JP Morgan Chase 2015 Annual Report Download - page 267

JPMorgan Chase & Co./2015 Annual Report 257
Approximately 23% of the PCI home equity portfolio are senior lien loans; the remaining balance are junior lien HELOANs or
HELOCs. The following table sets forth delinquency statistics for PCI junior lien home equity loans and lines of credit based on
the unpaid principal balance as of December 31, 2015 and 2014.
Total loans Total 30+ day delinquency rate
December 31,
2015 2014 2015 2014(in millions, except ratios)
HELOCs:(a)
Within the revolving period(b) $ 5,000 $ 8,972 4.10% 6.42%
Beyond the revolving period(c) 6,252 4,143 4.46 6.42
HELOANs 582 736 5.33 8.83
Total $ 11,834 $ 13,851 4.35% 6.55%
(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,
2015, 2014 and 2013, 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
2015 2014 2013
Beginning balance $ 14,592 $ 16,167 $ 18,457
Accretion into interest income (1,700) (1,934) (2,201)
Changes in interest rates on variable-rate loans 279 (174) (287)
Other changes in expected cash flows(a) 230 533 198
Reclassification from nonaccretable difference(b) 90 ——
Balance at December 31 $ 13,491 $ 14,592 $ 16,167
Accretable yield percentage 4.20% 4.19% 4.31%
(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 years ended December 31, 2015 and 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.
(b) Reclassifications from the nonaccretable difference in the year ended December 31, 2015 were driven by continued improvement in home prices and delinquencies,
as well as increased granularity in the impairment estimates.
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.
Active and suspended foreclosure
At December 31, 2015 and 2014, the Firm had PCI
residential real estate loans with an unpaid principal
balance of $2.3 billion and $3.2 billion, respectively, that
were not included in REO, but were in the process of active
or suspended foreclosure.