JP Morgan Chase 2009 Annual Report Download - page 218

Notes to consolidated financial statements
JPMorgan Chase & Co./2009 Annual Report
216
Ratings profile of VIE assets of the nonconsolidated multi-seller conduits(a)
December 31, 2009
Investment-grade
Noninvestment-
grade
Commercial
paper funded
Wt. avg.
expected life
(in billions) AAA to AAA- AA+ to AA- A+ to A- BBB to BBB- BB+ and below assets (years)(b)
Asset types:
Credit card $ 3.1 $ 2.0 $ 0.1 $ — $ — $ 5.2 1.6
Vehicle loans and leases 2.9 2.1
— — — 5.0 2.3
Trade receivables
— 1.6 0.1 — 0.1 1.8 0.8
Student loans 1.3 — — — — 1.3 0.8
Commercial 0.6 0.2 0.1
— 0.3 1.2 2.2
Residential mortgage
— 0.5 — — 0.1 0.6 3.3
Capital commitments — — 1.7 — — 1.7 2.0
Rental car finance
— — — — — — —
Equipment loans and leases 0.2 0.2
— — — 0.4 2.0
Floorplan – vehicle — — — — — — —
Consumer 0.2
— — — — 0.2 2.3
Other
— 0.4 — — — 0.4 4.9
Total $ 8.3 $ 7.0 $ 2.0
$ — $ 0.5 $ 17.8 1.9
Ratings profile of VIE assets of the nonconsolidated multi-seller conduits(a)
December 31, 2008
Investment-grade
Noninvestment-
grade
Commercial
paper funded
Wt. avg.
expected life
(in billions) AAA to AAA- AA+ to AA- A+ to A- BBB to BBB- BB+ and below assets (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
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
(a) The ratings scale is presented on an S&P equivalent basis.
(b) Weighted average expected life for each asset type is based on 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.
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 on
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, 2009 and 2008, 95% and 90%,
respectively, of the assets in the nonconsolidated conduits were
risk-rated “A” or better.
Commercial paper issued by multi-seller conduits
The weighted-average life of commercial paper issued by noncon-
solidated multi-seller conduits at December 31, 2009 and 2008,
was 19 days and 27 days, respectively, and the average yield on
the commercial paper was 0.2% and 0.6%, 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 purchased by the
Firm from all Firm-administered conduits during 2009 ranged from
less than 1% to approximately 5.8% on any given day. The largest
daily amount of commercial paper outstanding held by the Firm in
any one multi-seller conduit during 2009 was approximately $852
million, or 11.6%, of the conduit’s commercial paper outstanding.
The Firm is not obligated under any agreement (contractual or
noncontractual) to purchase the commercial paper issued by
nonconsolidated JPMorgan Chase–administered conduits.