JP Morgan Chase 2010 Annual Report Download - page 119

JPMorgan Chase & Co./2010 Annual Report 119
In the table below, reported loans include loans retained; loans held-for-sale (which are carried at the lower of cost or fair value, with changes in
value recorded in noninterest revenue); and loans accounted for at fair value. For additional information on the Firm’s loans and derivative receiv-
ables, including the Firm’s accounting policies, see Notes 14 and 6 on pages 220–238 and 191–199, respectively, of this Annual Report. Average
retained loan balances are used for the net charge-off rate calculations.
Total credit portfolio
As of or for the year ended
December 31, Credit exposure Nonperforming(h)(i) Net charge-offs
Average annual
net charge-off ratio(j)(k)
(in millions, except ratios)
2010
2009
2010
2009
2010
2009
2010
2009
Total credit portfolio
Loans retained
(a)
$ 685,498 $ 627,218 $ 14,345 $ 17,219 $ 23,673 $ 22,965 3.39% 3.42%
Loans held-for-sale
5,45
3
4,876
341
234
—
—
—
—
Loans at fair value
1,976
1,364
155
111
—
—
—
—
Loans – reported
(a)
692,927 633,458 14,841 17,564 23,673 22,965 3.39 3.42
Loans – securitized
(a)(b)
NA 84,626 NA — NA 6,443 NA 7.55
Total loans(a) 692,927 718,084 14,841 17,564 23,673 29,408 3.39 3.88
Derivative receivables
80,48
1
80,210
34
529
NA
NA
NA
NA
Receivables from customers
(c)
32,541 15,745 — — — — — —
Interests in purchased receivables
(a)
(d)
391 2,927 — — — — — —
Total credit-related assets
(a)
806,340 816,966 14,875 18,093 23,673 29,408 3.39 3.88
Lending-related commitments
(a)
(e)
954,840 991,095 1,005 1,577 — — — —
Assets acquired in loan satisfactions
Real estate owned
NA
NA
1,610
1,548
NA
NA
NA
NA
Other
NA
NA
72
100
NA
NA
NA
NA
Total
assets acquired in loan satisfactions
NA
NA
1,682
1,648
NA
NA
NA
NA
Total credit portfolio
$
1,761,
180
$1,808,061
$
17,
562
$ 21,318
$
23,673
$ 29,408
3.39
%
3.88%
Net credit derivative hedges notional
(
f
)
$ (23,108) $ (48,376) $ (55) $ (139) NA NA NA NA
Liquid securities
and other cash
collateral
held against
derivatives(g) (16,486) (15,519) NA NA NA NA NA NA
(a) Effective January 1, 2010, the Firm adopted accounting guidance related to VIEs. Upon the adoption of the guidance, the Firm consolidated its Firm-sponsored credit card
securitization trusts, its Firm-administered multi-seller conduits and certain other consumer loan securitization entities, primarily mortgage-related. As a result, related assets
are now primarily recorded in loans or other assets on the Consolidated Balance Sheet. As a result of the consolidation of the credit card securitization trusts, reported and
managed basis are equivalent for periods beginning after January 1, 2010. For further discussion, see Note 16 on pages 244–259 of this Annual Report.
(b) Loans securitized are defined as loans that were sold to nonconsolidated securitization trusts and were not included in reported loans. For further discussion of credit card
securitizations, see Note 16 on pages 244–259 of this Annual Report.
(c) Represents primarily margin loans to prime and retail brokerage customers, which are included in accrued interest and accounts receivable on the Consolidated Balance Sheets.
(d) Represents an ownership interest in cash flows of a pool of receivables transferred by a third-party seller into a bankruptcy-remote entity, generally a trust.
(e) The amounts in nonperforming represent unfunded commitments that are risk rated as nonaccrual.
(f) Represents the net notional amount of protection purchased and sold of single-name and portfolio credit derivatives used to manage both performing and non-
performing credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. For additional information, see Credit derivatives on pages 126–
128 and Note 6 on pages 191–199 of this Annual Report.
(g) Represents other liquid securities collateral and other cash collateral held by the Firm.
(h) At December 31, 2010 and 2009, nonperforming assets excluded: (1) mortgage loans insured by U.S. government agencies of $10.5 billion and $9.0 billion, respec-
tively, that are 90 days past due and accruing at the guaranteed reimbursement rate; (2) real estate owned insured by U.S. government agencies of $1.9 billion and
$579 million, respectively; and (3) student loans that are 90 days past due and still accruing, which are insured by U.S. government agencies under the FFELP, of $625
million and $542 million, respectively. These amounts are excluded as reimbursement of insured amounts is proceeding normally. In addition, the Firm’s policy is gener-
ally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance issued by the Federal Financial Institutions Examination
Council (“FFIEC”). Credit card loans are charged off by the end of the month in which the account becomes 180 days past due or within 60 days from receiving notifica-
tion about a specified event (e.g., bankruptcy of the borrower), whichever is earlier.
(i) Excludes PCI loans acquired as part of the Washington Mutual transaction, which are accounted for on a pool basis. Since each pool is accounted for as a single asset
with a single composite interest rate and an aggregate expectation of cash flows, the past due status of the pools, or that of individual loans within the pools, is not
meaningful. Because the Firm is recognizing interest income on each pool of loans, they are all considered to be performing.
(j) For the year ended December 31, 2010, net charge-off ratios were calculated using average retained loans of $698.2 billion; and for the year ended December 31,
2009, average retained loans of $672.3 billion and average securitized loans of $85.4 billion.
(k) For the years ended December 31, 2010 and 2009, firmwide net charge-off ratios were calculated including average PCI loans of $77.0 billion and $85.4 billion,
respectively. Excluding the impact of PCI loans, the total Firm’s managed net charge-off rate would have been 3.81% and 4.37% respectively.