JP Morgan Chase 2010 Annual Report Download - page 234

Notes to consolidated financial statements
234 JPMorgan Chase & Co./2010 Annual Report
Residential real estate – PCI loans
The table below sets forth information about the Firm’s consumer PCI loans.
December 31,
Home equity Prime mortgage
(in millions, except ratios)
2010
2009
2010
2009
Carrying value
(a)
$ 24,459 $ 26,520 $ 17,322 $ 19,693
Related allowance for loan losses
(b)
1,583 — 1,766 1,090
Loan delinquency
(based on unpaid
principal balance)
Current and less than 30 days past due
$ 25,783 $ 29,697 $ 13,035 $ 15,404
30–149 days past due
1,348
2,117
1,468
2,026
150 or more days past due
1,181
1,144
4,425
4,542
Total loans
$
28,312
$ 32,958
$
18,928
$ 21,972
% of 30+ days past due to total loans
8.93%
9.89%
31.13%
29.89%
Current estimated LTV rat
ios
(based on unpaid principal balance)(c)(d)
Greater than 125% and refreshed FICO scores:
Equal to or greater than 660
$
6,324
$ 6,139
$
2,400
$ 1,935
Less than 660
4,052
4,401
2,744
2,244
101% to 125% and refreshed FICO scores:
Equal to or greater than 660
6,097
6,875
3,815
4,566
Less than 660
2,701
3,141
3,011
3,213
80% to 100% and refreshed FICO scores:
Equal to or greater than 660
4,019
5,713
1,970
3,364
Less than 660
1,483
1,930
1,857
2,594
Lower than 80% and refreshed FICO scores:
Equal to or greater than 660
2,539
3,330
1,443
1,832
Less than 660
1,097
1,429
1,688
2,224
Total unpaid principal balance
$
28,312
$ 32,958
$
18,928
$ 21,972
Geographic region (based on unpaid principal balance)
California
$
17,012
$ 19,749
$
10,891
$ 12,657
New York
1,316
1,495
1,111
1,239
Texas
525
616
194
231
Florida
2,595
3,045
1,519
1,801
Illinois
627
723
562
650
Ohio
38
47
91
106
New Jersey
540
625
486
540
Michigan
95
113
279
307
Arizona
539
653
359
438
Washington
1,535
1,766
451
533
All other
3,490
4,126
2,985
3,470
Total unpaid principal balance
$
28,312
$ 32,958
$
18,928
$ 21,972
(a) Carrying value includes the effect of fair value adjustments that were applied to the consumer PCI portfolio at the date of acquisition.
(b) Management concluded as part of the Firm’s regular assessment of the PCI loan pools that it was probable that higher expected principal credit losses would result in a decrease in
expected cash flows. As a result, an allowance for loan losses for impairment of these pools has been recognized.
(c) Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum quarterly, based
on home valuation models utilizing nationally recognized home price index valuation estimates and do not represent actual appraised loan level collateral values; as such the result-
ing ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions re-
lated to the property.
(d) Refreshed FICO scores represent each borrower’s most recent credit score obtained by the Firm; current FICO scores are obtained at least quarterly.