JP Morgan Chase 2009 Annual Report Download - page 67

JPMorgan Chase & Co./2009 Annual Report
65
Selected metrics
Year ended December 31,
(in millions, except ratios) 2009 2008 2007
Credit data and quality statistics
Net charge-offs $ 1,904
$ 105 $ 36
Nonperforming assets:
Nonperforming loans:
Nonperforming loans retained(a)(b) 3,196 1,143 303
Nonperforming loans held-for-sale and
loans at fair value 308 32 50
Total nonperforming loans 3,504 1,175 353
Derivative receivables 529 1,079 29
Assets acquired in loan satisfactions 203 247 71
Total nonperforming assets 4,236 2,501 453
Allowance for credit losses:
Allowance for loan losses 3,756 3,444 1,329
Allowance for lending-related
commitments 485 360 560
Total allowance for credit losses 4,241 3,804 1,889
Net charge-off rate(a)(c) 3.04%
0.14%
0.06%
Allowance for loan losses to period-end
loans retained(a)(d) 8.25 4.83 1.97
Allowance for loan losses to average
loans retained(a)(c) 5.99 4.71(h)
2.14
Allowance for loan losses to
nonperforming loans retained(a)(b) 118 301 439
Nonperforming loans to total period-end
loans 7.13 1.38 0.39
Nonperforming loans to average loans 4.98 1.28 0.44
Market risk–average trading and
credit portfolio VaR – 99%
confidence level(d)
Trading activities:
Fixed income $ 221 $ 181 $ 80
Foreign exchange 30 34 23
Equities 75 57 48
Commodities and other 32 32 33
Diversification(e) (131) (108) (77)
Total trading VaR(f) 227 196 107
Credit portfolio VaR(g) 101 69 17
Diversification(e) (80) (63) (18)
Total trading and credit portfolio VaR $ 248 $ 202 $ 106
(a) Loans retained included credit portfolio loans, leveraged leases and other
accrual loans, and excluded loans held-for-sale and loans accounted for at
fair value.
(b) Allowance for loan losses of $1.3 billion and $430 million were held against
these nonperforming loans at December 31, 2009 and 2008, respectively.
(c) Loans held-for-sale and loans at fair value were excluded when calculating
the allowance coverage ratio and net charge-off rate.
(d) Results for 2008 include seven months of the combined Firm’s (JPMorgan
Chase & Co.’s and Bear Stearns’) results and five months of heritage JPMor-
gan Chase & Co.’s results only. 2007 reflects heritage JPMorgan Chase & Co.
results. For a more complete description of value-at-risk (“VaR”), see pages
126–130 of this Annual Report.
(e) Average VaRs were less than the sum of the VaRs of their market risk compo-
nents, due to risk offsets resulting from portfolio diversification. The diversifi-
cation effect reflected the fact that the risks were not perfectly correlated. For
further discussion of VaR, see pages 126–130 of this Annual Report. The risk
of a portfolio of positions is usually less than the sum of the risks of the posi-
tions themselves.
(f) Trading VaR includes predominantly all trading activities in IB; however,
particular risk parameters of certain products are not fully captured, for ex-
ample, correlation risk. Trading VaR does not include VaR related to held-for-
sale funded loans and unfunded commitments, nor the debit valuation ad-
justments (“DVA”) taken on derivative and structured liabilities to reflect the
credit quality of the Firm. See VaR discussion on pages 126–130 and the DVA
Sensitivity table on page 130 of this Annual Report for further details. Trading
VaR also does not include the MSR portfolio or VaR related to other corporate
functions, such as Corporate/Private Equity. Beginning in the fourth quarter of
2008, trading VaR includes the estimated credit spread sensitivity of certain
mortgage products.
(g) Included VaR on derivative credit valuation adjustments (“CVA”), hedges of
the CVA and mark-to-market hedges of the retained loan portfolio, which
were all reported in principal transactions revenue. This VaR does not include
the retained loan portfolio.
(h) Excluding the impact of a loan originated in March 2008 to Bear Stearns, the
adjusted ratio would be 4.84% for 2008. The average balance of the loan
extended to Bear Stearns was $1.9 billion for 2008.
Market shares and rankings(a)
2009 2008 2007
Market Market Market
December 31, share Rankings share Rankings share Rankings
Global debt,
equity and
equity-related 10% #1 9% #1 8% #2
Global syndicated
loans 10 1 11 1 13 1
Global long-term
debt(b) 9 1 9 3 7 3
Global equity and
equity-related(c)
13 1 10 1 9 2
Global announced
M&A(d) 24 3 28 2 27 4
U.S. debt, equity
and equity-
related 14 1 15 2 10 2
U.S. syndicated
loans 23 1 24 1 24 1
U.S. long-term
debt(b) 14 1 15 2 10 2
U.S. equity and
equity-related(c) 13 1 11 1 11 5
U.S. announced
M&A(d) 35 3 35 2 28 3
(a) Source: Thomson Reuters. Results for 2008 are pro forma for the Bear Stearns
merger. Results for 2007 represent heritage JPMorgan Chase & Co. only.
(b) Includes asset-backed securities, mortgage-backed securities and municipal securities.
(c) Includes rights offerings; U.S.- domiciled equity and equity-related transactions.
(d) Global announced M&A is based on rank value; all other rankings are based on
proceeds, with full credit to each book manager/equal if joint. Because of joint
assignments, market share of all participants will add up to more than 100%.
Global and U.S. announced M&A market share and rankings for 2008 and 2007
include transactions withdrawn since December 31, 2008 and 2007. U.S. announced
M&A represents any U.S. involvement ranking.
According to Thomson Reuters, in 2009, the Firm was ranked
#1 in Global Debt, Equity and Equity-related; #1 in Global Eq-
uity and Equity-related; #1 in Global Long-Term Debt: #1 in
Global Syndicated Loans and #3 in Global Announced M&A,
based on volume.
According to Dealogic, the Firm was ranked #1 in Global
Investment Banking Fees generated during 2009, based on
revenue.