Variable Interest Entities (Tables)
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12 Months Ended |
Dec. 31, 2018 |
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. The Firm considers a “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 | 2018 Form 10-K page references | CCB | Credit card securitization trusts | Securitization of originated credit card receivables | 244-245 | Mortgage securitization trusts | Servicing and securitization of both originated and purchased residential mortgages | 245-247 | CIB | Mortgage and other securitization trusts | Securitization of both originated and purchased residential and commercial mortgages, and other consumer loans | 245-247 | Multi-seller conduits | Assist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs | 247 | Municipal bond vehicles | Financing of municipal bond investments | 247-248 |
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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 (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 250 of this Note for further information regarding the Firm’s cash flows associated with and interests retained in nonconsolidated VIEs, and pages 250-251 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) | 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 |
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| | | | | | | | | | | | | | | | | | | | | | | | | Principal amount outstanding | | JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e) | December 31, 2017(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 | $ | 68,874 |
| $ | 3,615 |
| $ | 52,280 |
| | $ | 410 |
| $ | 943 |
| $ | — |
| $ | 1,353 |
| Subprime | 18,984 |
| 7 |
| 17,612 |
| | 93 |
| — |
| — |
| 93 |
| Commercial and other(b) | 94,905 |
| 63 |
| 63,411 |
| | 745 |
| 1,133 |
| 157 |
| 2,035 |
| Total | $ | 182,763 |
| $ | 3,685 |
| $ | 133,303 |
| | $ | 1,248 |
| $ | 2,076 |
| $ | 157 |
| $ | 3,481 |
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| | (a) | Excludes U.S. government agency securitizations and re-securitizations, which are not Firm-sponsored. Refer to pages 250-251 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. |
| | (c) | Excludes the following: retained servicing (refer to Note 15 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 (refer to Note 5 for further information on derivatives); senior and subordinated securities of $87 million and $28 million, respectively, at December 31, 2018, and $88 million and $48 million, respectively, at December 31, 2017, which the Firm purchased in connection with CIB’s secondary market-making activities. |
| | (d) | Includes interests held in re-securitization transactions. |
(e) As of December 31, 2018 and 2017, 60% and 61%, 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 $1.3 billion of investment-grade for both periods, and $16 million and $48 million of noninvestment-grade at December 31, 2018 and 2017, respectively. The retained interests in commercial and other securitizations trusts consisted of $1.2 billion and $1.6 billion of investment-grade and $623 million and $412 million of noninvestment-grade retained interests at December 31, 2018 and 2017, respectively.
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Schedule of re-securitizations |
The following table presents information on nonconsolidated re-securitization VIEs. | | | | | | | | | | Nonconsolidated re-securitization VIEs | December 31, (in millions) | 2018 | | 2017 | Firm-sponsored private-label | | | | Assets held in VIEs with continuing involvement(a) | $ | 118 |
| | $ | 783 |
| Interest in VIEs | 10 |
| | 29 |
| Agency | | | | Interest in VIEs | 3,058 |
| | 2,250 |
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(a) Represents the principal amount and includes the notional amount of interest-only securities.The following table presents the principal amount of securities transferred to re-securitization VIEs. | | | | | | | | | | | | | Year ended December 31, (in millions) | 2018 | | 2017 | | 2016 | Transfers of securities to VIEs | | | | | | Firm-sponsored private-label | $ | — |
| | $ | — |
| | $ | 647 |
| Agency | 15,532 |
| | 12,617 |
| | 11,241 |
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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 December 31, 2018 and 2017. | | | | | | | | | | | | | | | | | | | | | | | | | 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 |
| | | | | | | | | | | Assets | | Liabilities | December 31, 2017 (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 | $ | — |
| $ | 41,923 |
| $ | 652 |
| $ | 42,575 |
| | $ | 21,278 |
| $ | 16 |
| $ | 21,294 |
| Firm-administered multi-seller conduits | — |
| 23,411 |
| 48 |
| 23,459 |
| | 3,045 |
| 28 |
| 3,073 |
| Municipal bond vehicles | 1,278 |
| — |
| 3 |
| 1,281 |
| | 1,265 |
| 2 |
| 1,267 |
| Mortgage securitization entities(a) | 66 |
| 3,661 |
| 55 |
| 3,782 |
| | 359 |
| 199 |
| 558 |
| Other | 105 |
| — |
| 1,916 |
| 2,021 |
| | 134 |
| 104 |
| 238 |
| Total | $ | 1,449 |
| $ | 68,995 |
| $ | 2,674 |
| $ | 73,118 |
| | $ | 26,081 |
| $ | 349 |
| $ | 26,430 |
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| | (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. Included in beneficial interests in VIE assets are long-term beneficial interests of $13.7 billion and $21.8 billion at December 31, 2018 and 2017, respectively. For additional information on interest-bearing long-term beneficial interests, refer to Note 19. |
(e) Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.
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Securitization activities |
The following table provides information related to the Firm’s securitization activities for the years ended December 31, 2018, 2017 and 2016, 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. | | | | | | | | | | | | | | | | | | | | | | | 2018 | | 2017 | | 2016 | Year ended December 31, (in millions) | Residential mortgage(f) | Commercial and other(g) | | Residential mortgage(f) | Commercial and other(g) | | Residential mortgage(f) | Commercial and other(g) | Principal securitized | $ | 6,431 |
| $ | 10,159 |
| | $ | 5,532 |
| $ | 10,252 |
| | $ | 1,817 |
| $ | 8,964 |
| All cash flows during the period:(a) | | | | | | | | | Proceeds received from loan sales as financial instruments(b)(c) | $ | 6,449 |
| $ | 10,218 |
| | $ | 5,661 |
| $ | 10,340 |
| | $ | 1,831 |
| $ | 9,094 |
| Servicing fees collected(d) | 319 |
| 2 |
| | 338 |
| 3 |
| | 477 |
| 3 |
| Purchases of previously transferred financial assets (or the underlying collateral)(e) | — |
| — |
| | 1 |
| — |
| | 37 |
| — |
| Cash flows received on interests | 411 |
| 301 |
| | 463 |
| 918 |
| | 482 |
| 1,441 |
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| | (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 cash paid by the Firm to reacquire assets from nonconsolidated entities – for example, loan repurchases due to representation and warranties and servicer “clean-up” calls. |
| | (f) | Includes prime mortgages only. Excludes certain loan securitization transactions entered into with Ginnie Mae, Fannie Mae and Freddie Mac. |
| | (g) | Includes commercial mortgage and other consumer loans. |
Key assumptions used to value retained interests originated during the year are shown in the table below. | | | | | | | | | | | Year ended December 31, | | 2018 | | 2017 | | 2016 | Residential mortgage retained interest: | Weighted-average life (in years) | | 7.6 |
| | 4.8 |
| | 4.5 |
| Weighted-average discount rate | | 3.6 | % | | 2.9 | % | | 4.2 | % | Commercial mortgage retained interest: | | | Weighted-average life (in years) | | 5.3 |
| | 7.1 |
| | 6.2 |
| Weighted-average discount rate | | 4.0 | % | | 4.4 | % | | 5.8 | % |
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Summary of loan sale activities |
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. | | | | | | | | | | | Year ended December 31, (in millions) | 2018 | 2017 | 2016 | Carrying value of loans sold | $ | 44,609 |
| $ | 64,542 |
| $ | 52,869 |
| Proceeds received from loan sales as cash | $ | 9 |
| $ | 117 |
| $ | 592 |
| Proceeds from loans sales as securities(a) | 43,671 |
| 63,542 |
| 51,852 |
| Total proceeds received from loan sales(b) | $ | 43,680 |
| $ | 63,659 |
| $ | 52,444 |
| Gains/(losses) on loan sales(c)(d) | $ | (93 | ) | $ | 163 |
| $ | 222 |
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| | (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. |
| | (c) | Gains/(losses) on loan sales include the value of MSRs. |
(d) The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale.
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Schedule of loans repurchased and 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 December 31, 2018 and 2017. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies. | | | | | | | | December 31, (in millions) | 2018 |
| 2017 |
| Loans repurchased or option to repurchase(a) | $ | 7,021 |
| $ | 8,629 |
| Real estate owned | 75 |
| 95 |
| Foreclosed government-guaranteed residential mortgage loans(b) | 361 |
| 527 |
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| | (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. |
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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 held in Firm-sponsored private-label securitization entities, in which the Firm has continuing involvement, and delinquencies as of December 31, 2018 and 2017. | | | | | | | | | | | | | | | | | | | | | | | Securitized assets | | 90 days past due | | Net liquidation losses(a) | As of or for the year ended December 31, (in millions) | 2018 | 2017 | | 2018 | 2017 | | 2018 | 2017 | Securitized loans | | | | | | | | | Residential mortgage: | | | | | | | | | Prime/ Alt-A & option ARMs | $ | 50,679 |
| $ | 52,280 |
| | $ | 3,354 |
| $ | 4,870 |
| | $ | 610 |
| $ | 790 |
| Subprime | 15,434 |
| 17,612 |
| | 2,478 |
| 3,276 |
| | (169 | ) | 719 |
| Commercial and other | 79,387 |
| 63,411 |
| | 225 |
| 957 |
| | 280 |
| 114 |
| Total loans securitized | $ | 145,500 |
| $ | 133,303 |
| | $ | 6,057 |
| $ | 9,103 |
| | $ | 721 |
| $ | 1,623 |
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(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.
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