JPMorgan Chase has had losses of $1.5 billion on MBS assets so far this quarter as the U.S. housing slump deepened amid turmoil in credit markets.
Trading conditions "have substantially deteriorated" since July, and "sharply widened" spreads on mortgage-backed securities and loans caused losses, the company said in its quarterly filing late Monday.
JPMorgan Chase, the second-biggest U.S. bank by market value, has recorded more than $12 billion of writedowns, losses and credit provisions on mortgage-tainted assets through the second quarter.
The company held $16.3 billion of "legacy leveraged loans," or unsold high-risk lending it underwrote, and unfunded commitments as of June 30, and $11.6 billion of commercial mortgage-backed securities, the filing showed.
JPMorgan Chase wrote down the value of leveraged loans and mortgage-related assets by $1.1 billion in the second quarter, according to data compiled by Bloomberg.
David Trone, an analyst with Fox-Pitt Kelton Cochran Caronia Waller, wrote in a note Tuesday that if JPMorgan Chase is forced to bring the $3 billion in auction-rate securities on to its books a step others have taken in recent weeks it may have to write down about $350 million in losses. Trone has an "in line" rating on the shares.
The company also disclosed that its customers hold $5 billion in auction-rate securities, including $3 billion held by retail investors.