JP Morgan Chase 2010 Annual Report Download - page 121

JPMorgan Chase & Co./2010 Annual Report 121
Wholesale credit exposure – maturity and ratings profile
Maturity profile
(
e
)
Ratings profile
December 31, 2010
(in millions, except ratios)
Due in 1
year or less
Due after 1 year
through 5 years
Due after
5 years Total
Investment
-
grade (“IG”)
AAA/Aaa to BBB-/Baa3
Noninvestment
-
grade
BB+/Ba1 & below Total
Total %
of IG
Loans $ 78,017 $ 85,987 $ 58,506 $ 222,510 $ 146,047 $ 76,463 $ 222,510
66
%
Derivative receivables
(a)
80,481 80,481
Less: Liquid securities
a
nd other
cash collateral held
against derivatives (16,486)
(16,486)
Total derivative receivables,
net of all collateral 11,499 24,415 28,081 63,995 47,557 16,438 63,995
74
Lending-related commitments
126,389 209,299 10,391 346,079 276,298 69,781 346,079
80
Subtotal 215,905 319,701 96,978 632,584 469,902 162,682 632,584
74
Loans held
-
for
-
sale and loans at
fair value(b)(c) 5,123 5,123
Receivables from customers
(c)
32,541 32,541
Interests in purchased
receivables(c) 391 391
Total exposure
–
exclu
d
ing
liquid securities and
other cash collateral
held against derivatives $ 670,639 $ 670,639
Net credit derivative hedges
notional(d) $ (1,228) $ (16,415) $ (5,465) $ (23,108) $ (23,159) $ 51 $ (23,108)
100
%
Maturity profile
(
e
)
Ratings profile
December 31, 2009
(in millions, except ratios)
Due in 1
year or less
Due after 1 year
through 5 years
Due after
5 years Total
Investment
-
grade (“IG”)
AAA/Aaa to BBB-/Baa3
Noninvestment
-
grade
BB+/Ba1 & below Total
Total %
of IG
Loans
$
57,381
$ 79,636
$ 63,060
$
200
,07
7
$ 118,531
$ 81,546
$
200
,07
7
59
%
Derivative receivables
(a)
80,210 80,210
Less
:
L
iquid securities and other
cash collateral held
against derivatives (15,519)
(15,519)
Total deriv
ative recei
v
ables, net of
all collateral 7,535 27,123 30,033 64,691 47,305 17,386 64,691 73
Lending-related commitments 141,621 198,215 7,319 347,155 280,811 66,344 347,155 81
Subtotal 206,537 304,974 100,412 611,923 446,647 165,276 611,923 73
Loans held
-
for
-
sale and loans at
fair value(b)(c) 4,098 4,098
Receivables from customers
(c)
15,745 15,745
Interests in purchased
receivables(c) 2,927 2,927
Total exposure
–
exclu
d
ing
liquid securities and
other cash collateral
held against derivatives $ 634,693 $ 634,693
Net credit derivative hedges
notional(d) $ (23,568) $ (20,322) $ (4,486) $ (48,376) $ (48,110) $ (266) $ (48,376) 99
%
(a) Represents the fair value of derivative receivables as reported on the Consolidated Balance Sheets.
(b) Loans held-for-sale and loans at fair value relate primarily to syndicated loans and loans transferred from the retained portfolio.
(c) From a credit risk perspective maturity and ratings profiles are not meaningful.
(d) Represents the net notional amounts of protection purchased and sold of single-name and portfolio credit derivatives used to manage the credit exposures; these derivatives do not
qualify for hedge accounting under U.S. GAAP.
(e) The maturity profile of loans and lending-related commitments is based on the remaining contractual maturity. The maturity profile of derivative receivables is based on the maturity profile
of average exposure. For further discussion of average exposure, see Derivative receivables marked to market on pages 125–126 of this Annual Report.
Customer receivables representing primarily margin loans to prime
and retail brokerage clients of $32.5 billion and $15.7 billion at
December 31, 2010 and 2009, respectively, are included in the table.
These margin loans are generally over-collateralized through a pledge
of assets maintained in clients’ brokerage accounts and are subject to
daily minimum collateral requirements. In the event that the collateral
value decreases, a maintenance margin call is made to the client to
provide additional collateral into the account. If additional collateral is
not provided by the client, the client’s positions may be liquidated by
the Firm to meet the minimum collateral requirements.
Wholesale credit exposure – selected industry exposures
The Firm focuses on the management and diversification of its industry
exposures, with particular attention paid to industries with actual or
potential credit concerns. Exposures deemed criticized generally repre-
sent a ratings profile similar to a rating of “CCC+”/”Caa1” and lower,
as defined by S&P and Moody’s. The total criticized component of the
portfolio, excluding loans held-for-sale and loans at fair value, de-
creased to $22.4 billion at December 31, 2010, from $33.2 billion at
year-end 2009. The decrease was primarily related to net repayments
and loan sales.