JP Morgan Chase 2015 Annual Report Download - page 133

JPMorgan Chase & Co./2015 Annual Report 123
The following tables present the maturity and ratings profiles of the wholesale credit portfolio as of December 31, 2015 and
2014. 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. For additional information on wholesale loan portfolio risk ratings, see Note 14.
Wholesale credit exposure – maturity and ratings profile
Maturity profile(e) Ratings profile
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
December 31, 2015
(in millions, except ratios)
AAA/Aaa to
BBB-/Baa3
BB+/Ba1 &
below
Loans retained $ 110,348 $ 155,902 $ 90,800 $ 357,050 $ 267,736 $ 89,314 $ 357,050 75%
Derivative receivables 59,677 59,677
Less: Liquid securities and other cash collateral
held against derivatives (16,580) (16,580)
Total derivative receivables, net of all collateral 11,399 12,836 18,862 43,097 34,773 8,324 43,097 81
Lending-related commitments 105,514 251,042 9,843 366,399 267,922 98,477 366,399 73
Subtotal 227,261 419,780 119,505 766,546 570,431 196,115 766,546 74
Loans held-for-sale and loans at fair value(a) 3,965 3,965
Receivables from customers and other 13,372 13,372
Total exposure – net of liquid securities and
other cash collateral held against derivatives $ 783,883 $ 783,883
Credit derivatives used in credit portfolio
management activities by reference entity
ratings profile(b)(c)(d) $ (808) $ (14,427) $ (5,446) $ (20,681) $ (17,754) $ (2,927) $ (20,681) 86%
Maturity profile(e) Ratings profile
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
December 31, 2014
(in millions, except ratios)
AAA/Aaa to
BBB-/Baa3
BB+/Ba1 &
below
Loans retained $ 112,411 $ 134,277 $ 77,814 $ 324,502 $ 241,666 $ 82,836 $ 324,502 74%
Derivative receivables 78,975 78,975
Less: Liquid securities and other cash collateral
held against derivatives (19,604) (19,604)
Total derivative receivables, net of all collateral 20,032 16,130 23,209 59,371 50,815 (f) 8,556 (f) 59,371 86
Lending-related commitments 94,635 262,572 9,674 366,881 284,288 82,593 366,881 77
Subtotal 227,078 412,979 110,697 750,754 576,769 173,985 750,754 77
Loans held-for-sale and loans at fair value(a) 6,412 6,412
Receivables from customers and other 28,972 28,972
Total exposure – net of liquid securities and
other cash collateral held against derivatives $ 786,138 $ 786,138
Credit derivatives used in credit portfolio
management activities by reference entity
ratings profile(b)(c)(d) $ (2,050) $ (18,653) $ (6,000) $ (26,703) $ (23,571) $ (3,132) $ (26,703) 88%
(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.
(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 derivatives used in credit portfolio management
activities, 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. Derivative contracts that are in a
receivable position at December 31, 2015, may become a payable prior to maturity based on their cash flow profile or changes in market conditions.
(f) Prior period amounts have been revised to conform with current period presentation.
Wholesale credit exposure – 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, was
$14.6 billion at December 31, 2015, compared with $10.1
billion at December 31, 2014, driven by downgrades within
the Oil & Gas portfolio.