JP Morgan Chase 2010 Annual Report Download - page 247

JPMorgan Chase & Co./2010 Annual Report 247
Firm-sponsored mortgage and other consumer securitization trusts
Principal amount outstanding
JPMorgan Chase interest in securitized assets
in nonconsolidated VIEs(d)(e)(f)(g)(h)
December 31, 2010(a)
(in billions)
Total assets
held by
securitization VIEs
Assets held in
consolidated
securitization VIEs
Assets held in
nonconsolidated
securitization VIEs
with continuing
involvement
Trading
assets
AFS
securities
Other
assets
Total interests
held by
JPMorgan
Chase
Securitization-related
Residential mortgage:
Prime
(b)
$ 153.1 $ 2.2 $ 143.8 $ 0.7 $ — $ — $ 0.7
Subprime 44.0 1.6 40.7 — — — —
Option ARMs 36.1 0.3 35.8 — — — —
Commercial and other
(c)
153.4 — 106.2 2.0 0.9 — 2.9
Student 4.5 4.5 — — — — —
Auto — — — — — — —
Total $ 391.1 $ 8.6 $ 326.5 $ 2.7 $ 0.9 $ — $ 3.6
Principal amount outstanding
JPMorgan Chase interest in securitized assets
in nonconsolidated VIEs(d)(e)(f)(g)(h)
December 31, 2009(a)
(in billions)
Total assets
held by
securitization VIEs
Assets held in
consolidated
securitization VIEs
Assets held in
nonconsolidated
securitization VIEs
with continuing
involvement
Trading
assets
AFS
securities
Other
assets
Total interests
held by
JPMorgan
Chase
Securitization-related
Residential mortgage:
Prime
(b)
$ 183.3 $ — $ 171.5 $ 0.9 $ 0.2 $ — $ 1.1
Subprime 50.0 — 47.3 — — — —
Option ARMs 42.0 — 42.0 — 0.1 — 0.1
Commercial and other
(c)
155.3 — 24.8 1.6 0.8 — 2.4
Student 4.8 3.8 1.0 — — 0.1 0.1
Auto 0.2 — 0.2 — — — —
Total $ 435.6 $ 3.8 $ 286.8 $ 2.5 $ 1.1 $ 0.1 $ 3.7
(a) Excludes loan sales to U.S. government agencies. See page 257 of this Note for information on the Firm’s loan sales to U.S. government agencies.
(b) Includes Alt-A loans.
(c) Consists of securities backed by commercial loans (predominantly real estate) and non-mortgage-related consumer receivables purchased from third parties. The Firm
generally does not retain a residual interest in its sponsored commercial mortgage securitization transactions. Includes co-sponsored commercial securitizations and,
therefore, includes non–JPMorgan Chase–originated commercial mortgage loans.
(d) Excludes retained servicing (for a discussion of MSRs, see Note 17 on pages 260–263 of this Annual Report) and securities retained from loan sales to U.S. govern-
ment agencies.
(e) Excludes senior and subordinated securities of $182 million and $18 million, respectively, at December 31, 2010, and $729 million and $146 million, respectively, at
December 31, 2009, which the Firm purchased in connection with IB’s secondary market-making activities.
(f) Includes investments acquired in the secondary market that are predominantly for held-for-investment purposes, of $315 million and $139 million as of December 31,
2010 and 2009, respectively. This comprises $238 million and $91 million of AFS securities, related to commercial and other; and $77 million and $48 million of in-
vestments classified as trading assets–debt and equity instruments, including $39 million and $47 million of residential mortgages, and $38 million and $1 million of
commercial and other, all respectively, at December 31, 2010 and 2009.
(g) Excludes interest rate and foreign exchange derivatives primarily used to manage the interest rate and foreign exchange risks of the securitization entities. See Note 6
on pages 191–199 of this Annual Report for further information on derivatives.
(h) Includes interests held in re-securitization transactions.