JP Morgan Chase 2009 Annual Report Download - page 209

JPMorgan Chase & Co./2009 Annual Report 207
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, 2009 and 2008. Continuing involvement
includes servicing the loans, holding senior or subordinated interests acquired at the time of securitization, recourse or guarantee arrange-
ments and derivative transactions. In certain instances, the Firm’s only continuing involvement is servicing the loans. In the table below, the
amount of beneficial interests held by third parties and the total retained interests held by JPMorgan Chase will not equal the assets held in
QSPEs because the beneficial interests held by third party are reflected at their current outstanding par amounts and a portion of the Firm’s
retained interests (trading assets, AFS securities and other assets) are reflected at their fair value.
Principal amount outstanding JPMorgan Chase interests in securitized assets(e)(f)(g)(h)
December 31, 2009
(in billions)
Total
assets held
by Firm-
sponsored
QSPEs
Assets held
in QSPEs
with continuing
involvement
Trading
assets
AFS
securities Loans
Other
assets(i)
Total retained
interests
held by
JPMorgan
Chase
Securitization related:
Credit card $ 109.6 $ 109.6(d) $ 0.1 $ 15.5 $ 16.7 $ 11.6 $ 43.9
Residential mortgage:
Prime(a) 183.3 171.5 0.9 0.2 — — 1.1
Subprime 50.0 47.3 — — — — —
Option ARMs 42.0 42.0 — 0.1 — — 0.1
Commercial and other(b) 155.3 24.8 1.6 0.8 — — 2.4
Student loans 1.0 1.0 — — — 0.1 0.1
Auto 0.2 0.2 — — — — —
Total(c) $ 541.4 $ 396.4 $ 2.6 $ 16.6 $ 16.7 $ 11.7 $ 47.6
Principal amount outstanding JPMorgan Chase interests in securitized assets(e)(f)(g)(h)
December 31, 2008
(in billions)
Total
assets held
by Firm-
sponsored
QSPEs
Assets held
in QSPEs
with continuing
involvement
Trading
assets
AFS
securities Loans
Other
assets(i)
Total retained
interests
held by
JPMorgan
Chase
Securitization related:
Credit card $ 121.6 $ 121.6(d) $ 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) $ 640.8 $ 488.4 $ 4.3 $ 7.2 $ 33.3 $ 5.7 $ 50.5
(a) Includes Alt-A loans.
(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. Also, includes co-sponsored commercial securitizations
and, therefore, includes non–JPMorgan Chase–originated commercial mortgage loans.
(c) Includes securitized loans where the Firm owns less than a majority of the subordinated or residual interests in the securitizations.
(d) Includes credit card loans, accrued interest and fees, and cash amounts on deposit.
(e) Excludes retained servicing (for a discussion of MSRs, see Note 17 on pages 222–225 of this Annual Report).
(f) Excludes senior and subordinated securities of $875 million and $974 million at December 31, 2009 and 2008, respectively, which the Firm purchased in connection
with IB’s secondary market-making activities.
(g) Includes investments acquired in the secondary market, predominantly for held-for-investment purposes, of $2.0 billion and $1.8 billion as of December 31, 2009 and
2008, respectively. This is comprised of $1.8 billion and $1.4 billion of investments classified as available-for-sale, including $1.7 billion and $172 million in credit
cards, zero and $693 million of residential mortgages, and $91 million and $495 million of commercial and other; and $152 million and $452 million of investments
classified as trading, including $104 million and $112 million of credit cards, $47 million and $303 million of residential mortgages, and $1 million and $37 million of
commercial and other, all at December 31, 2009 and 2008, respectively.
(h) Excludes interest rate and foreign exchange derivatives primarily used to manage the interest rate and foreign exchange risks of the securitization entities. See Note 5
on pages 175–183 of this Annual Report for further information on derivatives.
(i) Certain of the Firm’s retained interests are reflected at their fair values.