JP Morgan Chase 2009 Annual Report Download - page 107

JPMorgan Chase & Co./2009 Annual Report 105
The following table presents summaries of the maturity and ratings profiles of the wholesale portfolio as of December 31, 2009 and 2008. The
ratings scale is based on the Firm’s internal risk ratings, which generally correspond to the ratings as defined by S&P and Moody’s.
Wholesale credit exposure – maturity and ratings profile
Maturity profile(c) Ratings profile
December 31, 2009
(in billions, except ratios)
Due in 1
year or less
Due after 1 year
through 5 years
Due after
5 years Total
Investment-grade (“IG”)
AAA/Aaa to BBB-/Baa3
Noninvestment-grade
BB+/Ba1 & below Total
Total %
of IG
Loans 29% 40% 31% 100% $ 118 $ 82 $ 200 59%
Derivative receivables 12 42 46 100 61 19 80 76
Lending-related commitments
41 57 2 100 281 66 347 81
Total excluding loans
held-for-sale and loans
at fair value 34% 50% 16% 100% $ 460 $ 167 627 73%
Loans held-for-sale and
loans at fair value(a) 4
Receivables from customers 16
Interests in purchased
receivables 3
Total exposure $ 650
Net credit derivative hedges
notional(b) 49% 42% 9% 100% $ (48) $ — $ (48) 100%
Maturity profile(c) Ratings profile
December 31, 2008
(in billions, except ratios)
Due in 1
year or less
Due after 1 year
through 5 years
Due after
5 years Total
Investment-grade (“IG”)
AAA/Aaa to BBB-/Baa3
Noninvestment-grade
BB+/Ba1 & below Total
Total %
of IG
Loans 32% 43% 25% 100% $ 161 $ 87 $ 248 65%
Derivative receivables 31 36 33 100 127 36 163 78
Lending-related commitments
37 59 4 100 317 63 380 83
Total excluding loans
held-for-sale and loans
at fair value 34% 50% 16% 100% $ 605 $ 186 791 77%
Loans held-for-sale and
loans at fair value(a) 14
Receivables from customers 16
Total exposure $ 821
Net credit derivative hedges
notional(b) 47% 47% 6% 100% $ (82) $ (9) $ (91) 90%
(a) Loans held-for-sale and loans at fair value relate primarily to syndicated loans and loans transferred from the retained portfolio.
(b) Represents the net notional amounts of protection purchased and sold of single-name and portfolio credit derivatives used to manage the credit exposures; these
derivatives do not qualify for hedge accounting under U.S. GAAP.
(c) The maturity profile of loans and lending-related commitments is based on the remaining contractual maturity. The maturity profile of derivative receivables is based on
the maturity profile of average exposure. See Derivative contracts on pages 110–112 of this Annual Report for further discussion of average exposure.
Wholesale credit exposure – selected industry exposures
The Firm focuses on the management and diversification of its indus-
try exposures, with particular attention paid to industries with actual
or potential credit concerns. Customer receivables representing
primarily margin loans to prime and retail brokerage clients of $15.7
billion are included in the table. These margin loans are generally fully
collateralized by cash or highly liquid securities to satisfy daily mini-
mum collateral requirements. Exposures deemed criticized generally
represent a ratings profile similar to a rating of “CCC+”/”Caa1”
and lower, as defined by S&P and Moody’s. The total criticized
component of the portfolio, excluding loans held-for-sale and loans
at fair value, increased to $33.2 billion at December 31, 2009, from
$26.0 billion at year-end 2008. The increase was primarily related
to downgrades within the portfolio.
During the fourth quarter of 2009, the Firm revised certain industry
classifications to better reflect risk correlations and enhance the
Firm’s management of industry risk. Below are summaries of the top
25 industry exposures as of December 31, 2009 and 2008. For
additional information on industry concentrations, see Note 32 on
pages 242–243 of this Annual Report.