JP Morgan Chase 2013 Annual Report Download - page 284

Notes to consolidated financial statements
290 JPMorgan Chase & Co./2013 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 297 of this Note for further information regarding the Firm’s cash flows with and interests
retained in nonconsolidated VIEs, and pages 297–298 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(d)(e)(f)
December 31, 2013 (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 $ 109.2 $ 3.2 $ 90.4 $ 0.5 $ 0.3 $ 0.8
Subprime 32.1 1.3 28.0 0.1 — 0.1
Commercial and other(b) 130.4 — 98.0 0.5 3.5 4.0
Total $ 271.7 $ 4.5 $ 216.4 $ 1.1 $ 3.8 $ 4.9
Principal amount outstanding JPMorgan Chase interest in securitized
assets in nonconsolidated VIEs(d)(e)(f)
December 31, 2012(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(c) $ 133.5 $ 2.7 $ 106.7 $ 0.3 $ — $ 0.3
Subprime 34.5 1.3 31.3 0.1 — 0.1
Commercial and other(b) 127.8 — 81.8 1.5 2.8 4.3
Total $ 295.8 $ 4.0 $ 219.8 $ 1.9 $ 2.8 $ 4.7
(a) Excludes U.S. government agency securitizations. See pages 297–298 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 prior period has been reclassified to conform with the current presentation methodology.
(d) The table above excludes the following: retained servicing (see Note 17 on pages 299–304 of this Annual Report for a discussion of MSRs); securities
retained from loans 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 6 on pages 220–233 of this Annual Report for further information on derivatives); senior and
subordinated securities of $151 million and $30 million, respectively, at December 31, 2013, and $131 million and $45 million, respectively, at
December 31, 2012, which the Firm purchased in connection with CIB’s secondary market-making activities.
(e) Includes interests held in re-securitization transactions.
(f) As of December 31, 2013 and 2012, 69% and 74%, 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 $551 million and $170 million of
investment-grade and $260 million and $171 million of noninvestment-grade retained interests at December 31, 2013 and 2012, respectively. The
retained interests in commercial and other securitizations trusts consisted of $3.9 billion and $4.1 billion of investment-grade and $80 million and $164
million of noninvestment-grade retained interests at December 31, 2013 and 2012, respectively.