JP Morgan Chase 2013 Annual Report Download - page 125

JPMorgan Chase & Co./2013 Annual Report 131
The following table presents summaries of the maturity and ratings profiles of the wholesale credit portfolio as of
December 31, 2013 and 2012. 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, 2013 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 $ 108,392 $ 124,111 $ 75,760 $ 308,263 $ 226,070 $ 82,193 $ 308,263 73%
Derivative receivables 65,759 65,759
Less: Liquid securities and other cash collateral
held against derivatives (14,435) (14,435)
Total derivative receivables, net of all collateral 13,550 15,935 21,839 51,324 44,677 6,647 51,324 87
Lending-related commitments 179,301 255,426 11,505 446,232 353,974 92,258 446,232 79
Subtotal 301,243 395,472 109,104 805,819 624,721 181,098 805,819 78
Loans held-for-sale and loans at fair value(a) 13,301 13,301
Receivables from customers and other 26,744 26,744
Total exposure – net of liquid securities and
other cash collateral held against derivatives $ 845,864 $ 845,864
Credit Portfolio Management derivatives net
notional by reference entity ratings profile(b)(c)(d) $ (1,149) $ (19,516) $ (7,331) $ (27,996) $ (24,649) $ (3,347) $ (27,996) 88%
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 (15,201) (15,201)
Total derivative receivables, net of all collateral 13,344 17,310 29,128 59,782 50,069 9,713 59,782 84
Lending-related commitments 164,327 261,261 9,226 434,814 347,316 87,498 434,814 80
Subtotal 292,898 396,244 111,676 800,818 611,831 188,987 800,818 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 $ 831,427 $ 831,427
Credit Portfolio Management derivatives net
notional by reference entity ratings profile(b)(c)(d) $ (1,579) $ (16,475) $ (9,393) $ (27,447) $ (24,622) $ (2,825) $ (27,447) 90%
(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 underlying reference entity and the ratings profile shown is based on the ratings of the reference entity on which
protection has been purchased.
(d) Predominantly all of the credit derivatives entered into by the Firm where it has purchased protection, including Credit Portfolio Management derivatives, are executed with
investment grade counterparties.
(e) The maturity profile of retained loans, lending-related commitments and derivative receivables is based on remaining contractual maturity. Derivatives contracts that are in a
receivable position at December 31, 2013, may become a payable prior to maturity based on their cash flow profile or changes in market conditions. Prior to this Annual
Report, the maturity profile of derivative receivables was based on the maturity profile of average exposure (see pages 135–136 of this Annual Report for more detail); prior
period amounts have been revised to conform to the current presentation.
Wholesale credit exposure – selected industry exposures
The Firm focuses on the management and diversification of
its industry exposures, paying particular attention to
industries with actual or potential credit concerns.
Exposures deemed criticized align with the U.S. banking
regulators’ definition of criticized exposures, which consist
of the special mention, substandard and doubtful
categories. The total criticized component of the portfolio,
excluding loans held-for-sale and loans at fair value,
decreased by 22% to $12.2 billion at December 31, 2013,
from $15.6 billion at December 31, 2012, primarily due to
repayments and sales.