JP Morgan Chase 2008 Annual Report Download - page 183

JPMorgan Chase & Co./ 2008 Annual Report 181
The following table presents the total unpaid principal amount of assets held in JPMorgan Chase-sponsored securitization entities, for which sale
accounting was achieved and to which the Firm has continuing involvement, at December 31, 2008 and 2007. Continuing involvement includes
servicing the loans, holding senior or subordinated interests, recourse or guarantee arrangements and derivative transactions. In certain instances,
the Firm’s only continuing involvement is servicing the loans. Certain of the Firm’s retained interests (trading assets, AFS securities and other
assets) are reflected at their fair value.
Principal amount outstanding JPMorgan Chase interest in securitized assets(f)(g)(h)(i)
Total Total
assets held Assets held interests
by Firm- in QSPEs held by
December 31, 2008 sponsored with continuing Trading AFS Other JPMorgan
(in billions) QSPEs involvement assets securities Loans assets Chase
Securitized related:
Credit card $ 121.6 $ 121.6(e) $ 0.5 $ 5.6 $ 33.3 $ 5.6 $ 45.0
Residential mortgage:
Prime(a) 233.9 212.3 1.7 0.7 — — 2.4
Subprime 61.0 58.6 — 0.1 — — 0.1
Option ARMs 48.3 48.3 0.1 0.3 — — 0.4
Commercial and other(b) 174.1 45.7 2.0 0.5 — — 2.5
Student loans 1.1 1.1 — — — 0.1 0.1
Auto 0.8 0.8 — — — — —
Total(c)(d) $ 640.8 $ 488.4 $ 4.3 $ 7.2 $ 33.3 $ 5.7 $ 50.5
Principal amount outstanding JPMorgan Chase interest in securitized assets(f)(i)(j)
Total Total
assets held Assets held interests
by Firm- in QSPEs held by
December 31, 2007 sponsored with continuing Trading AFS Other JPMorgan
(in billions) QSPEs involvement assets securities Loans assets Chase
Securitized related:
Credit card $ 92.7 $ 92.7(e) $ — $ 0.3 $ 18.6 $ 4.6 $ 23.5
Residential mortgage:
Prime(a) 78.3 77.7 0.4 — — — 0.4
Subprime 23.7 22.7 0.3 0.1 — — 0.4
Option ARMs — — — — — — —
Commercial and other(b) 109.6 3.4 — — — — —
Student loans 1.1 1.1 — — — 0.1 0.1
Auto 2.3 2.3 — — — 0.1 0.1
Total(c) $ 307.7 $ 199.9 $ 0.7 $ 0.4 $ 18.6 $ 4.8 $ 24.5
(a) Includes Alt-A loans.
(b) Includes co-sponsored commercial securitizations and, therefore, includes non-JPMorgan Chase originated commercial mortgage loans. Commercial and other 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 the Firm’s
sponsored commercial mortgage securitization transactions.
(c) Includes securitized loans where the Firm owns less than a majority of the subordinated or residual interests in the securitizations.
(d) Includes securitization-related QSPEs sponsored by heritage Bear Stearns and heritage Washington Mutual at December 31, 2008.
(e) Includes credit card loans, accrued interest and fees, and cash amounts on deposit.
(f) Excludes retained servicing (for a discussion of MSRs, see Note 18 on pages 199–200 of this Annual Report).
(g) Excludes senior and subordinated securities of $974 million at December 31, 2008, that the Firm purchased in connection with IB’s secondary market-making activities.
(h) Includes investments acquired in the secondary market, but predominantly held-for-investment purposes of $1.8 billion as of December 31, 2008. This is comprised of $1.4 billion of invest-
ments classified as available-for-sale, including $172 million in credit cards, $693 million of residential mortgages and $495 million of commercial and other; and $452 million of investments
classified as trading, including $112 million of credit cards, $303 million of residential mortgages, and $37 million of commercial and other.
(i) Excludes interest rate and foreign exchange derivatives that are primarily used to manage the interest rate and foreign exchange risks of the securitization entities. See Note 6 and Note 32 on
pages 158–159 and 214–217, respectively, of this Annual Report for further information on derivatives.
(j) Excludes senior and subordinated securities of $9.8 billion at December 31, 2007, that were retained at the time of securitization in connection with IB’s underwriting activity or that are pur-
chased in connection with IB’s secondary market-making activities.