JP Morgan Chase 2014 Annual Report Download - page 255

JPMorgan Chase & Co./2014 Annual Report 253
Approximately 20% of the PCI home equity portfolio are senior lien loans; the remaining balance are junior lien HELOANs or
HELOCs. The following tables set forth delinquency statistics for PCI junior lien home equity loans and lines of credit based on
unpaid principal balance as of December 31, 2014 and 2013.
Delinquencies
Total 30+ day
delinquency
rate
December 31, 2014 30–89 days
past due 90–149 days past due 150+ days past due Total loans(in millions, except ratios)
HELOCs:(a)
Within the revolving period(b) $ 155 $ 50 $ 371 $ 8,972 6.42%
Beyond the revolving period(c) 76 24 166 4,143 6.42
HELOANs 20 7 38 736 8.83
Total $ 251 $ 81 $ 575 $ 13,851 6.55%
Delinquencies
Total 30+ day
delinquency
rate
December 31, 2013 30–89 days
past due 90–149 days past due 150+ days past due
Total loans
(in millions, except ratios)
HELOCs:(a)
Within the revolving period(b) $ 243 $ 88 $ 526 $ 12,670 6.76%
Beyond the revolving period(c) 54 21 82 2,336 6.72
HELOANs 24 11 39 908 8.15
Total $ 321 $ 120 $ 647 $ 15,914 6.84%
(a) In general, these HELOCs are revolving loans for a 10-year period, after which time the HELOC converts to an interest-only loan with a balloon payment at the end of
the loan’s term.
(b) Substantially all undrawn HELOCs within the revolving period have been closed.
(c) Includes loans modified into fixed-rate amortizing loans.
The table below sets forth the accretable yield activity for the Firm’s PCI consumer loans for the years ended December 31,
2014, 2013 and 2012, and represents the Firm’s estimate of gross interest income expected to be earned over the remaining
life of the PCI loan portfolios. The table excludes the cost to fund the PCI portfolios, and therefore the accretable yield does not
represent net interest income expected to be earned on these portfolios.
Year ended December 31,
(in millions, except ratios)
Total PCI
2014 2013 2012
Beginning balance $ 16,167 $ 18,457 $ 19,072
Accretion into interest income (1,934) (2,201) (2,491)
Changes in interest rates on variable-rate loans (174) (287) (449)
Other changes in expected cash flows(a) 533 198 2,325
Balance at December 31 $ 14,592 $ 16,167 $ 18,457
Accretable yield percentage 4.19% 4.31% 4.38%
(a) Other changes in expected cash flows may vary from period to period as the Firm continues to refine its cash flow model and periodically updates model
assumptions. For the year ended December 31, 2014, other changes in expected cash flows were driven by changes in prepayment assumptions. For the year ended
December 31, 2013, other changes in expected cash flows were due to refining the expected interest cash flows on HELOCs with balloon payments, partially offset
by changes in prepayment assumptions. For the year ended December 31, 2012, other changes in expected cash flows were principally driven by the impact of
modifications, but also related to changes in prepayment assumptions.
The factors that most significantly affect estimates of gross
cash flows expected to be collected, and accordingly the
accretable yield balance, include: (i) changes in the
benchmark interest rate indices for variable-rate products
such as option ARM and home equity loans; and (ii) changes
in prepayment assumptions.
Since the date of acquisition, the decrease in the accretable
yield percentage has been primarily related to a decrease in
interest rates on variable-rate loans and, to a lesser extent,
extended loan liquidation periods. Certain events, such as
extended or shortened loan liquidation periods, affect the
timing of expected cash flows and the accretable yield
percentage, but not the amount of cash expected to be
received (i.e., the accretable yield balance). While extended
loan liquidation periods reduce the accretable yield
percentage (because the same accretable yield balance is
recognized against a higher-than-expected loan balance
over a longer-than-expected period of time), shortened
loan liquidation periods would have the opposite effect.
Active and suspended foreclosure
At December 31, 2014 and 2013, the Firm had PCI
residential real estate loans with an unpaid principal
balance of $3.2 billion and $4.8 billion, respectively, that
were not included in REO, but were in the process of active
or suspended foreclosure.