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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
JPMorgan Chase & Co.
124 JPMorgan Chase & Co. / 2006 Annual Report
Note 19 – Long-term debt
JPMorgan Chase issues long-term debt denominated in various currencies, although predominantly U.S. dollars, with both fixed and variable interest rates.
The following table is a summary of long-term debt carrying values (including unamortized original issue discount, SFAS 133 valuation adjustments and fair value
adjustments, where applicable) by contractual maturity for the current year.
2006
By remaining maturity at December 31, 2006 Under After 2005
(in millions, except rates) 1 year 1–5 years 5 years Total Total
Parent company
Senior debt:(a) Fixed rate $ 5,468 $ 12,162 $ 2,686 $ 20,316 $ 24,920
Variable rate 3,299 22,506 2,459 28,264 16,914
Interest rates(b) 4.13–5.50% 0.75–12.48% 1.25–10.37% 0.75–12.48% 0.22–8.85%
Subordinated debt: Fixed rate $ 1,858 $ 9,145 $ 15,009 $ 26,012 $ 24,817
Variable rate — 24 1,965 1,989 1,823
Interest rates(b) 6.70–7.60% 1.60–10.00% 1.92–9.88% 1.60–10.00% 1.92–10.00%
Subtotal $ 10,625 $ 43,837 $ 22,119 $ 76,581 $ 68,474
Subsidiaries
Senior debt:(a) Fixed rate $ 2,159 $ 4,080 $ 4,210 $ 10,449 $ 6,744
Variable rate 15,488 20,459 5,269 41,216 32,009
Interest rates(b) 3.59–5.57% 2.43–17.00% 1.76–9.00% 1.76–17.00% 1.71–17.00%
Subordinated debt: Fixed rate $ — $ 828 $ 3,197 $ 4,025 $ 1,130
Variable rate — — 1,150 1,150 —
Interest rates(b) —% 6.13–6.70% 4.38–8.25% 4.38–8.25% 6.13–8.25%
Subtotal $ 17,647 $ 25,367 $ 13,826 $ 56,840 $ 39,883
Total long-term debt $ 28,272 $ 69,204 $ 35,945 $ 133,421(d)(e)(f)(g) $ 108,357
FIN 46R long-term beneficial interests:(c)
Fixed rate $ 7 $ 347 $ 423 $ 777 $ 465
Variable rate 63 129 7,367 7,559 1,889
Interest rates(b) 5.85–7.12% 1.73–8.75% 3.26–12.79% 1.73–12.79% 0.51–12.79%
Total FIN 46R long-term beneficial interests $ 70 $ 476 $ 7,790 $ 8,336 $ 2,354
(a) Included are various equity-linked or other indexed instruments. Embedded derivatives separated from hybrid securities in accordance with SFAS 133 are reported at fair value and shown net
with the host contract on the Consolidated balance sheets. Changes in fair value of separated derivatives are recorded in Principal transactions revenue. Hybrid securities which the Firm has elected
to measure at fair value in accordance with SFAS 155 are classified in the line item of the host contract on the Consolidated balance sheets; changes in fair values are recorded in Principal transac-
tions revenue in the Consolidated statements of income.
(b) The interest rates shown are the range of contractual rates in effect at year end, including non-U.S. dollar-fixed- and variable-rate issuances, which excludes the effects of the associated derivative
instruments used in SFAS 133 hedge accounting relationships if applicable. The use of these derivative instruments modifies the Firm’s exposure to the contractual interest rates disclosed in the table
above. Including the effects of the SFAS 133 hedge accounting derivatives, the range of modified rates in effect at December 31, 2006, for total long-term debt was 0.11% to 17.00%, versus the
contractual range of 0.75% to 17.00% presented in the table above.
(c) Included on the Consolidated balance sheets in Beneficial interests issued by consolidated variable interest entities.
(d) At December 31, 2006, long-term debt aggregating $27.3 billion was redeemable at the option of JPMorgan Chase, in whole or in part, prior to maturity, based upon the terms specified
in the respective notes.
(e)
The aggregate principal amount of debt that matures in each of the five years subsequent to 2006 is $28.3 billion in 2007, $22.9 billion in 2008, $18.1 billion in 2009, $10.6 billion in 2010 and $17.6 billion in 2011.
(f) Includes $3.0 billion of outstanding zero-coupon notes at December 31, 2006. The aggregate principal amount of these notes at their respective maturities was $6.8 billion.
(g) Includes $25.4 billion of outstanding structured notes accounted for at fair value under SFAS 155.
Note 18 – Deposits
At December 31, 2006 and 2005, time deposits in denominations of
$100,000 or more were as follows:
December 31, (in millions) 2006 2005
U.S. $ 110,812 $ 80,861
Non-U.S. 51,138 34,912
Total $ 161,950 $ 115,773
At December 31, 2006, the maturities of time deposits were as follows:
December 31, 2006 (in millions) U.S. Non-U.S. Total
2007 $ 132,313 $ 62,874 $195,187
2008 2,692 769 3,461
2009 1,200 653 1,853
2010 617 605 1,222
2011 621 486 1,107
After 5 years 735 784 1,519
Total $ 138,178 $ 66,171 $204,349