JP Morgan Chase 2012 Annual Report Download - page 141

JPMorgan Chase & Co./2012 Annual Report 151
The following table presents summaries of the maturity and ratings profiles of the wholesale credit portfolio as of
December 31, 2012 and 2011. The ratings scale is based on the Firm’s internal risk ratings, which generally correspond to
the ratings as defined by S&P and Moody’s.
Wholesale credit exposure – maturity and ratings profile
Maturity profile(e) Ratings profile
December 31, 2012 Due in 1
year or
less
Due after
1 year
through 5
years
Due
after 5
years Total
Investment-grade
Noninvestment-
grade
Total Total % of IG
(in millions, except ratios) AAA/Aaa to BBB-/Baa3 BB+/Ba1 & below
Loans retained $ 115,227 $ 117,673 $ 73,322 $ 306,222 $ 214,446 $ 91,776 $ 306,222 70%
Derivative receivables 74,983 74,983
Less: Liquid securities and other cash collateral
held against derivatives (13,658) (13,658)
Total derivative receivables, net of all collateral 13,336 25,055 22,934 61,325 50,406 10,919 61,325 82
Lending-related commitments 164,327 261,261 9,226 434,814 347,316 87,498 434,814 80
Subtotal 292,890 403,989 105,482 802,361 612,168 190,193 802,361 76
Loans held-for-sale and loans at fair value(a) 6,961 6,961
Receivables from customers and other 23,648 23,648
Total exposure – net of liquid securities and
other cash collateral held against derivatives $ 832,970 $ 832,970
Credit Portfolio Management derivatives net
notional by counterparty ratings profile(b)(c) $ (1,579) $ (16,475) $ (9,393) $ (27,447) $ (27,507) $ 60 $ (27,447) 100%
Credit Portfolio Management derivatives net
notional by reference entity ratings profile(b)(d) $ (24,622) $ (2,825) $ (27,447) 90%
Maturity profile(e) Ratings profile
December 31, 2011 Due in 1
year or
less
Due after
1 year
through 5
years
Due
after 5
years Total
Investment-grade
Noninvestment-
grade
Total Total % of IG
(in millions, except ratios) AAA/Aaa to BBB-/Baa3 BB+/Ba1 & below
Loans retained $ 113,222 $ 101,959 $ 63,214 $ 278,395 $ 196,998 $ 81,397 $ 278,395 71%
Derivative receivables 92,477 92,477
Less: Liquid securities and other cash collateral
held against derivatives (21,807) (21,807)
Total derivative receivables, net of all collateral 8,243 29,910 32,517 70,670 57,637 13,033 70,670 82
Lending-related commitments 139,978 233,396 9,365 382,739 310,107 72,632 382,739 81
Subtotal 261,443 365,265 105,096 731,804 564,742 167,062 731,804 77
Loans held-for-sale and loans at fair value(a) 4,621 4,621
Receivables from customers and other 17,461 17,461
Total exposure – net of liquid securities and
other cash collateral held against derivatives $ 753,886 $ 753,886
Credit Portfolio Management derivatives net
notional by counterparty ratings profile(b)(c) $ (2,034) $ (16,450) $ (7,756) $ (26,240) $ (26,300) $ 60 $ (26,240) 100%
Credit Portfolio Management derivatives net
notional by reference entity ratings profile(b)(d) $ (22,159) $ (4,081) $ (26,240) 84%
(a) Represents loans held-for-sale primarily related to syndicated loans and loans transferred from the retained portfolio, and loans at fair value.
(b) These derivatives do not quality for hedge accounting under U.S. GAAP. Excludes the synthetic credit portfolio.
(c) The notional amounts are presented on a net basis by each derivative counterparty and the ratings profile shown is based on the ratings of those counterparties. The
counterparties to these positions are predominately investment-grade banks and finance companies.
(d) The notional amounts are presented on a net basis by underlying reference entity and the ratings profile shown is based on the ratings of the reference entity on which
protection has been purchased.
(e) The maturity profiles of retained loans and lending-related commitments are based on the remaining contractual maturity. The maturity profiles of derivative receivables are
based on the maturity profile of average exposure. For further discussion of average exposure, see Derivative receivables on pages 156–159 of this Annual Report.
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. As of
September 30, 2012, the Firm revised its definition of the
criticized component of the wholesale portfolio to align with
the banking regulators’ definition of criticized exposures,
which consist of the special mention, substandard and
doubtful categories. Prior periods have been reclassified to
conform with the current presentation. The reclassification
resulted in an increase in the level of reported criticized
exposure by $4.5 billion as of December 31, 2011, which
did not result in material changes to the Firm’s underlying
risk ratings or the amount of nonaccrual loans. Accordingly,
this reclassification did not result in material changes to the
Firm’s allowance for credit losses or additional provision for
credit losses. Furthermore, this change had no effect on
reported net interest income with respect to the affected
loans. The total criticized component of the portfolio,
excluding loans held-for-sale and loans at fair value,
decreased by 23% to $15.6 billion at December 31, 2012,
from $20.3 billion at December 31, 2011, primarily due to
repayments.