Report to the Congress on Risk Retention  **Figure 1** Title: Figure 1. Example of a Securitization Structure
    Series: Pass-through  security and senior-subordinate structure
    Horizon: Not applicable
    Description: This figure is a graphical example of the  difference between a pass through structure and a senior-subordinate  structure. 
    On the left side of the figure are four  equally sized vertical bars that each represent a 25 percent ownership share in  a pool of loans. At the bottom of each  vertical bar is a small red portion representing the loss on the pool of  loans. 
    To the right of the vertical bars, the  figure depicts the senior-subordinate structure as three equally sized stacked  blue boxes labeled A, B, and C from top to bottom. Each box represents a tranche or class in the  senior-subordinate structure each worth one-third of the pool of loans. The box labeled A, at the top, represents the  senior tranche or class of security; the box labeled B, in the middle,  represents the subordinate trance; and the box labeled C, at the bottom, is the  equity tranche. Box C has both a blue  portion on the top and a red portion below, equal to the size of the red portion  of the vertical bars for the pass-through security. 
  To the right of the three stacked bars  are two arrows, which are stacked: the  top one labeled "payments to investors," starts from the top of the red portion  in Box C and goes up through the box B and Box A and the bottom one, labeled "losses,"  is the size of the bottom red portion of both the vertical bars and the bottom  half of Box C. return to text **Figure 2** Title: Figure 2. Percentage of Dollar Amount of All New  Asset-Backed Issuances from 2005 to 2009
Series: Percentage of dollar amount of all new asset-backed  issuances from 2005 to 2009
Horizon: 2005 to 2009
Description: Data are plotted as a pie chart. Units are the percentage, by dollar amount,  of all new asset-backed issuance from 2005 to 2009. RMBS  represents 35 percent of new issuance, CMBS 15 percent, CLO 7 percent, credit  card 5 percent, auto 5 percent, student loans 4 percent, floorplan 1 percent,  and equipment less than 1 percent. Other  issuancesrepresent the 28 percent remainder of new issuance.
    Note: For the  definition of "other" asset-backed securities, see text note 20. CLO is collateralized loan obligations, CMBS  is commercial mortgage-backed securities, and RMBS  is residential mortgage-backed securities.
    Source: JPMorgan  Chase, Securities Industry and Financial Markets Association, *Asset-Backed Alert*, and *Commercial Mortgage Alert*. return to text **Figure 3** Figure 3 All RMBS Issued Publicly and by Private Placement (Rule 144A)(Dollars in millions)
2002
2003
2004
2005
2006
2007
2008
2009
2010Public
276,128.65
386,216.73
490,322.29
707,948.35
702,834.97
599,081.29
12,202.28
297.00
211.17Private/144A
11,787.33
10,071.33
13,588.90
16,166.61
20,422.28
42,726.43
16,410.12
47,784.72
39,618.90 Note:  Data are through September 2010. Source:  Asset-Backed Alert.
 return to text **Figure 4** Figure 4 New Credit Card-Backed Securitizations Issued Publicly and by Private Placement (Rule 144A)(Dollars in millions)
2002
2003
2004
2005
2006
2007
2008
2009
2010Public
69,486.52
65,789.82
46,318.12
61,162.88
60,005.27
88,114.27
56,678.47
34,130.00
4,879.01Private/144A
3,517.92
1,595.43
4,869.66
1,752.80
12,512.52
6,355.70
4,950.00
12,451.00
1,269.72 Note:  Data are through September 2010. Source:  Asset-Backed Alert.
 return to text **Figure 5** Figure 5 New Auto-Backed Securitizations Issued Publicly and by Private Placement (Rule 144A) (Dollars in millions)
2002
2003
2004
2005
2006
2007
2008
2009
2010Public
Auto Leases
3,483.9
2,239.7
2,970.0
2,895.4
3,068.8
4,231.3
475.1
6,897.5
1,750.0Public
Auto loans (prime)
56,391.5
54,943.6
39,219.9
52,636.5
44,132.0
36,423.9
29,088.9
23,813.7
22,753.5Public
Auto loans (subprime)
27,025.7
19,990.5
18,028.3
26,388.5
19,165.4
15,298.8
1,897.1
725.0
4,451.9Public
Motorcycle loans
1,186.0
1,750.0
1,876.0
2,480.0
1,600.0
2,532.0
486.0
2,422.7
.0Public
Truck loans
1,350.0
1,050.0
1,350.0
746.3
.0
.0
.0
.0
.0Private/144A
Auto Leases
2,854.9
4,284.0
2,900.0
10,704.9
2,111.9
4,101.9
.0
5,804.6
6,328.9Private/144A
Auto loans (prime)
1,268.6
50.0
4,833.4
4,787.0
6,373.7
2,038.2
3,211.8
12,487.6
5,643.1Private/144A
Auto loans (subprime)
1,923.7
2,042.5
1,703.9
3,078.6
4,818.3
2,147.2
310.4
1,792.9
1,295.2Private/144A
Motorcycle loans



.0
730.0
.0
.0
.0
.0Private/144A
Truck loans



.0
.0
.0
.0
.0
881.1 Note:  Data are through September 2010. Source:  Asset-Backed Alert.
 return to text **Figure 6** Figure 6 New Student Loan-Backed Securitizations Issued Publicly and by Private Placement (Rule 144A) (Dollars in millions)
2002
2003
2004
2005
2006
2007
2008
2009
2010Public
17,824.91
30,909.06
38,280.64
54,099.72
54,890.64
41,723.16
25,774.95
8,347.24
2,800.38Private/144A
7,541.95
9,158.33
7,478.72
8,112.37
10,854.26
16,398.88
2,424.52
12,491.52
11,098.52 Note:  Data are through September 2010. Source:  Asset-Backed Alert.
 return to text **Figure 7** Figure 7 New Equipment-Backed Securitizations Issued Publicly and by Private Placement (Rule 144A)(Dollars in millions)
2002
2003
2004
2005
2006
2007
2008
2009
2010Public
Equipment leases
2,879.0
3,722.9
1,388.7
1,393.1
1,750.3
.0
548.0
.0
.0Public
Equipment loans
2,732.0
3,174.7
3,716.2
4,766.7
5,260.2
5,248.0
2,349.3
4,347.9
2,535.8Private/144A
Equipment leases
1,300.6
1,805.4
581.8
2,500.2
1,393.6
540.5
116.9
2,892.1
747.9Private/144A
Equipment loans
150.0
318.6
601.6
370.4
.0
277.9
.0
.0
1,726.6 Note:  Data are through September 2010. Source:  Asset-Backed Alert.
 return to text **Figure 8** Figure 8 New Floorplan-Backed Securitizations Issued Publicly and by Private Placement (Rule 144A) (Dollars in millions)
2002
2003
2004
2005
2006
2007
2008
2009
2010Public
3,000.00
5,405.22
11,747.79
11,920.22
9,000.00
6,137.20
.00
2,000.00
1,710.20Private/144A
.00
909.60
100.00
750.00
3,173.14
788.25
1,000.00
2,959.39
6,908.94 Note:  Data are through September 2010. Source:  Asset-Backed Alert.
 return to text **Figure 9** Title: Figure 9.  ABX.HE Index for 2006-2  Vintage Residential Mortgage-Backed Securities
    Series: 2006-2 AAA  and 2006-2 BBB
    Horizon: July 2006 to September 2010
    Description:  Data are plotted as two curves.  Units are index price (par = 100).  The prices are quoted at a daily frequency from July 2006 to September  2010. 
    Over the entire data range, the prices  of the AAA-rated securities are higher  than the prices of the BBB-rated securities. 
    The AAA-rated  securities are priced at par through July 2007.  Subsequently, the series declines gradually to below 30 points in April  2009. It recovers near to 60 points at  the close of the sample period.
    The BBB-rated securities are  priced near par through November 2006.  Subsequently, the series falls to below 80 points by early 2007 and  stabilizes at about the 80 point level for several months before falling again  in June 2007. The series then drops  sharply until May 2008, and trades consistently near 5 points through the  remainder of the sample period. 
  Source: JPMorgan  Chase. return to text **Figure 10** Title: Figure 10.  Fixed-Rate Spreads over Swaps for 10-Year Commercial Mortgage-Backed  Securities Rated AAA
Series: Fixed-rate spreads over swaps for 10-year  commercial mortgage-backed securities rated AAA
Horizon: January 2001 to September 2010
Description: Data are plotted as one curve. Units are spreads (in basis points). The spreads are quoted at a weekly frequency  from May 2005 to September 2010. Spreads remain near constant in the range of 20 to 30  basis points until June 2007. The spreads  first hit 310 basis points in March 2008 before retreating briefly to 140 basis  points two months later. The spreads  then widen sharply to an unprecedented level of 1,350 basis points in November  2008. Toward the end of the sample  period, the spreads narrow to about 300 basis points.
    Source: JPMorgan  Chase. return to text **Figure 11** Title: Figure 11.  Fixed-Rate Spreads over Swaps for 2-Year Credit Card Asset-Backed  Securities Rated AAA and BBB
Series: AAA  and BBB
Horizon: January 2001 to September, 2010
Description: Data are plotted as two curves. Units are spreads (in basis points). The spreads are quoted at a weekly frequency  from January 2001 to September 2010. The  spreads are quoted at a weekly frequency from January 2001 to September 2010. Over the entire data range, the spreads  of the BBB-rated securities are higher than the spreads of the AAA-rated securities. Both series stay at  very low levels, about 20 and 0 basis points, respectively, until the summer of  2007 when the spreads begin to widen rapidly.  The spreads hit their first peaks of 550 and 115 basis points,  respectively, in early 2008 and subsequently retreat by about one-half of the  increase. However, both series widen  even more rapidly to unprecedented levels during the second half of 2008. By December 2008, the spreads of AAA-rated securities are over 500 basis points and  the spreads of the BBB-rated securities are at 2,500 basis points. Afterward, the spreads narrow  substantially. Toward the end of the sample  period, the spreads of AAA-rated  securities retreat to about 15 basis points, whereas the spreads of BBB-rated  securities retreat near to 100 basis points.
    Source: JPMorgan  Chase. return to text **Figure 12** Title: Figure 12.  Fixed-Rate Spreads over Swaps for 2-Year Credit Card Asset-Backed  Securities Rated AAA and BBB
Series: AAA  and A
Horizon: January 2001 to September 2010
Description: Data are plotted as two curves. Units are spreads (in basis points). The spreads are  quoted at a weekly frequency and are shown from January 2001 to September 2010. Over the entire data range, the spreads  of the A-rated securities are higher than the spreads of the AAA-rated securities. Both series stay at very low levels, about 20  and 5 basis points, respectively, until the summer of 2007 when the spreads begin  to widen rapidly. The spreads hit their  first peaks of 550 and 185 basis points, respectively, in early 2008 and  subsequently retreat by about one-half of the increase. However, both series widen even more rapidly  to unprecedented levels during the second half of 2008. By December 2008, the spreads of AAA-rated securities are over 600 basis points and  the spreads of the A-rated securities are over 1200 basis points. Since then, the spreads narrow  substantially. Toward the end of the sample  period, the spreads of AAA-rated  securities retreat to about 20 basis points, whereas the spreads of BBB-rated  securities retreat near to 100 basis points.
    Source: JPMorgan Chase. return to text **Figure 13** Title: Figure 13. Floating-Rate Spreads over 3-month Libor for  3-Year FFELP and Private Student Loan Asset-Backed Securities Rated AAA
Series: FFELP and Private
Horizon: October 2002 to  September 2010
Description: Data are  plotted as two curves. Units are spreads  (in basis points).  The spreads are quoted at a weekly  frequency from October 2002 to September 2010. Over the entire data range, the spreads  of the private student loan securities are higher than the spreads of the FFELP  student loan securities. Both series  stay at very low levels below 15 basis points until the summer of 2007 when the  spreads begin to widen rapidly. By early  2009, the spreads of private student loan securities hit 1,200 basis points and  the spreads of the FFELP student loan securities are more than 300 basis  points. Afterward, the spreads narrow  substantially. Toward the end of the sample  period, the spreads of private student loan securities retreat to about 300  basis points, whereas the spreads of FFELP student loan securities retreat to  about 25 basis points.
    Note: Libor is the London interbank offered rate,  and FFELP is the Federal Family Education Loan Program.
    Source: JPMorgan Chase. return to text **Figure 14** Title: Figure 14. Fixed-Rate Spreads over Swaps for 3-Year  Equipment Loan Asset-Backed Securities Rated AAA  and BBB
Series: AAA and BBB
Horizon: January 2001 to  September 2010
Description: Data are plotted  as two curves. Units are spreads (in  basis points). The  spreads are quoted at a weekly frequency from January 2001 to September  2010. Over the entire data range, the spreads of  the BBB-rated securities are higher than the spreads of the AAA-rated securities. Before the summer of 2007, both series are relatively  stable, at 75 and 15 basis points, respectively. Afterward, both spreads widen  substantially. The spreads of AAA-rated securities peak at 600 basis points by  the end of 2009. The spreads of  BBB-rated securities peak several months later at 1,500 basis points. The spreads then narrow substantially. Toward the end of the sample period, the  spreads of AAA-rated securities  retreat to about 20 basis points, whereas the spreads of BBB-rated securities  retreat to about 375 basis points.
    Source: JPMorgan  Chase. return to text **Figure 15** Title: Figure 15.****FAS 167 Loan Consolidation  by Asset Class
Series: No series indicated.****
Horizon: No horizon indicated.
Description: Data are plotted as a pie chart. Units are billions of dollars. The  figure shows seven types of loans in billions of dollars that were consolidated  by commercial banks: Credit  card, $326.0 billion.
    Consumer  loans, $29.7 billion.
    Other  loans, $29.5 billion.
    C&I  loans, $24.0 billion.
    Residential  mortgages, $20.9 billion.
    Home  equity loans, $6.0 billion.
    CRE,  $1.2 billion. The  pie chart is divided into seven sections and indicates the following percentage  for each loan category: Credit  card, 75 percent.
    Consumer  loans, 7 percent.
    Other  loans, 7 percent.
    C&I  loans, 5 percent.
    Residential  mortgages, 5 percent.
    Home  equity loans, 1 percent.
    CRE,  0 percent. Source: Federal Reserve Board, Statistical Release  H.8, "Assets and Liabilities of Commercial Banks in the United States." return to text Back to top