JP Morgan Chase 2015 Annual Report Download - page 277

JPMorgan Chase & Co./2015 Annual Report 267
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.
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 272 of this Note for further information regarding the Firm’s cash flows with and interests
retained in nonconsolidated VIEs, and pages 272–273 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, 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 $ 85.7 $ 1.4 $ 66.7 $ 0.4 $ 1.6 $ 2.0
Subprime 24.4 0.1 22.6 0.1 — 0.1
Commercial and other(b) 123.5 0.1 80.3 0.4 3.5 3.9
Total $ 233.6 $ 1.6 $ 169.6 $ 0.9 $ 5.1 $ 6.0
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
(a) Excludes U.S. government agency securitizations. See pages 272–273 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 17 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 6 for further information on derivatives); senior and subordinated securities of $163 million and $73 million, respectively, at December 31, 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 December 31, 2015 and 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 $1.9 billion and $1.1 billion of
investment-grade and $93 million and $185 million of noninvestment-grade retained interests at December 31, 2015 and 2014, respectively. The
retained interests in commercial and other securitizations trusts consisted of $3.7 billion and $3.7 billion of investment-grade and $198 million and $194
million of noninvestment-grade retained interests at December 31, 2015 and 2014, respectively.