JP Morgan Chase 2008 Annual Report Download - page 193

JPMorgan Chase & Co./ 2008 Annual Report 191
The assets held by the multi-seller conduits are structured so that if
they were rated, the Firm believes the majority of them would
receive an “A” rating or better by external rating agencies. However,
it is unusual for the assets held by the conduits to be explicitly rated
by an external rating agency. Instead, the Firm’s Credit Risk group
assigns each asset purchase liquidity facility an internal risk-rating
based upon its assessment of the probability of default for the
transaction. The ratings provided in the above table reflect the S&P-
equivalent ratings of the internal rating grades assigned by the Firm.
The risk ratings are periodically reassessed as information becomes
available. As of December 31, 2008 and 2007, 90% and 93%, respec-
tively, of the assets in the conduits were risk-rated “A” or better.
Commercial paper issued by the multi-seller conduits
The weighted average life of commercial paper issued by the multi-
seller conduits at December 31, 2008 and 2007, was 27 days and 26
days, respectively, and the average yield on the commercial paper at
December 31, 2008 and 2007, was 0.6% and 5.7%, respectively.
In the normal course of business, JPMorgan Chase trades and
invests in commercial paper, including paper issued by the Firm-
administered conduits. The percentage of commercial paper pur-
chased by the Firm across all Firm-administered conduits during the
year ended December 31, 2008, ranged from less than 1% to
approximately 20% on any given day. The largest daily amount of
commercial paper outstanding held by the Firm in any one multi-
seller conduit during the years ended December 31, 2008 and
2007, was approximately $2.7 billion, or 23%, for 2008, and $2.7
billion, or 16%, for 2007, of the conduit’s commercial paper out-
standing. On average, the Firm held approximately 3% of daily
multi-seller conduit issued commercial paper outstanding during
2008. Total multi-seller conduit issued commercial paper held by the
Firm at December 31, 2008 and 2007, was $360 million and $131
million, respectively.
The Firm is not obligated under any agreement (contractual or non-
contractual) to purchase the commercial paper issued by JPMorgan
Chase-administered conduits.
Ratings profile of VIE assets of the multi-seller conduits(a) Commercial Wt. avg.
December 31, 2008 Investment-grade Noninvestment-grade paper funded expected
(in billions) AAA to AAA- AA+ to AA- A+ to A- BBB to BBB- BB+ and below assets life (years)(b)
Asset types:
Credit card $ 4.8 $ 3.9 $ 0.1 $ 0.1 $ — $ 8.9 1.5
Vehicle loans and leases 4.1 4.1 1.8 — — 10.0 2.5
Trade receivables — 4.0 1.5 — — 5.5 1.0
Student loans 3.6 0.9 — 0.1 — 4.6 1.8
Commercial 1.1 2.0 0.6 0.3 — 4.0 2.7
Residential mortgage — 0.6 — 0.1 — 0.7 4.0
Capital commitments — 3.6 0.3 — — 3.9 2.4
Rental car finance — — 0.4 — — 0.4 1.5
Equipment loans and leases 0.4 1.2 — — — 1.6 2.2
Floorplan – vehicle 0.1 1.0 0.7 — — 1.8 1.1
Floorplan – other ———— — ——
Consumer 0.1 0.4 0.2 — — 0.7 1.6
Other 0.5 0.3 — — — 0.8 3.7
Total $ 14.7 $ 22.0 $ 5.6 $ 0.6 $ — $ 42.9 2.0
Ratings profile of VIE assets of the multi-seller conduits(a) Commercial Wt. avg.
December 31, 2007 Investment-grade Noninvestment-grade paper funded expected
(in billions) AAA to AAA- AA+ to AA- A+ to A- BBB to BBB- BB+ and below assets life (years)(b)
Asset types:
Credit card $ 4.2 $ 9.4 $ 0.6 $ — $ — $ 14.2 1.5
Vehicle loans and leases 1.8 6.9 1.4 — 0.1 10.2 2.3
Trade receivables —4.7 1.7 0.2 — 6.6 1.3
Student loans 1.0 8.1 0.1 — — 9.2 0.5
Commercial 0.5 3.5 0.7 0.1 — 4.8 2.8
Residential mortgage 1.5 0.8 0.8 — — 3.1 1.5
Capital commitments —5.1 — — — 5.1 3.4
Rental car finance —0.7 — — — 0.7 1.1
Equipment loans and leases 0.4 1.9 — 0.2 — 2.5 2.2
Floorplan – vehicle 0.4 0.7 0.2 — — 1.3 0.8
Floorplan – other —0.5 — — — 0.5 0.7
Consumer —1.4 0.2 — 0.1 1.7 1.8
Other 1.2 0.1 — — — 1.3 3.7
Total $ 11.0 $ 43.8 $ 5.7 $ 0.5 $ 0.2 $ 61.2 1.8
(a) The ratings scale is presented on an S&P equivalent basis.
(b) Weighted average expected life for each asset type is based upon the remaining term of each conduit transaction’s committed liquidity plus either the expected weighted average life
of the assets should the committed liquidity expire without renewal or the expected time to sell the underlying assets in the securitization market.