JP Morgan Chase 2010 Annual Report Download - page 255

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JPMorgan Chase & Co./2010 Annual Report 255
The accounting for retained interests is dependent upon several
factors, including the form and economic characteristics of the
retained interest. Interests retained by IB are classified as trading
assets. Interests retained in other business segments, including RFS
and Corporate Treasury, may be classified as AFS securities or
trading assets. See Note 12 on pages 214–218 of this Annual
Report for more information on AFS securities.
Securitization activity
The following tables provide information related to the Firm’s
securitization activities for the years ended December 31, 2010,
2009 and 2008, related to assets held in JPMorgan Chase–
sponsored securitization entities that were not consolidated by the
Firm for the periods presented. For the years ended December 31,
2009 and 2008, there were no residential mortgage loans that
were securitized, and there were no cash flows from the Firm to the
SPEs related to recourse or guarantee arrangements. Effective
January 1, 2010, all of the Firm-sponsored credit card, student loan
and auto securitization trusts were consolidated as a result of the
accounting guidance related to VIEs and, accordingly, are not
included in the securitization activity tables below for the year
ended December 31, 2010.
Year ended December 31, 2010
Residential mortgage
Commercial
(in millions, except rates) Prime
(f)(h)
Subprime Option ARMs
and other
Principal securitized
$
35
$
—
$
—
$
2,237
Pretax gains
—
—
—
—
(g)
All cash flows during the period
(a)
Proceeds from new securitizations
(b)
$ 36 $ —
$ — $
2,369
Servicing fees collected
311
209
448
4
Other cash flows received
—
—
—
—
Proceeds from collections reinvested in revolving securitizations
—
—
—
—
Purchases of previously transferred financial assets (or the underlying collateral)
(c)
211 109
1
—
Cash flows received on the interests that continue to be held by the Firm
(d)
288 26
5
143
Key assumptions used to measure retained interests originated during
the year (rates per annum)
Prepayment rate
(e)
—
100
%
CPR
Weighted-average life (in years)
—
7.1
Expected credit losses
—
—
%
Discount rate
—
7.7
%