JP Morgan Chase 2008 Annual Report Download - page 185

JPMorgan Chase & Co./ 2008 Annual Report 183
Securitization activity
The following tables provide information related to the Firm’s securitization activities for the years ended December 31, 2008, 2007 and 2006.
For the periods presented there were no cash flows from the Firm to the QSPEs related to recourse or guarantee arrangements.
Year ended December 31, 2008 Residential mortgage(g)
(in millions, except for ratios and where Option Commercial Student
otherwise noted) Credit card Prime(h) Subprime ARMs and other loans Auto
Principal securitized $ 21,390 $ — $ — $ — $1,023 $ — $ —
Pretax gains 151 — — — — — —
All cash flows during the period:
Proceeds from new securitizations $ 21,389(f) $ — $ — $ — $ 989 $ — $ —
Servicing fees collected 1,162 279 146 129 11 4 15
Other cash flows received(a) 4,985 23 16 — — — —
Proceeds from collections reinvested
in revolving securitizations 152,399 — — — — — —
Purchases of previously transferred
financial assets (or the underlying
collateral)(b)(c) — 217 13 6 — — 359
Cash flows received on the interests
that continue to be held by the
Firm(d) 117 267 23 53 455 — 43
Key assumptions used to measure retained interests originated during the year (rates per annum):
Prepayment rate(e) 17.9-20.0% 1.5%
PPR CPR
Weighted-average life (in years) 0.4-0.5 2.1
Expected credit losses 4.2-4.8% 1.5%
Discount rate 12.0-13.0% 25.0%
Other Securitizations
The Firm also securitizes automobile and student loans originated by
RFS and purchased consumer loans (including automobile and stu-
dent loans). The Firm retains servicing responsibilities for all originated
and certain purchased student and automobile loans. It may also hold
a retained interest in these securitizations; such residual interests are
classified as other assets. At December 31, 2008 and 2007, the Firm
held $37 million and $85 million, respectively, of retained interests in
securitized automobile loans and $52 million and $55 million, respec-
tively, of retained interests in securitized student loans.
The Firm also maintains escrow accounts up to predetermined limits
for some automobile and student loan securitizations to cover deficien-
cies in cash flows owed to investors. These escrow accounts are classi-
fied within other assets and carried at fair value. The amounts available
in such escrow accounts as of December 31, 2008, were $3 million for
both automobile and student loan securitizations; as of December 31,
2007, these amounts were $21 million and $3 million for automobile
and student loan securitizations, respectively.