JP Morgan Chase 2010 Annual Report Download - page 256

Notes to consolidated financial statements
256 JPMorgan Chase & Co./2010 Annual Report
Residential mortgage
Year ended December 31, 2009
(in millions, except rates) Credit card Prime(f) Subprime Option ARMs
Commercial
and other Student
Auto
Principal securitized
$
26,538
$
—
$
—
$
—
$
500
$
—
$
—
Pretax gains 22 — — — —
(
g
)
—
—
All cash flows during the period
(a)
Proceeds from new securitizations
(b)
$ 26,538 $ — $ — $ — $ 542 $ — $
—
Servicing fees collected
1,251
432
185
494
11
3
4
Other cash flows received
5,000
7
4
—
—
—
—
Proceeds from collections reinvested in revolving
securitizations 161,428 — — — — —
—
Purchases of previously transferred financial assets
(or the underlying collateral)(c) — 136 — 29 — —
249
Cash flows received on the interests that co
n
tinue to
be held by the Firm(d) 261 475 25 38 109 7
4
Key assumptions us
ed to measure retained
interests originated during the year
(rates per annum)
Prepayment rate
(
e
)
16.7% 100%
PPR
CPY
Weighted
-
average life (in years)
0.5
9.0
Expected credit losses
8.9%
—
%
Discount rate
16.0
%
10.7%
Residential mortgage
Year ended December 31, 2008
(in millions, except rates) Credit card Prime(f) Subprime Option ARMs
Commercial
and other Student Auto
Principal securitized
$
21,390
$
—
$
—
$
—
$
1,023
$
—
$
—
Pretax gains 151 — — — —
(
g
)
— —
All cash flows during the period
(a)
Proceeds from new securitizations
(b)
$ 21,389
$ — $ — $ — $ 989 $ — $ —
Servicing fees collected
1,162
279
146
129
11
4
15
Other cash flows received
4,9
85
23
16
—
—
—
—
Proceeds from collections reinvested in revolving
securitizations 152,399 — — — — — —
Purchases of previously transferred financial assets
(or the underlying collateral)(c) — 217 13 6 — — 359
Cash f
lows received on the interests that co
n
tinue 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
)
19.1% 1.5%
PPR
CPR
Weighted
-
average life (in years)
0.4
2.1
Expected credit losses
4.6%
1.5
%
Discount rate
12.5%
25.0
%
(a) Excludes loan sales for which the Firm did not securitize (including loans sold to U.S. government agencies).
(b) Includes $36 million of proceeds from prime mortgage securitizations received as securities in 2010, $2.4 billion, $542 million, and $989 million from new securitiza-
tions of commercial and other in 2010, 2009 and 2008, respectively, and $12.8 billion and $5.5 billion from credit card in 2009 and 2008, respectively. These securities
were primarily classified as level 2 of the fair value measurement hierarchy.
(c) Includes cash paid by the Firm to reacquire assets from the off–balance sheet, nonconsolidated entities – for example, servicer clean-up calls.
(d) Includes cash flows received on retained interests – including, for example, principal repayments and interest payments.
(e) PPR: principal payment rate; CPR: constant prepayment rate; CPY: constant prepayment yield.
(f) Includes Alt-A loans and re-securitization transactions.
(g) The Firm elected the fair value option for loans pending securitization. The carrying value of these loans accounted for at fair value approximated the proceeds received
from securitization.
(h) There were no retained interests held in the residential mortgage securitization completed in 2010.