JP Morgan Chase 2005 Annual Report Download - page 67

JPMorgan Chase & Co. /2005 Annual Report 65
Wholesale credit portfolio
As of December 31, 2005, wholesale exposure (IB, CB, TSS and AWM)
increased by $11 billion from December 31, 2004. Increases in Loans and
lending-related commitments were offset partially by reductions in Derivative
receivables and Interests in purchased receivables. As described on pages
36–37 of this Annual Report, the increase in Loans was primarily in the IB,
Wholesale Nonperforming Average annual
As of or for the year ended December 31,
Credit exposure assets
(g)
Net charge-offs net charge-off rate
(i)
(in millions, except ratios) 2005 2004 2005 2004 2005 2004
(f)
2005 2004
(f)
Loans – reported(a) $ 150,111 $ 135,067 $ 992 $ 1,574 $ (77) $ 186 (0.06)% 0.18%
Derivative receivables(b) 49,787 65,982 50 241 NA NA NA NA
Interests in purchased receivables 29,740 31,722 ——NA NA NA NA
Total wholesale credit-related assets 229,638 232,771 1,042 1,815 (77) 186 (0.06) 0.18
Lending-related commitments(c) 323,764 309,399 NA NA NA NA NA NA
Assets acquired in loan satisfactions NA NA 17 23 NA NA NA NA
Total wholesale credit exposure $ 553,402 $ 542,170 $ 1,059 $ 1,838 $ (77)
(h)
$ 186 (0.06)% 0.18%
Credit derivative hedges notional(d) $ (29,882) $ (37,200) $ (17) $ (15) NA NA NA NA
Collateral held against derivatives (6,000) (9,301) NA NA NA NA NA NA
Held-for-sale
Total average HFS loans $ 12,014 $ 6,124(f) NA NA NA NA NA NA
Nonperforming – purchased(e) 341 351 NA NA NA NA NA NA
(a) Past-due 90 days and over and accruing include loans of $50 million and $8 million at December 31, 2005 and 2004, respectively.
(b) Reflects net cash received under credit support annexes to legally enforceable master netting agreements of $27 billion and $32 billion as of December 31, 2005 and 2004, respectively.
(c) Includes unused advised lines of credit totaling $28.3 billion and $22.8 billion at December 31, 2005 and 2004, respectively, which are not legally binding. In regulatory filings with the Federal
Reserve Board, unused advised lines are not reportable.
(d) Represents the net notional amount of protection purchased and sold of single-name and portfolio credit derivatives used to manage the credit risk of credit exposures; these derivatives do not qualify for
hedge accounting under SFAS 133.
(e) Represents distressed HFS loans purchased as part of IB’s proprietary activities, which are excluded from nonperforming assets.
(f) Includes six months of the combined Firm’s results and six months of heritage JPMorgan Chase results.
(g) Includes nonperforming HFS loans of $109 million and $2 million as of December 31, 2005 and 2004, respectively.
(h) Excludes $67 million in gains on sales of nonperforming loans in 2005; for additional information, see page 67 of this Annual Report.
(i) Net charge-off rates exclude average loans HFS.
reflecting an increase in loans held-for-sale related to securitization and
syndication activities and growth in the IB credit portfolio. The increase in
lending-related commitments was mostly due to CB activity. The decrease in
Derivative receivables was due primarily to the appreciation of the U.S. dollar
and higher interest rates, partially offset by rising commodity prices.
Wholesale exposure Maturity profile(c) Ratings profile
At December 31, 2005 Investment-grade (“IG”)(d) Noninvestment-grade(d) Total %
(in billions, except ratios) <1 year(d) 1–5 years(d) > 5 years(d) Total AAA to BBB- BB+ & below Total of IG(d)
Loans 43% 44% 13% 100% $ 87 $ 45 $ 132 66%
Derivative receivables 2 42 56 100 42 8 50 84
Interests in purchased receivables 41 57 2 100 29 — 29 100
Lending-related commitments 37 56 7 100 276 48 324 85
Total excluding HFS 36% 52% 12% 100% $ 434 $ 101 535 81%
Held-for-sale(a) 18
Total exposure $ 553
Credit derivative hedges notional(b) 15% 74% 11% 100% $ (27) $ (3) $ (30) 90%
Maturity profile(c) Ratings profile
At December 31, 2004 Investment-grade (“IG”)(d) Noninvestment-grade(d) Total %
(in billions, except ratios) <1 year(d) 1–5 years(d) > 5 years(d) Total AAA to BBB- BB+ & below Total of IG(d)
Loans 44% 43% 13% 100% $ 83 $ 46 $ 129 64%
Derivative receivables 19 39 42 100 57 9 66 86
Interests in purchased receivables 37 61 2 100 32 — 32 100
Lending-related commitments 46 52 2 100 266 43 309 86
Total excluding HFS 42% 49% 9% 100% $ 438 $ 98 536 82%
Held-for-sale(a) 6
Total exposure $ 542
Credit derivative hedges notional(b) 18% 77% 5% 100% $ (35) $ (2) $ (37) 95%
(a) HFS loans primarily relate to securitization and syndication activities.
(b) Ratings are based upon the underlying referenced assets.
(c) The maturity profile of Loans and lending-related commitments is based upon the remaining contractual maturity.The maturity profile of Derivative receivables is based upon the maturity profile of
Average exposure. See page 68 of this Annual Report for a further discussion of Average exposure.
(d) Excludes HFS loans.
Below are summaries of the maturity and ratings profiles of the wholesale portfolio as of December 31, 2005 and 2004. The ratings scale is based upon the Firm’s
internal risk ratings and is presented on an S&P-equivalent basis.