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Variable Interest Entities
 9 Months Ended
Sep. 30, 2024
Variable Interest Entities [Abstract]  
Variable Interest Entities Variable interest entities
Refer to Note 1 and Note 14 of JPMorgan Chase’s 2023 Form 10-K for a further description of the Firm's accounting policies regarding consolidation of 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 receivables157
Mortgage securitization trustsServicing and securitization of both originated and purchased residential mortgages157–159
CIBMortgage and other securitization trustsSecuritization of both originated and purchased residential and commercial mortgages, and other consumer loans157–159
Multi-seller conduitsAssisting clients in accessing the financial markets in a cost-efficient manner and structuring transactions to meet investor needs159
Municipal bond vehiclesFinancing of municipal bond investments159
In addition, CIB also invests in and provides financing, lending-related services and other services to VIEs sponsored by third parties. Refer to pages 160–161 of this Note for more information on 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. Refer to page 163 of this Note for information on the securitization-related loan delinquencies and liquidation losses.
Principal amount outstanding
JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
September 30, 2024 (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$68,246 $627 $48,312 $576 $1,827 $617 $3,020 
Subprime8,583 — 1,438 26 21 — 47 
Commercial and other(b)
180,589 — 120,205 664 5,820 1,593 8,077 
Total$257,418 $627 $169,955 $1,266 $7,668 $2,210 $11,144 
Principal amount outstanding
JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e)
December 31, 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$58,570 $675 $39,319 $595 $1,981 $60 $2,636 
Subprime8,881 — 1,312 3 — — 3 
Commercial and other(b)
168,042 — 120,262 831 5,638 1,354 7,823 
Total$235,493 $675 $160,893 $1,429 $7,619 $1,414 $10,462 
(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 $113 million and $52 million at September 30, 2024 and December 31, 2023, respectively, and subordinated securities of $69 million and $38 million at September 30, 2024 and December 31, 2023, 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, 2024 and December 31, 2023, 72% and 77%, 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 $2.8 billion and $2.5 billion of investment-grade retained interests at September 30, 2024 and December 31, 2023, respectively, and $172 million and $88 million of noninvestment-grade retained interests at September 30, 2024 and December 31, 2023, respectively. The retained interests in commercial and other securitization trusts consisted of $6.1 billion of investment-grade retained interests at both September 30, 2024 and December 31, 2023, and $1.9 billion and $1.7 billion of noninvestment-grade retained interests at September 30, 2024 and December 31, 2023, 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)2024202320242023
Transfers of securities to VIEs
U.S. GSEs and government agencies$12,353 $4,521 $33,531 $14,188 
The Firm did not transfer any private label securities to re-securitization VIEs during the three and nine months ended September 30, 2024 and 2023, respectively and retained interests in any such Firm-sponsored VIEs as of September 30, 2024 and December 31, 2023 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, 2024December 31, 2023
U.S. GSEs and government agencies
Interest in VIEs
$5,361 $3,371 
As of September 30, 2024 and December 31, 2023, 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 $2.6 billion and $9.8 billion of the commercial paper issued by the Firm-administered multi-seller conduits at September 30, 2024 and December 31, 2023, 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 $12.6 billion and $10.8 billion at September 30, 2024 and December 31, 2023, respectively, and are reported as off-balance sheet lending-related commitments in other unfunded commitments to extend credit. Refer to Note 22 for more information on off-balance sheet lending-related commitments.
Municipal bond vehicles
Municipal bond vehicles or tender option bond (“TOB”) trusts allow institutions to finance their municipal bond investments at short-term rates. TOB transactions are known as customer TOB trusts and non-customer TOB trusts. Customer TOB trusts are sponsored by a third party.
The Firm serves as sponsor for all non-customer TOB transactions.
Consolidated VIE assets and liabilities
The following table presents information on assets and liabilities related to VIEs consolidated by the Firm as of September 30, 2024 and December 31, 2023.
AssetsLiabilities
September 30, 2024 (in millions)Trading assetsLoans
Other(c)
 Total
assets(d)
Beneficial interests in VIE assets(e)
Other(f)
Total
liabilities
VIE program type
Firm-sponsored credit card trusts$—$12,868$165$13,033$5,361$10$5,371
Firm-administered multi-seller conduits319,68314419,83017,1733017,203
Municipal bond vehicles2,935—242,9593,012163,028
Mortgage securitization entities(a)
—646665211750167
Other5051,831
(b)
3082,64431315346
Total$3,443$35,028$647$39,118$25,694$421$26,115
AssetsLiabilities
December 31, 2023 (in millions)Trading assetsLoans
Other(c)
 Total
assets(d)
Beneficial interests in VIE assets(e)
Other(f)
Total
liabilities
VIE program type
Firm-sponsored credit card trusts$—$9,460$117$9,577$2,998$6$3,004
Firm-administered multi-seller conduits127,37219427,56717,7813017,811
Municipal bond vehicles2,056—222,0782,116112,127
Mortgage securitization entities(a)
—693870112557182
Other11386250449—159159
Total$2,170$37,611$591$40,372$23,020$263$23,283
(a)Includes residential mortgage securitizations.
(b)Primarily includes consumer loans 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 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 $5.5 billion and $3.1 billion at September 30, 2024 and December 31, 2023, respectively.
(f)Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.
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, alternative 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 $34.9 billion and $35.1 billion at September 30, 2024 and December 31, 2023, of which $15.0 billion and $14.7 billion was unfunded at September 30, 2024 and December 31, 2023, 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 2023 Form 10-K for further information on affordable housing tax credits and Note 22 of this Form 10-Q for more information on off-balance sheet lending-related commitments.
Effective January 1, 2024, the Firm adopted updates to the Accounting for Investments in Tax Credit Structures Using the Proportional Amortization Method guidance which expanded the types of tax-oriented investments, beyond affordable housing tax credit investments, that the Firm can elect on a program by program basis, to be accounted for using the proportional amortization method. Refer to Note 1 for further information.
The proportional amortization method requires the cost of eligible investments, within an elected program, be amortized in proportion to the tax benefits received with the resulting amortization reported directly in income tax expense, which aligns with the associated tax credits and other tax benefits. Investments must meet certain criteria to be eligible, including that substantially all of the return is from income tax credits and other income tax benefits.
In addition, under this method deferred taxes are generally not recorded as the investment is now amortized in proportion to the income tax credits and other income tax benefits received. Delayed equity contributions that are unconditional and legally binding or conditional and probable of occurring are recorded in other liabilities with a corresponding increase in the carrying value of the investment. The guidance also requires a reevaluation of eligible investments when significant modifications or events occur that result in a change in the nature of the investment or a change in the Firm's relationship with the underlying project. During the period, there were no significant modifications or events that resulted in a change in the nature of an eligible investment or a change in the Firm's relationship with the underlying project.
The following table provides information on tax-oriented investments for which the Firm elected to apply the proportional amortization method.
As of or for the period ended, (in millions)
Alternative energy and affordable housing programs(d)
Three months ended September 30,Nine months ended September 30,
2024202320242023
Programs for which the Firm elected proportional amortization:
Carrying value(a)
$31,778 $13,800 $31,778 $13,800 
Tax credits and other tax benefits(b)
1,280 532 4,067 1,478 
Investments that qualify to be accounted for using proportional amortization:
Amortization losses recognized as a component of income tax expense
(1,006)(417)(3,157)(1,161)
Non-income-tax-related gains and other returns received that are recognized outside of income tax expense(c)
28 — 96 (1)
(a)Recorded in Other assets on the Consolidated balance sheets. Excludes programs to which the Firm does not apply the proportional amortization method, such as historic tax credit and new market tax credit programs.
(b)Reflected in Income tax expense on the Consolidated statements of income and Operating activities on the Consolidated statements of cash flows.
(c)Recorded in Other income on the Consolidated statements of income and Operating activities on the Consolidated statements of cash flows.
(d)As of December 31, 2023, the carrying value of eligible affordable housing investments was $14.6 billion. Refer to Note 25 of JPMorgan Chase’s 2023 Form 10-K for further information on affordable housing tax credits.

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, 2024 and December 31, 2023 was $5.4 billion and $5.1 billion, respectively. The fair value of assets held by such VIEs at September 30, 2024 and December 31, 2023 was $7.8 billion and $7.3 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, 2024 and 2023, 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,
2024202320242023
(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$5,032 $4,816 $2,721 $2,737 $14,426 $12,059 $6,010 $3,113 
All cash flows during the period:(a)
Proceeds received from loan sales as financial instruments(b)(c)
$5,035 $4,646 $2,585 $2,726 $14,176 $11,754 $5,738 $3,106 
Servicing fees collected15 12 6 2 27 23 18 3 
Cash flows received on interests
100 209 89 126 262 504 249 304 
(a)Excludes re-securitization transactions.
(b)Primarily 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 auto 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 22 of this Form 10-Q for additional information about the Firm’s loan sales- and securitization-related indemnifications and Note 14 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)2024202320242023
Carrying value of loans sold
$7,132 $5,582 $18,298 $14,603 
Proceeds received from loan sales as cash
385 119 751 159 
Proceeds from loan sales as securities(a)(b)
6,695 5,397 17,386 14,279 
Total proceeds received from loan sales(c)
$7,080 $5,516 $18,137 $14,438 
Gains/(losses) on loan sales(d)(e)
$— $— $— $— 
(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 22, 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 11 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, 2024 and December 31, 2023. Substantially all of these loans and real estate are insured or guaranteed by U.S. government agencies.
(in millions)September 30,
2024		December 31,
2023
Loans repurchased or option to repurchase(a)
$715 $597 
Real estate owned
7 8 
Foreclosed government-guaranteed residential mortgage loans(b)
7 22 
(a)Primarily 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, 2024 and December 31, 2023. For loans sold or securitized where servicing is the Firm’s only form of continuing involvement, the Firm generally experiences a loss only if the Firm was required to repurchase a delinquent loan or foreclosed asset due to a breach in representations and warranties associated with its loan sale or servicing contracts.
Net liquidation losses/(recoveries)
Securitized assets90 days past dueThree months ended September 30,Nine months ended September 30,
(in millions)September 30, 2024December 31, 2023September 30, 2024December 31, 20232024202320242023
Securitized loans
Residential mortgage:
Prime / Alt-A & option ARMs$48,312 $39,319 $491 $440 $2 $2 $9 $12 
Subprime1,438 1,312 105 131 1 1 2 5 
Commercial and other120,205 120,262 1,337 2,874 14 40 33 59 
Total loans securitized$169,955 $160,893 $1,933 $3,445 $17 $43 $44 $76