Variable interest entities

For a further description of JPMorgan Chase’s accounting policies regarding consolidation of VIEs, see Note 1 of JPMorgan Chase’s 2015 Annual Report.

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	122
	Mortgage securitization trusts	Servicing and securitization of both originated and purchased residential mortgages	122–124
CIB	Mortgage and other securitization trusts	Securitization of both originated and purchased residential and commercial mortgages, and student loans	122–124
	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	124
	Municipal bond vehicles		124–125

The Firm also invests in and provides financing and other services to VIEs sponsored by third parties, as described on page 125 of this Note.

Significant Firm-sponsored variable interest entities

Credit card securitizations

For a more detailed discussion of JPMorgan Chase’s involvement with credit card securitizations, see Note 16 of JPMorgan Chase’s 2015 Annual Report.

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 trusts. This includes the Firm’s primary card securitization trust, Chase Issuance Trust. See the table on page 126 of this Note for further information on consolidated VIE assets and liabilities.

Firm-sponsored mortgage and other securitization trusts

The Firm securitizes (or has securitized) originated and purchased residential mortgages, commercial mortgages and other consumer loans (including student 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.

For a detailed discussion of the Firm’s involvement with Firm-sponsored mortgage and other securitization trusts, as well as the accounting treatment relating to such trusts, see Note 16 of JPMorgan Chase’s 2015 Annual Report.

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 127 of this Note for further information regarding the Firm’s cash flows with and interests retained in nonconsolidated VIEs, and page 127 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)
March 31, 2016^(a) (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		AFS securities		Total interests held by JPMorgan Chase
Securitization-related
Residential mortgage:
Prime/Alt-A and option ARMs	$	82,221	$	1,322	$	65,673	$	266	$	1,545	$	1,811
Subprime	23,858		118		21,971		80		—		80
Commercial and other^(b)	118,440		107		91,632		701		3,268		3,969
Total	$	224,519	$	1,547	$	179,276	$	1,047	$	4,813	$	5,860



	Principal amount outstanding						JPMorgan Chase interest in securitized assets in nonconsolidated VIEs^(c)(d)(e)
December 31, 2015^(a) (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		AFS securities		Total interests held by JPMorgan Chase
Securitization-related
Residential mortgage:
Prime/Alt-A and option ARMs	$	85,687	$	1,400	$	66,708	$	393	$	1,619	$	2,013
Subprime	24,389		64		22,549		109		—		109
Commercial and other^(b)	123,474		107		80,319		447		3,451		3,898
Total	$	233,550	$	1,571	$	169,576	$	949	$	5,070	$	6,020


(a)	Excludes U.S. government agency securitizations. See page 127 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 $312 million and $52 million, respectively, at March 31, 2016, and $163 million and $73 million, respectively, at December 31, 2015, which the Firm purchased in connection with CIB’s secondary market-making activities.


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

(e)

As of March 31, 2016, and December 31, 2015, 71% and 76%, 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 $1.7 billion and $1.9 billion of investment-grade and $85 million and $93 million of noninvestment-grade retained interests at March 31, 2016, and December 31, 2015, respectively. The retained interests in commercial and other securitizations trusts consisted of $3.7 billion and $3.7 billion of investment-grade and $296 million and $198 million of noninvestment-grade retained interests at March 31, 2016, and December 31, 2015, respectively.

Residential mortgage

For a more detailed description of the Firm’s involvement with residential mortgage securitizations, see Note 16 of JPMorgan Chase’s 2015 Annual Report.

At March 31, 2016, and December 31, 2015, the Firm did not consolidate the assets of certain Firm-sponsored residential mortgage securitization VIEs, in which the Firm had continuing involvement, primarily due to the fact that the Firm did not hold an interest in these trusts that could potentially be significant to the trusts. See the table on page 126 of this Note for more information on the consolidated residential mortgage securitizations, and the table on the previous page of this Note for further information on interests held in nonconsolidated residential mortgage securitizations.

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. For a more detailed description of the Firm’s involvement with commercial mortgage and other consumer securitizations, see Note 16 of JPMorgan Chase’s 2015 Annual Report. See the table on page 126 of this Note for more information on the consolidated commercial mortgage securitizations, and the table on the previous page of this Note for further information on interests held in nonconsolidated securitizations.

Re-securitizations

For a more detailed description of JPMorgan Chase’s

participation in certain re-securitization transactions, see Note 16 of JPMorgan Chase’s 2015 Annual Report.

During the three months ended March 31, 2016 and 2015, the Firm transferred $2.9 billion and $3.9 billion respectively of securities to agency VIEs, and zero and $472 million, respectively, of securities to private-label VIEs.

As of March 31, 2016, and December 31, 2015, total assets (including the notional amount of interest-only securities) of nonconsolidated Firm-sponsored private-label re-securitization entities in which the Firm has continuing involvement were $2.0 billion and $2.2 billion, respectively. At March 31, 2016, and December 31, 2015, the Firm held approximately $4.2 billion and $4.6 billion, respectively, of interests in nonconsolidated agency re-securitization entities. The Firm’s exposure to non-consolidated private-label re-securitization entities as of March 31, 2016, and December 31, 2015 was not material. As of March 31, 2016, and December 31, 2015, the Firm did not consolidate any agency re-securitizations. As of March 31, 2016, and December 31, 2015, the Firm consolidated an insignificant amount of assets and liabilities of Firm-sponsored private-label re-securitizations.

Multi-seller conduits

For a more detailed description of JPMorgan Chase’s principal involvement with Firm-administered multi-seller conduits, see Note 16 of JPMorgan Chase’s 2015 Annual Report.

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 $18.6 billion and $15.7 billion of the commercial paper issued by the Firm-administered multi-seller conduits at March 31, 2016, and December 31, 2015, respectively. The Firm’s investments reflect the Firm’s funding needs and capacity and were not driven by market illiquidity. 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 portion of these commitments was $8.6 billion and $5.6 billion at March 31, 2016, and December 31, 2015, and are reported as off-balance sheet lending-related commitments. For more information on off-balance sheet lending-related commitments, see Note 21.

VIEs associated with investor intermediation activities

Municipal bond vehicles

For a more detailed description of JPMorgan Chase’s principal involvement with municipal bond vehicles, see Note 16 of JPMorgan Chase’s 2015 Annual Report.

The Firm’s exposure to nonconsolidated municipal bond VIEs at March 31, 2016, and December 31, 2015, including the ratings profile of the VIEs’ assets, was as follows.



(in millions)^(a)	Fair value of assets held by VIEs		Liquidity facilities		Excess/(deficit)^(b)		Maximum exposure
Nonconsolidated municipal bond vehicles
March 31, 2016	$	5,917	$	3,260	$	2,657	$	3,260
December 31, 2015	6,937		3,794		3,143		3,794



	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 millions, except where otherwise noted)^(a)	AAA to AAA-	AA+ to AA-	A+ to A-	BBB+ to BBB-	BB+ and below
March 31, 2016	1,547	3,881	368	24	97	5,917	3.9
December 31, 2015	1,743	4,631	448	24	91	6,937	4.0


(a)	Represents the excess of the fair values of municipal bond assets available to repay the liquidity facilities, if drawn.


(b)	The ratings scale is presented on an S&P-equivalent basis.

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 records and reports these positions on its Consolidated balance sheets similarly to the way it would record and report positions in respect of any other third-party transaction.

Consolidated VIE assets and liabilities

The following table presents information on assets and liabilities related to VIEs consolidated by the Firm as of March 31, 2016, and December 31, 2015.



	Assets								Liabilities
March 31, 2016 (in millions)^(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	$	—	$	40,388	$	687	$	41,075	$	27,486	$	15	$	27,501
Firm-administered multi-seller conduits	—		23,842		39		23,881		5,250		36		5,286
Municipal bond vehicles	3,443		—		7		3,450		3,327		1		3,328
Mortgage securitization entities^(b)	784		586		25		1,395		720		616		1,336
Student loan securitization entities	—		1,864		63		1,927		1,702		5		1,707
Other	607		—		2,702		3,309		188		116		304
Total	$	4,834	$	66,680	$	3,523	$	75,037	$	38,673	$	789	$	39,462

	Assets								Liabilities
December 31, 2015 (in millions)^(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	$	—	$	47,358	$	718	$	48,076	$	27,906	$	15	$	27,921
Firm-administered multi-seller conduits	—		24,388		37		24,425		8,724		19		8,743
Municipal bond vehicles	2,686		—		5		2,691		2,597		1		2,598
Mortgage securitization entities^(b)	840		1,433		27		2,300		777		643		1,420
Student loan securitization entities	—		1,925		62		1,987		1,760		5		1,765
Other	210		—		1,916		2,126		115		126		241
Total	$	3,736	$	75,104	$	2,765	$	81,605	$	41,879	$	809	$	42,688


(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 $30.1 billion and $30.6 billion at March 31, 2016, and December 31, 2015, respectively. The maturities of the long-term beneficial interests as of March 31, 2016, were as follows: $8.7 billion under one year, $18.2 billion between one and five years, and $3.2 billion over five years, all respectively.


(f)	Includes liabilities classified as accounts payable and other liabilities in the Consolidated balance sheets.

Loan securitizations

The Firm has securitized and sold a variety of loans, including residential mortgage, credit card, student and commercial (primarily related to real estate) loans. For a further description of the Firm’s accounting policies regarding securitizations, see Note 16 of JPMorgan Chase’s 2015 Annual Report.

Securitization activity

The following table provides information related to the Firm’s securitization activities for the three months ended March 31, 2016 and 2015, 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 March 31,
	2016				2015
(in millions)^(a)	Residential mortgage^(d)		Commercial and other^(e)		Residential mortgage^(d)		Commercial and other^(e)
Principal securitized	$	—	$	1,324	$	1,312	$	3,375
All cash flows during the period:
Proceeds from new securitizations^(b)	$	—	$	1,311	$	1,317	$	3,369
Servicing fees collected	112		1		146		1
Purchases of previously transferred financial assets (or the underlying collateral)^(c)	37		—		—		—
Cash flows received on interests	94		273		70		79


(a)	Excludes re-securitization transactions.

(b)

For the three months ended March 31, 2016, there were no residential mortgage securitizations. For the three months ended March 31, 2015, $1.3 billion of proceeds from residential mortgage securitizations were received as securities classified in level 2 of the fair value hierarchy. For the three months ended March 31, 2016, $1.3 billion, of proceeds from commercial mortgage securitizations were received as securities classified in level 2. For the three months ended March 31, 2015, $3.4 billion of proceeds from commercial mortgage securitizations were received as securities classified in level 2. All loans transferred into securitization vehicles during the three months ended March 31, 2016 and 2015, 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.

Loans and excess MSRs sold to U.S. government-sponsored enterprises (“U.S. GSEs”), loans in securitization transactions pursuant to Ginnie Mae guidelines, and other third-party-sponsored securitization entities

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. See Note 29 of JPMorgan Chase’s 2015 Annual Report for additional information about the Firm’s loan sales- and securitization-related indemnifications. See Note 16 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, loans in securitization transactions pursuant to Ginnie Mae guidelines, and other third-party-sponsored securitization entities.



	Three months ended March 31,
(in millions)	2016		2015
Carrying value of loans sold^(a)	$	9,012	$	12,139
Proceeds received from loan sales as cash	4		51
Proceeds from loans sales as securities^(b)	8,955		12,029
Total proceeds received from loan sales^(c)	$	8,959	$	12,080
Gains on loan sales^(d)	$	50	$	91


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


(c)	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 21, 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. As of March 31, 2016, and December 31, 2015, the Firm had recorded on its Consolidated balance sheets $10.8 billion and $11.1 billion, respectively, of loans that either had been repurchased or for which the Firm had an option to repurchase. Predominantly all of these amounts relate to loans that have been repurchased from Ginnie Mae loan pools. Additionally, real estate owned resulting from voluntary repurchases of loans was $360 million and $343 million as of March 31, 2016, and December 31, 2015, respectively. Substantially all of these loans and real estate owned are insured or guaranteed by U.S. government agencies. For additional information, refer to Note 13 of this Form 10-Q and Note 14 of JPMorgan Chase’s 2015 Annual Report.

Loan delinquencies and liquidation losses

The table below includes information about components of nonconsolidated securitized financial assets, in which the Firm has continuing involvement, and delinquencies as of March 31, 2016, and December 31, 2015.



									Liquidation losses
	Securitized assets				90 days past due				Three months ended March 31,
(in millions)	Mar 31, 2016		Dec 31, 2015		Mar 31, 2016		Dec 31, 2015		2016		2015
Securitized loans^(a)
Residential mortgage:
Prime / Alt-A & option ARMs	$	65,673	$	66,708	$	7,879	$	8,325	$	340	$	462
Subprime	21,971		22,549		5,156		5,448		322		354
Commercial and other	91,632		80,319		1,389		1,808		393		99
Total loans securitized^(b)	$	179,276	$	169,576	$	14,424	$	15,581	$	1,055	$	915

(a)

Total assets held in securitization-related SPEs were $224.5 billion and $233.6 billion, respectively, at March 31, 2016, and December 31, 2015. The $179.3 billion and $169.6 billion, respectively, of loans securitized at March 31, 2016, and December 31, 2015, excluded: $43.7 billion and $62.4 billion, respectively, of securitized loans in which the Firm has no continuing involvement, and $1.5 billion and $1.6 billion, respectively, of loan securitizations consolidated on the Firm’s Consolidated balance sheets at March 31, 2016, and December 31, 2015.


(b)	Includes securitized loans that were previously recorded at fair value and classified as trading assets.