JP Morgan Chase 2009 Annual Report Download - page 212
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Notes to consolidated financial statements
JPMorgan Chase & Co./2009 Annual Report 210
Securitization activity
The following tables provide information related to the Firm’s securitization activities for the years ended December 31, 2009, 2008 and 2007.
For the periods presented, there were no cash flows from the Firm to the QSPEs related to recourse or guarantee arrangements.
Year ended December 31, 2009 Residential mortgage(g)
(in millions, except for ratios and where
otherwise noted) Credit card Prime(h) Subprime Option ARMs
Commercial
and other
Student
loans Auto
Principal securitized $ 26,538 $ — $ — $ — $ 500 $ — $
—
Pretax gains 22 — — — —(i) —
—
All cash flows during the period:
Proceeds from new securitizations $ 26,538(e)(f)
$ — $ — $ — $ 542(e) $ — $
—
Servicing fees collected 1,251 432 185 494 11 3
4
Other cash flows received(a) 5,000 7 4 — — —
—
Proceeds from collections reinvested in
revolving securitizations 161,428 — — — — —
—
Purchases of previously transferred financial
assets (or the underlying collateral)(b) — 136 — 29 — —
249
Cash flows received on the interests that
continue to be held by the Firm(c) 261 475 25 38 109 7
4
Key assumptions used to measure
retained interests originated during
the year (rates per annum):
Prepayment rate(d) 16.7% 100%(j)
PPR CPY
Weighted-average life (in years) 0.5 9.0
Expected credit losses 8.9% —%(j)
Discount rate 16.0% 10.7%
Year ended December 31, 2008 Residential mortgage(g)
(in millions, except for ratios and where
otherwise noted) Credit card Prime(h) Subprime Option ARMs
Commercial
and other
Student
loans Auto
Principal securitized $ 21,390 $ — $ — $ — $ 1,023 $ — $
—
Pretax gains 151 — — — — —
—
All cash flows during the period:
Proceeds from new securitizations $ 21,389(e) $ — $ — $ — $ 989(e) $ — $
—
Servicing fees collected 1,162 279 146 129 11 4
15
Other cash flows received(a) 4,985 23 16 — — —
—
Proceeds from collections reinvested in
revolving securitizations 152,399 — — — — —
—
Purchases of previously transferred financial
assets (or the underlying collateral)(b) — 217 13 6 — —
359
Cash flows received on the interests that
continue to be held by the Firm(c) 117 267 23 53 455 —
43
Key assumptions used to measure
retained interests originated during
the year (rates per annum):
Prepayment rate(d) 19.1% 1.5%
PPR CPR
Weighted-average life (in years) 0.4 2.1
Expected credit losses 4.6% 1.5%(k)
Discount rate 12.5% 25.0%