JP Morgan Chase 2006 Annual Report Download - page 68

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WHOLESALE CREDIT PORTFOLIO
As of December 31, 2006, wholesale exposure (IB, CB, TSS and AM) increased
by $80.0 billion from December 31, 2005, due to increases in lending-related
commitments of $70.3 billion, Loans of $33.6 billion, and Derivative receiv-
ables of $5.8 billion, partially offset by a decrease of $29.7 billion in Interests
in purchased receivables. During the second quarter of 2006, certain multi-
seller conduits that the Firm administers were deconsolidated, resulting in a
Wholesale
As of or for the year ended
December 31,
Credit exposure Nonperforming assets
(f)
(in millions)
2006 2005 2006 2005
Loans – reported(a) $ 183,742 $ 150,111 $ 391 $992
Derivative receivables 55,601 49,787 36 50
Interests in purchased receivables —29,740 ——
Total wholesale credit-related assets 239,343 229,638 427 1,042
Lending-related commitments(b) 391,424 321,109 NA NA
Assets acquired in loan satisfactions NA NA 317
Total wholesale credit exposure $ 630,767 $ 550,747 $ 430 $ 1,059
Net credit derivative hedges notional(c) $ (50,733) $ (29,882) $ (16) $ (17)
Collateral held against derivatives(d) (6,591) (6,000) NA NA
Held-for-sale
Total average HFS loans $ 22,187 $ 12,038 $58 $74
Nonperforming – purchased(e) 251 341 NA NA
(a) Includes loans greater or equal to 90 days past due that continue to accrue interest. The principal balance of these loans totaled $29 million and $50 million at December 31, 2006 and 2005, respectively.
Also see Note 12 on pages 112–113 of this Annual Report.
(b) Includes unused advised lines of credit totaling $39.0 billion and $28.3 billion at December 31, 2006 and 2005, respectively, which are not legally binding. In regulatory filings with the Federal Reserve
Board, unused advised lines are not reportable.
(c) 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. Also see Credit derivative positions on page 71 of this Annual Report.
(d) Represents other liquid securities collateral held by the Firm as of December 31, 2006 and 2005, respectively.
(e) Represents distressed HFS loans purchased as part of IB’s proprietary activities, which are excluded from nonperforming assets.
(f) Includes nonperforming HFS loans of $4 million and $109 million as of December 31, 2006 and 2005, respectively.
MANAGEMENT’S DISCUSSION AND ANALYSIS
JPMorgan Chase & Co.
66 JPMorgan Chase & Co. / 2006 Annual Report
decrease of $29 billion in Interests in purchased receivables, offset by a relat-
ed increase of $33 billion in lending-related commitments. For a more detailed
discussion of the deconsolidation, refer to Note 15 on pages 118–120 of this
Annual Report. The remainder of the increase in Loans and lending-related
commitments was primarily in the IB, reflecting an increase in capital mar-
kets–related activity, including financings associated with client acquisitions,
securitizations and loan syndications.