) | $ | 972 |
| $ | 2,995 |
| | $ | 484 |
| $ | 3,141 |
| | $ | 2,674 |
| $ | 9,053 |
| | $ | 1,147 |
| $ | 7,849 |
| Servicing fees collected | 129 |
| — |
| | 142 |
| 1 |
| | 409 |
| 2 |
| | 418 |
| 3 |
| Purchases of previously transferred financial assets (or the underlying collateral)(c) | 1 |
| — |
| | 52 |
| — |
| | 2 |
| — |
| | 119 |
| — |
| Cash flows received on interests | 122 |
| 172 |
| | 43 |
| 56 |
| | 308 |
| 379 |
| | 128 |
| 515 |
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| | (a) | Excludes re-securitization transactions. |
| | (b) | For the three and nine months ended September 30, 2015, $913 million and $2.6 billion, respectively, of proceeds from residential mortgage securitizations were received as securities classified in level 2 and $59 million of proceeds classified as level 3 of the fair value hierarchy. For the three and nine months ended September 30, 2015, $3.0 billion and $9.0 billion, respectively, of proceeds from commercial mortgage securitizations were received as securities classified in level 2 and $5 million and $43 million, respectively, of proceeds classified as level 3 of the fair value hierarchy. For the three and nine months ended September 30, 2014, $484 million and $1.1 billion of proceeds from residential mortgage securitizations were received as securities classified in level 2 and zero and $21 million of proceeds classified as level 3 of the fair value hierarchy, respectively. For the three and nine months ended September 30, 2014, $3.1 billion and $7.4 billion, respectively, of proceeds from commercial mortgage securitizations were received as securities classified in level 2 and zero and $130 million of proceeds classified as level 3 of the fair value hierarchy, and zero and $280 million of proceeds from commercial mortgage securitization were received as cash. All loans transferred into securitization vehicles during the three and nine months ended September 30, 2015 and 2014, were classified as trading assets; changes in fair value were recorded in principal transactions revenue, and there were no significant gains or losses associated with the securitization activity. |
| | (c) | 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. |
| | (d) | Includes prime, Alt-A, subprime, and option ARMs. Excludes certain loan securitization transactions entered into with Ginnie Mae, Fannie Mae and Freddie Mac. |
| | (e) | Includes commercial and student loan securitizations. |
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| Summary of loan sale activities |
The following table summarizes the activities related to loans sold to the 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) | 2015 | 2014 | | 2015 | 2014 | Carrying value of loans sold(a) | $ | 11,394 |
| $ | 12,396 |
| | $ | 34,193 |
| $ | 38,919 |
| Proceeds received from loan sales as cash | 139 |
| 77 |
| | 238 |
| 166 |
| Proceeds from loans sales as securities(b) | 11,170 |
| 12,250 |
| | 33,758 |
| 38,446 |
| Total proceeds received from loan sales(c) | $ | 11,309 |
| $ | 12,327 |
| | $ | 33,996 |
| $ | 38,612 |
| Gains on loan sales(d) | $ | 61 |
| $ | 86 |
| | $ | 238 |
| $ | 205 |
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| | (a) | Predominantly to the GSEs and in securitization transactions pursuant to Ginnie Mae guidelines. |
| | (b) | Predominantly includes securities from the GSEs and Ginnie Mae that are generally sold shortly after receipt. |
| | (c) | Excludes the value of MSRs retained upon the sale of loans. Gains on loan sales include the value of MSRs. |
| | (d) | The carrying value of the loans accounted for at fair value approximated the total proceeds received upon loan sale. |
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| 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, in which the Firm has continuing involvement, and delinquencies as of September 30, 2015, and December 31, 2014, respectively; and liquidation losses for the three and nine months ended September 30, 2015 and 2014, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Liquidation losses | | Securitized assets | | 90 days past due | | Three months ended September 30, | | Nine months ended September 30, | (in millions) | Sep 30,
2015 | Dec 31,
2014 | | Sep 30,
2015 | Dec 31,
2014 | | 2015 | 2014 | | 2015 | 2014 | Securitized loans(a) | | | | | | | | | | | | Residential mortgage: | | | | | | | | | | | | Prime / Alt-A & Option ARMs | $ | 73,779 |
| $ | 78,294 |
| | $ | 9,481 |
| $ | 11,363 |
| | $ | 486 |
| $ | 465 |
| | $ | 1,402 |
| $ | 1,722 |
| Subprime | 23,300 |
| 25,659 |
| | 5,730 |
| 6,473 |
| | 380 |
| 353 |
| | 1,105 |
| 1,556 |
| Commercial and other | 87,369 |
| 94,438 |
| | 1,580 |
| 1,522 |
| | 211 |
| 471 |
| | 350 |
| 1,113 |
| Total loans securitized(b) | $ | 184,448 |
| $ | 198,391 |
| | $ | 16,791 |
| $ | 19,358 |
| | $ | 1,077 |
| $ | 1,289 |
| | $ | 2,857 |
| $ | 4,391 |
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| | (a) | Total assets held in securitization-related SPEs were $239.5 billion and $254.3 billion, respectively, at September 30, 2015, and December 31, 2014. The $184.4 billion and $198.4 billion, respectively, of loans securitized at September 30, 2015, and December 31, 2014, excluded: $53.3 billion and $52.2 billion, respectively, of securitized loans in which the Firm has no continuing involvement, and $1.8 billion and $3.7 billion, respectively, of loan securitizations consolidated on the Firm’s Consolidated balance sheets at September 30, 2015, and December 31, 2014. |
| | (b) | Includes securitized loans that were previously recorded at fair value and classified as trading assets. |
|