JP Morgan Chase 2006 Annual Report Download - page 117

Download and view the complete annual report

Please find page 117 of the 2006 JP Morgan Chase annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.

Page out of 156

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
  • 28
  • 29
  • 30
  • 31
  • 32
  • 33
  • 34
  • 35
  • 36
  • 37
  • 38
  • 39
  • 40
  • 41
  • 42
  • 43
  • 44
  • 45
  • 46
  • 47
  • 48
  • 49
  • 50
  • 51
  • 52
  • 53
  • 54
  • 55
  • 56
  • 57
  • 58
  • 59
  • 60
  • 61
  • 62
  • 63
  • 64
  • 65
  • 66
  • 67
  • 68
  • 69
  • 70
  • 71
  • 72
  • 73
  • 74
  • 75
  • 76
  • 77
  • 78
  • 79
  • 80
  • 81
  • 82
  • 83
  • 84
  • 85
  • 86
  • 87
  • 88
  • 89
  • 90
  • 91
  • 92
  • 93
  • 94
  • 95
  • 96
  • 97
  • 98
  • 99
  • 100
  • 101
  • 102
  • 103
  • 104
  • 105
  • 106
  • 107
  • 108
  • 109
  • 110
  • 111
  • 112
  • 113
  • 114
  • 115
  • 116
  • 117
  • 118
  • 119
  • 120
  • 121
  • 122
  • 123
  • 124
  • 125
  • 126
  • 127
  • 128
  • 129
  • 130
  • 131
  • 132
  • 133
  • 134
  • 135
  • 136
  • 137
  • 138
  • 139
  • 140
  • 141
  • 142
  • 143
  • 144
  • 145
  • 146
  • 147
  • 148
  • 149
  • 150
  • 151
  • 152
  • 153
  • 154
  • 155
  • 156

JPMorgan Chase & Co. / 2006 Annual Report 115
Consumer activities Wholesale activities
Year ended December 31, 2006 Residential Residential Commercial
(in millions, except rates and where otherwise noted) Credit card Automobile mortgage mortgage and other
Principal securitized $ 9,735 $ 2,405 $ 16,803 $ 30,810 $ 13,858
Pretax gains (losses) 67 — 85 161 129
Cash flow information:
Proceeds from securitizations $ 9,735 $ 1,745 $ 16,754 $ 31,048 $ 14,248
Servicing fees collected 88 3 18 — 1
Other cash flows received 401 — — 35 95
Proceeds from collections reinvested
in revolving securitizations 151,186 — — — —
Key assumptions (rates per annum):
Prepayment rate(a) 20.0–22.2% 1.4-1.5% 18.2–24.6% 10.0–45.0% 0.0–36.2%
PPR ABS CPR CPR CPR
Weighted-average life (in years) 0.4 1.4–1.9 3.0–3.6 1.5–4.0 1.5–6.1
Expected credit losses(b) 3.3–4.2% 0.3–0.7% —% 0.1–3.3% 0.0–0.9%
Discount rate 12.0% 7.6–7.8% 8.4–12.7% 15.1–26.2% 3.8–14.0%
Consumer activities Wholesale activities
Year ended December 31, 2005 Residential Residential Commercial
(in millions, except rates and where otherwise noted) Credit card Automobile mortgage mortgage and other
Principal securitized $ 15,145 $ 3,762 $ 18,125 $ 11,399 $ 11,292
Pretax gains (losses) 101 9(c) 21 (3) 134
Cash flow information:
Proceeds from securitizations $ 14,844 $ 2,622 $ 18,093 $ 11,494 $ 11,398
Servicing fees collected 94 4 17 — —
Other cash flows received 298 — — — 3
Proceeds from collections reinvested
in revolving securitizations 129,696 — — — —
Key assumptions (rates per annum):
Prepayment rate(a) 16.7–20.0% 1.5% 9.1–12.1% 22.0–43.0% 0.0–50.0%
PPR ABS CPR CPR CPR
Weighted-average life (in years) 0.4–0.5 1.4–1.5 5.6–6.7 1.4–2.6 1.0–4.4
Expected credit losses(b) 4.7–5.7% 0.6–0.7% —% 0.6–2.0% —%
Discount rate 12.0% 6.3–7.3% 13.0–13.3% 16.0–18.5% 0.6–0.9%
Consumer activities
Year ended December 31, 2004(d) Residential
(in millions, except rates and where otherwise noted) Credit card Automobile mortgage Wholesale activities(e)
Principal securitized $ 8,850 $ 1,600 $ 6,529 $ 8,756
Pretax gains (losses) 52 (3) 47 135
Cash flow information:
Proceeds from securitizations $ 8,850 $ 1,597 $ 6,608 $ 8,430
Servicing fees collected 69 1 12 3
Other cash flows received 225 — 25 16
Proceeds from collections reinvested
in revolving securitizations 110,697 — — —
Key assumptions (rates per annum):
Prepayment rate(a) 15.5–16.7% 1.5% 23.8–37.6% 17.0–50.0%
PPR ABS CPR CPR
Weighted-average life (in years) 0.5–0.6 1.8 1.9–3.0 2.0–4.0
Expected credit losses(b) 5.5–5.8% 0.6% 1.0–2.3% 0.0–3.0%
Discount rate 12.0% 4.1% 15.0–30.0% 0.6–5.0%
(a) CPR: constant prepayment rate; PPR: principal payment rate; ABS: absolute prepayment speed.
(b) Expected credit losses for prime residential mortgage and certain wholesale securitizations are minimal and are incorporated into other assumptions.
(c) The auto securitization gain of $9 million does not include the write-down of loans transferred to held-for-sale in 2005 and risk management activities intended to protect the economic value of the
loans while held-for-sale.
(d) 2004 results include six months of the combined Firm’s results and six months of heritage JPMorgan Chase results.
(e) Delineation between Residential mortgage and Commercial and other is not available for 2004.
2006, 2005 and 2004 Securitization activity
The following table summarizes new securitization transactions that were
completed during 2006, 2005 and 2004; the resulting gains arising from
such securitizations; certain cash flows received from such securitizations; and
the key economic assumptions used in measuring the retained interests, as of
the dates of such sales: