Loans

9 Months Ended

Sep. 30, 2011

Loan accounting framework

The accounting for a loan depends on management’s strategy for the loan, and on whether the loan was credit-impaired at the date of acquisition. The Firm accounts for loans based on the following categories:


•	Originated or purchased loans held-for-investment (i.e., “retained”), other than purchased credit-impaired (“PCI”) loans


•	Loans held-for-sale


•	Loans at fair value


•	PCI loans held-for-investment

For a detailed discussion of loans, including accounting policies, see Note 14 on pages 220–238 of JPMorgan Chase’s 2010 Annual Report. See Note 4 on pages 116–118 of this Form 10-Q for further information on the Firm’s elections of fair value accounting under the fair value option. See Note 3 on pages 104–116 of this Form 10-Q for further information on loans carried at fair value and classified as trading assets.

Loan portfolio

The Firm’s loan portfolio is divided into three portfolio segments, which are the same segments used by the Firm to determine the allowance for loan losses: Wholesale; Consumer, excluding credit card; and Credit card. Within each portfolio segment, the Firm monitors and assesses the credit risk in the following classes of loans, based on the risk characteristics of each loan class:



Wholesale^(a)	Consumer, excluding credit card^(b)	Credit card
• Commercial and industrial • Real estate • Financial institutions • Government agencies • Other	Residential real estate – excluding PCI • Home equity – senior lien • Home equity – junior lien • Prime mortgage, including option adjustable-rate mortgages (“ARMs”) • Subprime mortgage Other consumer loans • Auto^(c) • Business banking^(c) • Student and other Residential real estate – PCI • Home equity • Prime mortgage • Subprime mortgage • Option ARMs	• Chase, excluding accounts originated by Washington Mutual • Accounts originated by Washington Mutual


(a)	Includes loans reported in IB, Commercial Banking (“CB”), Treasury & Securities Services (“TSS”), Asset Management (“AM”)

and Corporate/Private Equity segments.


(b)	Includes loans reported in RFS, auto and student loans reported in Card Services & Auto (“Card”) and residential real estate loans reported in the Corporate/Private Equity segment.


(c)	Includes auto and business banking risk-rated loans that apply the wholesale methodology for determining the allowance for loan losses; these loans are managed by Card and RFS, respectively, and therefore, for consistency in presentation, are included with the other consumer loan classes.

The following table summarizes the Firm’s loan balances by portfolio segment:



September 30, 2011 (in millions)	Wholesale		Consumer, excluding credit card		Credit card		Total
Retained	$	255,799	$	310,104	$	127,041	$	692,944	^(a)
Held-for-sale	1,687		131		94		1,912
At fair value	1,997		—		—		1,997
Total	$	259,483	$	310,235	$	127,135	$	696,853

December 31, 2010 (in millions)	Wholesale		Consumer, excluding credit card		Credit card		Total
Retained	$	222,510	$	327,464	$	135,524	$	685,498	^(a)
Held-for-sale	3,147		154		2,152		5,453
At fair value	1,976		—		—		1,976
Total	$	227,633	$	327,618	$	137,676	$	692,927


(a)	Loans (other than PCI loans and those for which the fair value option has been selected) are presented net of unearned income, unamortized discounts and premiums and net deferred loan costs of $2.5 billion and $1.9 billion at September 30, 2011, and December 31, 2010, respectively.

The following tables provide information about the carrying value of retained loans purchased, retained loans sold and retained loans reclassified to held-for-sale during the periods indicated. These tables exclude loans recorded at fair value. On an ongoing basis, the Firm manages its exposure to credit risk. Selling loans is one way that the Firm reduces its credit exposures.



Three months ended September 30, 2011 (in millions)	Wholesale		Consumer, excluding credit card		Credit card		Total
Purchases	$	210	$	1,843	$	—	$	2,053
Sales	590		421		—		1,011
Retained loans reclassified to held-for-sale	57		—		94		151



Nine months ended September 30, 2011 (in millions)	Wholesale		Consumer, excluding credit card		Credit card		Total
Purchases	$	551	$	5,503	$	—	$	6,054
Sales	2,272		1,079		—		3,351
Retained loans reclassified to held-for-sale	357		—		2,006		2,363

The following table provides information about gains/(losses) on loan sales by portfolio segment.



	Three months ended September 30,						Nine months ended September 30,
(in millions)	2011			2010			2011			2010
Net gains/(losses) on sales of loans (including lower of cost or fair value adjustments)^(a)
Wholesale	$	(9	)	$	36		$	132		$	166
Consumer, excluding credit card	42			96			95			224
Credit card	—			(1		)	(24		)	(1		)
Total net gains/(losses) on sales of loans (including lower of cost or fair value adjustments)^(a)	$	33		$	131		$	203		$	389


(a)	Excludes sales related to loans accounted for at fair value.

Wholesale loan portfolio

Wholesale loans include loans made to a variety of customers including large corporate and institutional clients to certain high-net worth individuals. The primary credit quality indicator for wholesale loans is the risk rating assigned each loan. For further information on these risk ratings, see Notes 14 and 15 on pages 220–243 of JPMorgan Chase’s 2010 Annual Report.

The table below provides information by class of receivable for the retained loans in the Wholesale portfolio segment.



	Commercial and industrial						Real estate
(in millions, except ratios)	September 30, 2011			December 31, 2010			September 30, 2011			December 31, 2010
Loans by risk ratings
Investment grade	$	41,735		$	31,697		$	31,236		$	28,504
Noninvestment grade:
Noncriticized	37,087			30,874			16,792			16,425
Criticized performing	2,332			2,371			4,389			5,769
Criticized nonaccrual	1,070			1,634			1,179			2,937
Total noninvestment grade	40,489			34,879			22,360			25,131
Total retained loans	$	82,224		$	66,576		$	53,596		$	53,635
% of total criticized to total retained loans	4.14		%	6.02		%	10.39		%	16.23		%
% of nonaccrual loans to total retained loans	1.30			2.45			2.20			5.48
Loans by geographic distribution^(a)
Total non-U.S.	$	24,987		$	17,731		$	1,670		$	1,963
Total U.S.	57,237			48,845			51,926			51,672
Total retained loans	$	82,224		$	66,576		$	53,596		$	53,635

Loan delinquency^(b)
Current and less than 30 days past due and still accruing	$	81,049		$	64,501		$	52,222		$	50,299
30–89 days past due and still accruing	104			434			123			290
90 or more days past due and still accruing^(c)	1			7			72			109
Criticized nonaccrual	1,070			1,634			1,179			2,937
Total retained loans	$	82,224		$	66,576		$	53,596		$	53,635


(a)	U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower.


(b)	Credit quality of wholesale loans is assessed primarily through ongoing review and monitoring of an obligor's ability to meet contractual obligations rather than relying on the past due status, which is generally a lagging indicator of credit quality. For a discussion of more significant risk factors, see Note 14 on page 223 of JPMorgan Chase’s 2010 Annual Report.


(c)	Represents loans that are 90 days or more past due as to principal and/or interest, but that are still accruing interest; these loans are considered well-collateralized.


(d)	Other primarily includes loans to special purpose entities and loans to private banking clients. See Note 1 on pages 164–165 of the Firm’s 2010 Annual Report for additional information on special-purpose entities (“SPEs”).

The following table presents additional information on the real estate class of loans within the wholesale portfolio segment for the periods indicated. For further information on real estate loans, see Note 14 on pages 220–238 of JPMorgan Chase’s 2010 Annual Report.



	Multi-family						Commercial lessors
(in millions, except ratios)	September 30, 2011			December 31, 2010			September 30, 2011			December 31, 2010
Real estate retained loans	$	32,042		$	30,604		$	14,363		$	15,796
Criticized exposure	2,926			3,798			1,849			3,593
% of criticized exposure to total real estate retained loans	9.13		%	12.41		%	12.87		%	22.75		%
Criticized nonaccrual	$	598		$	1,016		$	333		$	1,549
% of criticized nonaccrual to total real estate retained loans	1.87		%	3.32		%	2.32		%	9.81		%

(table continued from previous page)



Financial institutions						Government agencies						Other^(d)						Total retained loans
September 30, 2011			December 31, 2010			September 30, 2011			December 31, 2010			September 30, 2011			December 31, 2010			September 30, 2011			December 31, 2010

$	26,674		$	22,525		$	7,245		$	6,871		$	68,965		$	56,450		$	175,855		$	146,047

8,571			8,480			285			382			6,643			6,012			69,378			62,173
203			317			4			3			627			320			7,555			8,780
57			136			17			22			688			781			3,011			5,510
8,831			8,933			306			407			7,958			7,113			79,944			76,463
$	35,505		$	31,458		$	7,551		$	7,278		$	76,923		$	63,563		$	255,799		$	222,510
0.73		%	1.44		%	0.28		%	0.34		%	1.71		%	1.73		%	4.13		%	6.42		%
0.16			0.43			0.23			0.30			0.89			1.23			1.18			2.48

$	27,266		$	19,756		$	903		$	870		$	32,373		$	25,831		$	87,199		$	66,151
8,239			11,702			6,648			6,408			44,550			37,732			168,600			156,359
$	35,505		$	31,458		$	7,551		$	7,278		$	76,923		$	63,563		$	255,799		$	222,510


$	35,438		$	31,289		$	7,532		$	7,222		$	75,494		$	61,837		$	251,735		$	215,148
10			31			2			34			676			704			915			1,493
—			2			—			—			65			241			138			359
57			136			17			22			688			781			3,011			5,510
$	35,505		$	31,458		$	7,551		$	7,278		$	76,923		$	63,563		$	255,799		$	222,510

(table continued from previous page)



Commercial construction and development						Other						Total real estate loans
September 30, 2011			December 31, 2010			September 30, 2011			December 31, 2010			September 30, 2011			December 31, 2010
$	3,073		$	3,395		$	4,118		$	3,840		$	53,596		$	53,635
365			619			428			696			5,568			8,706
11.88		%	18.23		%	10.39		%	18.13		%	10.39		%	16.23		%
$	134		$	174		$	114		$	198		$	1,179		$	2,937
4.36		%	5.13		%	2.77		%	5.16		%	2.20		%	5.48		%

Wholesale impaired loans and loan modifications

Wholesale impaired loans include loans that have been placed on nonaccrual status and/or that have been modified in a troubled debt restructuring (“TDR”). All impaired loans are evaluated for an asset-specific allowance as described in Note 14 on pages 158–159 of this Form 10-Q.

The table below set forth information about the Firm’s wholesale impaired loans.



	Commercial and industrial				Real estate				Financial institutions				Government agencies				Other				Total retained loans
(in millions)	Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010
Impaired loans
With an allowance	$	1,018	$	1,512	$	850	$	2,510	$	37	$	127	$	17	$	22	$	645	$	697	$	2,567	$	4,868
Without an allowance^(a)	103		157		314		445		23		8		—		—		46		8		486		618
Total impaired loans	$	1,121	$	1,669	$	1,164	$	2,955	$	60	$	135	$	17	$	22	$	691	$	705	$	3,053	$	5,486
Allowance for loan losses related to impaired loans	$	256	$	435	$	209	$	825	$	7	$	61	$	12	$	14	$	186	$	239	$	670	$	1,574
Unpaid principal balance of impaired loans^(b)	1,798		2,453		1,538		3,487		115		244		18		30		1,017		1,046		4,486		7,260


(a)	When the discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, then the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged-off and/or there have been interest payments received and applied to the loan balance.


(b)	Represents the contractual amount of principal owed at September 30, 2011, and December 31, 2010. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the carrying value; net deferred loan fees or costs; and unamortized discount or premiums on purchased loans.

The following table presents the Firm’s average impaired loans for the periods indicated.



	Three months ended September 30,				Nine months ended September 30,
(in millions)	2011		2010		2011		2010
Commercial and industrial	$	1,205	$	1,544	$	1,395	$	1,674
Real estate	1,258		3,251		2,034		3,231
Financial institutions	62		224		76		335
Government agencies	18		—		21		3
Other	634		725		634		864
Total^(a)	$	3,177	$	5,744	$	4,160	$	6,107


(a)	The related interest income on accruing impaired loans and interest income recognized on a cash basis were not material for the three and nine months ended September 30, 2011 and 2010.

Loan modifications

The Firm may modify certain loans in TDR transactions, which provide various concessions to borrowers who are experiencing financial difficulty. All TDRs are reported as impaired loans in the tables above. For further information, see Note 14 on pages 221–222 and 226 of JPMorgan Chase's 2010 Annual Report. The following table provides information about the Firm's wholesale loans that have been modified in TDRs as of the dates presented.



	Commercial and industrial				Real estate				Financial institutions				Government agencies				Other				Total retained loans
(in millions)	Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010
Loans modified in troubled debt restructurings	$	625	$	212	$	261	$	907	$	2	$	1	$	17	$	22	$	23	$	1	$	928	$	1,143
TDRs on nonaccrual status	574		163		243		831		—		1		17		22		19		1		853		1,018
Additional commitments to lend to borrowers whose loans have been modified in TDRs	220		1		—		—		—		—		—		—		—		—		220		1

TDR activity rollforward

The following table reconciles the beginning and ending balances of wholesale loans modified in TDRs for the periods presented and provides information regarding the nature and extent of modifications during those periods.



	Three months ended September 30, 2011												Nine months ended September 30, 2011
(in millions)	Commercial and industrial			Real estate			Other^(c)			Total			Commercial and industrial			Real estate			Other^(c)			Total
Beginning balance of TDRs	$	683		$	289		$	28		$	1,000		$	212		$	907		$	24		$	1,143
New TDRs^(a)	60			43			20			123			642			103			26			771
Increases to existing TDRs	—			—			—			—			19			4			—			23
Charge-offs post-modification	(13		)	(1		)	—			(14		)	(19		)	(143		)	—			(162		)
Sales and other^(b)	(105		)	(70		)	(6		)	(181		)	(229		)	(610		)	(8		)	(847		)
Ending balance of TDRs	$	625		$	261		$	42		$	928		$	625		$	261		$	42		$	928


(a)	New TDRs are predominantly term or payment extensions but also may include interest rate reductions and deferrals of principal and/or interest payments.


(b)	Sales and other are predominantly sales and paydowns, but may include performing loans restructured at market rates that are no longer reported as TDRs.


(c)	Includes loans to Financial institutions, Government agencies and Other.

Financial effects of modifications and redefaults

New TDRs during the three months and nine months ended September 30, 2011, are predominantly term or payment extensions on commercial and industrial and real estate loans. The average term extension granted on these new TDRs was 1.5 years and 3.4 years for the three months and nine months ended September 30, 2011, respectively. The weighted-average remaining term for all loans modified during these periods was 0.7 years and 2.1 years for the three months and nine months ended September 30, 2011, respectively. Wholesale TDR loans that redefaulted within one year of the modification were $5 million and $88 million during the three months and nine months ended September 30, 2011, respectively. A payment default is deemed to occur when the borrower has not made a loan payment by its scheduled due date after giving effect to any contractual grace period.

Consumer, excluding credit card loan portfolio

Consumer loans, excluding credit card loans, consist primarily of residential mortgages, home equity loans and lines of credit, auto loans, business banking loans, and student and other loans, with a primary focus on serving the prime consumer credit market. The portfolio also includes home equity loans secured by junior liens and mortgage loans with interest-only payment options to predominantly prime borrowers, as well as certain payment-option loans originated by Washington Mutual that may result in negative amortization.

Consumer loans, other than PCI loans and the risk-rated loans within the business banking and auto portfolios, are generally charged off to the allowance for loan losses upon reaching specified stages of delinquency, in accordance with the Federal Financial Institutions Examination Council (“FFIEC”) policy.

The table below provides information about consumer retained loans by class, excluding the credit card loan portfolio segment.



(in millions)	September 30, 2011		December 31, 2010
Residential real estate – excluding PCI
Home equity:
Senior lien	$	22,364	$	24,376
Junior lien	57,914		64,009
Mortgages:
Prime, including option ARMs	74,230		74,539
Subprime	10,045		11,287
Other consumer loans
Auto	46,659		48,367
Business banking	17,272		16,812
Student and other	14,492		15,311
Residential real estate – PCI
Home equity	23,105		24,459
Prime mortgage	15,626		17,322
Subprime mortgage	5,072		5,398
Option ARMs	23,325		25,584
Total retained loans	$	310,104	$	327,464

Delinquency rates are a primary credit quality indicator for consumer loans, excluding credit card. Other indicators that are taken into consideration for consumer loans, excluding credit card, include:


•	For residential real estate loans, including both non-PCI and PCI portfolios: The current estimated LTV ratio, or the combined LTV ratio in the case of loans with a junior lien, the geographic distribution of the loan collateral, and the borrowers’ current or “refreshed” FICO score.


•	For scored auto and business banking loans and student loans: Geographic distribution of the loans.


•	For risk-rated auto and business banking loans: Risk rating of the loan, geographic considerations relevant to the loan and whether the loan is considered to be criticized and/or nonaccrual.

For further information on consumer credit quality indicators, see Note 14 on pages 220–238 of JPMorgan Chase’s 2010 Annual Report.

Residential real estate – excluding PCI loans

The following tables provide information by class for residential real estate – excluding PCI retained loans in the consumer, excluding credit card, portfolio segment. The following factors should be considered in analyzing certain credit statistics applicable to the Firm’s residential real estate – excluding PCI loans portfolio: (i) junior lien home equity loans may be fully charged off when the loan becomes 180 days past due, the borrower is either unable or unwilling to repay the loan, and the value of the collateral does not support the repayment of the loan, resulting in relatively high charge-off rates for this product class; and (ii) the lengthening of loss-mitigation timelines may result in higher delinquency rates for loans carried at estimated collateral value that remain on the Firm’s Consolidated Balance Sheets.



Residential real estate – excluding PCI loans
	Home equity
	Senior lien						Junior lien
(in millions, except ratios)	September 30, 2011			December 31, 2010			September 30, 2011			December 31, 2010
Loan delinquency^(a)
Current and less than 30 days past due	$	21,621		$	23,615		$	56,379		$	62,315
30–149 days past due	387			414			1,321			1,508
150 or more days past due	356			347			214			186
Total retained loans	$	22,364		$	24,376		$	57,914		$	64,009
% of 30+ days past due to total retained loans	3.32		%	3.12		%	2.65		%	2.65		%
90 or more days past due and still accruing	$	—		$	—		$	—		$	—
90 or more days past due and government guaranteed^(b)	—			—			—			—
Nonaccrual loans	479			479			811			784
Current estimated LTV ratios^(c)(d)(e)(f)
Greater than 125% and refreshed FICO scores:
Equal to or greater than 660	$	319		$	363		$	6,248		$	6,928
Less than 660	162			196			2,109			2,495
101% to 125% and refreshed FICO scores:
Equal to or greater than 660	654			619			9,014			9,403
Less than 660	253			249			2,665			2,873
80% to 100% and refreshed FICO scores:
Equal to or greater than 660	1,867			1,900			11,869			13,333
Less than 660	635			657			2,770			3,155
Less than 80% and refreshed FICO scores:
Equal to or greater than 660	15,819			17,474			20,223			22,527
Less than 660	2,655			2,918			3,016			3,295
U.S. government-guaranteed	—			—			—			—
Total retained loans	$	22,364		$	24,376		$	57,914		$	64,009
Geographic region
California	$	3,135		$	3,348		$	13,276		$	14,656
New York	3,060			3,272			11,251			12,278
Florida	1,011			1,088			3,111			3,470
Illinois	1,530			1,635			3,900			4,248
Texas	3,160			3,594			1,950			2,239
New Jersey	701			732			3,324			3,617
Arizona	1,367			1,481			2,648			2,979
Washington	728			776			1,964			2,142
Ohio	1,814			2,010			1,385			1,568
Michigan	1,075			1,176			1,454			1,618
All other^(g)	4,783			5,264			13,651			15,194
Total retained loans	$	22,364		$	24,376		$	57,914		$	64,009

(a) Individual delinquency classifications included mortgage loans insured by U.S. government agencies as follows: current and less than 30 days past due includes $3.1 billion and $2.5 billion; 30–149 days past due includes $2.1 billion and $2.5 billion; and 150 or more days past due includes $8.4 billion and $7.9 billion at September 30, 2011, and December 31, 2010, respectively.

(b)

These balances, which are 90 days or more past due but insured by U.S. government agencies, are excluded from nonaccrual loans. In predominately all cases, 100% of the principal balance of the loans is insured and interest is guaranteed at a specified reimbursement rate subject to meeting agreed servicing guidelines. These amounts are excluded from nonaccrual loans because reimbursement of insured and guaranteed amounts is proceeding normally. At September 30, 2011, and December 31, 2010, these balances included $5.9 billion and $2.8 billion, respectively, of loans that are no longer accruing interest because interest has been curtailed by the U.S. government agencies although, in predominantly all cases, 100% of the principal is still insured. For the remaining balance, interest is being accrued at the guaranteed reimbursement rate.

(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 incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates.


(d)	Junior lien represents combined LTV, which considers all available lien positions related to the property. All other products are presented without consideration of subordinate liens on the property.


(e)	Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm at least on a quarterly basis.


(f)	For senior lien home equity loans, prior-period amounts have been revised to conform with the current-period presentation.


(g)	At September 30, 2011, and December 31, 2010, included mortgage loans insured by U.S. government agencies of $13.6 billion and $12.9 billion, respectively.


(h)	At September 30, 2011, and December 31, 2010, excluded mortgage loans insured by U.S. government agencies of $10.5 billion and $10.3 billion, respectively. These amounts were excluded as reimbursement of insured amounts is proceeding normally.

(table continued from previous page)



Mortgages
Prime, including option ARMs								Subprime						Total residential real estate – excluding PCI
September 30, 2011				December 31, 2010				September 30, 2011			December 31, 2010			September 30, 2011				December 31, 2010

$	59,772			$	59,223			$	7,848		$	8,477		$	145,620			$	153,630
3,304				4,052				844			1,184			5,856				7,158
11,154				11,264				1,353			1,626			13,077				13,423
$	74,230			$	74,539			$	10,045		$	11,287		$	164,553			$	174,211
5.39		%	^(h)	6.68		%	^(h)	21.87		%	24.90		%	5.15		%	^(h)	5.88		%	^(h)
$	—			$	—			$	—		$	—		$	—			$	—
9,505				9,417				—			—			9,505				9,417
3,656				4,320				1,932			2,210			6,878				7,793


$	2,901			$	3,039			$	349		$	338		$	9,817			$	10,668
1,321				1,595				1,072			1,153			4,664				5,439

4,708				4,733				504			506			14,880				15,261
1,735				1,775				1,349			1,486			6,002				6,383

9,767				10,720				835			925			24,338				26,878
2,432				2,786				1,656			1,955			7,493				8,553

33,382				32,385				2,003			2,252			71,427				74,638
4,373				4,557				2,277			2,672			12,321				13,442
13,611				12,949				—			—			13,611				12,949
$	74,230			$	74,539			$	10,045		$	11,287		$	164,553			$	174,211

$	18,141			$	19,278			$	1,527		$	1,730		$	36,079			$	39,012
9,966				9,587				1,258			1,381			25,535				26,518
4,617				4,840				1,257			1,422			9,996				10,820
3,894				3,765				407			468			9,731				10,116
2,795				2,569				310			345			8,215				8,747
2,027				2,026				473			534			6,525				6,909
1,218				1,320				208			244			5,441				6,024
1,918				2,056				219			247			4,829				5,221
453				462				242			275			3,894				4,315
926				963				256			294			3,711				4,051
28,275				27,673				3,888			4,347			50,597				52,478
$	74,230			$	74,539			$	10,045		$	11,287		$	164,553			$	174,211

The following table represents the Firm’s delinquency statistics for junior lien home equity loans as of September 30, 2011, and December 31, 2010.



	Delinquencies
September 30, 2011 (in millions, except ratios)	30–89 days past due		90–149 days past due		150+ days past due		Total loans		Total 30+ day delinquency rate
HELOCs:^(a)
Within the revolving period^(b)	$	660	$	285	$	160	$	49,312	2.24	%
Within the required amortization period	46		17		13		1,541		4.93
HELOANs	203		110		41		7,061		5.01
Total	$	909	$	412	$	214	$	57,914	2.65	%



	Delinquencies
December 31, 2010 (in millions, except ratios)	30–89 days past due		90–149 days past due		150+ days past due		Total loans		Total 30+ day delinquency rate
HELOCs:^(a)
Within the revolving period^(b)	$	665	$	384	$	145	$	54,434	2.19	%
Within the required amortization period	41		19		10		1,177		5.95
HELOANs	250		149		31		8,398		5.12
Total	$	956	$	552	$	186	$	64,009	2.65	%

(a) In general, HELOCs are open-ended, revolving loans for a 10-year period, after which time the HELOC converts to a loan with a 20-year amortization period.

(b) The Firm manages the risk of HELOCs during their revolving period by closing or reducing the undrawn line to the extent permitted by law when borrowers are experiencing financial difficulty or when the collateral does not support the loan amount.

Home equity lines of credit (“HELOCs”) within the required amortization period and home equity loans (“HELOANs”) have higher delinquency rates than do HELOCs within the revolving period. That is primarily because the fully-amortizing payment required for those products is higher than the minimum payment options available for HELOCs within the revolving period. The higher delinquency rates associated with amortizing HELOCs and HELOANs are factored into the loss estimates produced by the Firm’s delinquency roll-rate methodology, which estimates defaults based on the current delinquency status of a portfolio.

Residential real estate impaired loans and loan modifications – excluding PCI loans

The Firm is participating in the U.S. Treasury’s Making Home Affordable (“MHA”) programs and is continuing to expand its other loss-mitigation efforts for financially distressed borrowers who do not qualify for the MHA programs. For further information, see Note 14 on pages 220–238 of JPMorgan Chase’s 2010 Annual Report.

Trial modifications

In order to be offered a permanent modification under Home Affordable Modification Program (“HAMP”), a borrower must successfully make three payments under the new terms during a trial modification period. The Firm also offers one proprietary modification program with a trial period similar to that required under HAMP. At September 30, 2011, approximately $900 million of loans were in a trial modification period.

In mid 2010, the Firm began requiring the completion of substantially all underwriting procedures prior to trial modification initiation. Based on the Firm's recent experience with respect to owned residential real estate loans, excluding PCI, under this revised program, approximately 74% of borrowers who have initiated a trial modification have successfully completed the trial period, and substantially all of those borrowers have had their mortgages permanently modified. Of the remaining borrowers, 22% did not successfully complete the trial period and 4% are still in the trial period. Permanent modifications under these programs are accounted for as TDRs, as discussed below. While the Firm does not characterize loans in the trial modification period as TDRs, the Firm considers the risk characteristics of loans in trial modification in determining its formula-based allowance for loan losses; as a result, loans that were in trial periods as of September 30, 2011, are not expected to have an incremental impact on the Firm's allowance for loans losses if and when they are permanently modified.

Impaired loans

The table below sets forth information about the Firm’s residential real estate impaired loans, excluding PCI. These loans are considered to be impaired as they have been modified in a TDR. All impaired loans are evaluated for an asset-specific allowance as described in Note 14 on pages 158–159 of this Form 10-Q.



	Home equity								Mortgages
	Senior lien				Junior lien				Prime, including option ARMs				Subprime				Total residential real estate – excluding PCI
(in millions)	Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010
Impaired loans
With an allowance	$	258	$	211	$	574	$	258	$	3,814	$	1,525	$	2,833	$	2,563	$	7,479	$	4,557
Without an allowance^(a)	17		15		32		25		562		559		174		188		785		787
Total impaired loans^(b)	$	275	$	226	$	606	$	283	$	4,376	$	2,084	$	3,007	$	2,751	$	8,264	$	5,344
Allowance for loan losses related to impaired loans	$	93	$	77	$	177	$	82	$	77	$	97	$	452	$	555	$	799	$	811
Unpaid principal balance of impaired loans^(c)	343		265		871		402		5,479		2,751		4,409		3,777		11,102		7,195
Impaired loans on nonaccrual status	48		38		201		63		738		534		752		632		1,739		1,267


(a)	When discounted cash flows or collateral value equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when an impaired loan has been partially charged off.

(b)

At September 30, 2011, and December 31, 2010, $3.8 billion and $3.0 billion, respectively, of loans modified subsequent to repurchase from Ginnie Mae in accordance with the standards of the appropriate government agency (i.e., Federal Housing Administration (“FHA”), U.S. Department of Veterans Affairs (“VA”), Rural Housing Services (“RHS”)) were excluded from loans accounted for as TDRs. When such loans perform subsequent to modification in accordance with Ginnie Mae guidelines, they are generally sold back into Ginnie Mae loan pools. Modified loans that do not re-perform become subject to foreclosure.


(c)	Represents the contractual amount of principal owed at September 30, 2011, and December 31, 2010. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; net deferred loan fees or costs; and unamortized discounts or premiums on purchased loans.

The following table presents average impaired loans and the related interest income reported by the Firm.



Three months ended September 30,	Average impaired loans				Interest income on impaired loans^(a)				Interest income on impaired loans on a cash basis^(a)
(in millions)	2011		2010		2011		2010		2011		2010
Home equity
Senior lien	$	268	$	219	$	3	$	5	$	—	$	—
Junior lien	568		261		4		1		1		—
Mortgages
Prime, including option ARMs	4,089		1,741		42		19		4		5
Subprime	2,931		2,685		39		31		5		5
Total residential real estate – excluding PCI	$	7,856	$	4,906	$	88	$	56	$	10	$	10



Nine months ended September 30,	Average impaired loans				Interest income on impaired loans^(a)				Interest income on impaired loans on a cash basis^(a)
(in millions)	2011		2010		2011		2010		2011		2010
Home equity
Senior lien	$	248	$	202	$	8	$	10	$	1	$	1
Junior lien	464		262		12		9		2		1
Mortgages
Prime, including option ARMs	3,267		1,363		101		48		10		10
Subprime	2,823		2,457		110		87		11		15
Total residential real estate – excluding PCI	$	6,802	$	4,284	$	231	$	154	$	24	$	27

(a) Generally, interest income on loans modified in a TDR is recognized on a cash basis until such time as the borrower has made a minimum of six payments under the new terms. As of September 30, 2011 and 2010, $997 million and $933 million, respectively, of loans were TDRs for which the borrowers had not yet made six payments under their modified terms.

Loan modifications

Permanent modifications of residential real estate loans, excluding PCI loans, are generally accounted for and reported as TDRs. There were no additional commitments to lend to borrowers whose residential real estate loans, excluding PCI loans, have been modified in TDRs. For further information, see Note 14 on pages 221–222 and 230 of JPMorgan Chase’s 2010 Annual Report.

TDR activity rollforward

The following tables reconcile the beginning and ending balances of residential real estate loans, excluding PCI loans, modified in TDRs for the periods presented.



	Three months ended September 30, 2011
	Home equity						Mortgages						Total residential real estate – (excluding PCI)
(in millions)	Senior lien			Junior lien			Prime, including option ARMs			Subprime			Total residential real estate – (excluding PCI)
Beginning balance of TDRs	$	261		$	517		$	3,390		$	2,843		$	7,011
New TDRs	21			117			1,116			271			1,525
Charge-offs post-modification	(2		)	(13		)	(24		)	(54		)	(93		)
Foreclosures and other liquidations (e.g., short sales)	—			(1		)	(28		)	(25		)	(54		)
Principal payments and other	(5		)	(14		)	(78		)	(28		)	(125		)
Ending balance of TDRs	$	275		$	606		$	4,376		$	3,007		$	8,264



	Nine months ended September 30, 2011
	Home equity						Mortgages						Total residential real estate – (excluding PCI)
(in millions)	Senior lien			Junior lien			Prime, including option ARMs			Subprime			Total residential real estate – (excluding PCI)
Beginning balance of TDRs	$	226		$	283		$	2,084		$	2,751		$	5,344
New TDRs	67			410			2,614			559			3,650
Charge-offs post-modification	(8		)	(48		)	(77		)	(168		)	(301		)
Foreclosures and other liquidations (e.g., short sales)	—			(6		)	(67		)	(60		)	(133		)
Principal payments and other	(10		)	(33		)	(178		)	(75		)	(296		)
Ending balance of TDRs	$	275		$	606		$	4,376		$	3,007		$	8,264

Nature and extent of modifications

MHA, as well as the Firm’s other loss-mitigation programs, generally provide various concessions to financially troubled borrowers including, but not limited to, interest rate reductions, term or payment extensions and deferral of principal and/or interest payments that would otherwise have been required under the terms of the original agreement. The following tables provide information about how residential real estate loans, excluding PCI loans, were modified in TDRs during the periods presented.



	Three months ended September 30, 2011
	Home equity				Mortgages
	Senior lien		Junior lien		Prime, including option ARMs		Subprime		Total residential real estate – (excluding PCI)
Number of loans modified	262		2,555		2,772		1,963		7,552
Concession granted^(a)(b):
Interest rate reduction	77	%	94	%	89	%	77	%	87	%
Term or payment extension	98		85		94		83		88
Principal and/or interest deferred	15		22		19		19		20
Principal forgiveness	10		17		2		11		10
Other^(c)	29		8		67		26		35



	Nine months ended September 30, 2011
	Home equity				Mortgages
	Senior lien		Junior lien		Prime, including option ARMs		Subprime		Total residential real estate – (excluding PCI)
Number of loans modified	789		7,811		8,470		4,048		21,118
Concession granted^(a)(b):
Interest rate reduction	80	%	95	%	48	%	80	%	73	%
Term or payment extension	88		83		71		75		77
Principal and/or interest deferred	8		21		13		19		17
Principal forgiveness	8		22		1		9		11
Other^(c)	37		8		74		28		40

(a) As a percentage of the number of loans modified.

(b) The sum of the percentages exceeds 100% because predominantly all of the loan modifications include more than one type of concession.

Financial effects of modifications and redefaults

The following tables provide information about the financial effects of the various concessions granted on residential real estate loans, excluding PCI loans, that were modified in TDRs and of redefaults during the periods presented.



Three months ended September 30, 2011 (in millions, except weighted-average data and number of loans)	Home equity						Mortgages						Total residential real estate – (excluding PCI)
	Senior lien			Junior lien			Prime, including option ARMs			Subprime			Total residential real estate – (excluding PCI)
Weighted-average interest rate of loans with interest rate reductions – before TDR	7.39		%	5.49		%	5.86		%	8.25		%	6.32		%
Weighted-average interest rate of loans with interest rate reductions – after TDR	3.88			1.55			3.88			3.41			3.56
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR	19			21			25			23			24
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR	31			34			36			33			35
Charge-offs recognized upon modification	$	1		$	32		$	10		$	5		$	48
Principal deferred	1			10			55			26			92
Principal forgiven	—			14			4			15			33
Number of loans that redefaulted within one year of modification^(a)	56			407			292			419			1,174
Loans that redefaulted within one year of modification^(a)	$	4		$	18		$	94		$	52		$	168



Nine months ended September 30, 2011 (in millions, except weighted-average data and number of loans)	Home equity						Mortgages						Total residential real estate – (excluding PCI)
	Senior lien			Junior lien			Prime, including option ARMs			Subprime			Total residential real estate – (excluding PCI)
Weighted-average interest rate of loans with interest rate reductions – before TDR	7.35		%	5.48		%	5.99		%	8.25		%	6.44		%
Weighted-average interest rate of loans with interest rate reductions – after TDR	3.67			1.48			3.51			3.49			3.20
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR	18			21			25			23			24
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR	31			35			35			34			35
Charge-offs recognized upon modification	$	1		$	106		$	44		$	13		$	164
Principal deferred	2			30			109			48			189
Principal forgiven	1			58			7			25			91
Number of loans that redefaulted within one year of modification^(a)	144			801			890			1,601			3,436
Loans that redefaulted within one year of modification^(a)	$	12		$	36		$	262		$	234		$	544

(a) Represents loans modified in TDRs that experienced a payment default in the period presented, and for which the payment default occurred within one year of the modification. The dollar amounts presented represent the balance of such loans at the end of the reporting period in which they defaulted. For residential real estate loans modified in TDRs, payment default is deemed to occur when the loan becomes two contractual payments past due. In the event that a modified loan redefaults, it is probable that the loan will ultimately be liquidated through foreclosure or another similar type of liquidation transaction. Redefaults of loans modified within the last 12 months may not be representative of ultimate redefault levels.

At September 30, 2011, the weighted-average estimated remaining lives of residential real estate loans, excluding PCI loans, modified in TDRs were 6.6 years, 6.1 years, 8.7 years and 6.3 years for senior lien home equity, junior lien home equity, prime mortgage, including option ARMs, and subprime, respectively. The estimated remaining lives of these loans reflect estimated prepayments, both voluntary and involuntary (i.e., foreclosures and other forced liquidations).

Other consumer loans

The tables below provide information for other consumer retained loan classes, including auto, business banking and student loans.



	Auto						Business banking						Student and other								Total other consumer
(in millions, except ratios)	Sep 30, 2011			Dec 31, 2010			Sep 30, 2011			Dec 31, 2010			Sep 30, 2011				Dec 31, 2010				Sep 30, 2011				Dec 31, 2010
Loan delinquency^(a)
Current and less than 30 days past due	$	46,188		$	47,778		$	16,798		$	16,240		$	13,222			$	13,998			$	76,208			$	78,016
30–119 days past due	465			579			303			351			804				795				1,572				1,725
120 or more days past due	6			10			171			221			466				518				643				749
Total retained loans	$	46,659		$	48,367		$	17,272		$	16,812		$	14,492			$	15,311			$	78,423			$	80,490
% of 30+ days past due to total retained loans	1.01		%	1.22		%	2.74		%	3.40		%	1.90		%	^(d)	1.61		%	^(d)	1.56		%	^(d)	1.75		%	^(d)
90 or more days past due and still accruing^(b)	$	—		$	—		$	—		$	—		$	567			$	625			$	567			$	625
Nonaccrual loans	114			141			756			832			68				67				938				1,040
Geographic region
California	$	4,335		$	4,307		$	1,211		$	851		$	1,253			$	1,330			$	6,799			$	6,488
New York	3,579			3,875			2,745			2,877			1,456				1,305				7,780				8,057
Florida	1,826			1,923			269			220			667				722				2,762				2,865
Illinois	2,398			2,608			1,340			1,320			871				940				4,609				4,868
Texas	4,397			4,505			2,635			2,550			1,096				1,273				8,128				8,328
New Jersey	1,819			1,842			419			422			472				502				2,710				2,766
Arizona	1,497			1,499			1,171			1,218			328				387				2,996				3,104
Washington	737			716			151			115			255				279				1,143				1,110
Ohio	2,674			2,961			1,555			1,647			912				1,010				5,141				5,618
Michigan	2,272			2,434			1,369			1,401			653				729				4,294				4,564
All other	21,125			21,697			4,407			4,191			6,529				6,834				32,061				32,722
Total retained loans	$	46,659		$	48,367		$	17,272		$	16,812		$	14,492			$	15,311			$	78,423			$	80,490
Loans by risk ratings^(c)
Noncriticized	$	5,537		$	5,803		$	11,402		$	10,351		NA				NA				$	16,939			$	16,154
Criticized performing	174			265			780			982			NA				NA				954				1,247
Criticized nonaccrual	1			12			556			574			NA				NA				557				586


(a)	Loans insured by U.S. government agencies under the Federal Family Education Loan Program (“FFELP”) are included in the delinquency classifications presented based on their payment status. Prior-period amounts have been revised to conform to the current-period presentation.


(b)	These amounts represent student loans, which are insured by U.S. government agencies under the FFELP. These amounts were accruing as reimbursement of insured amounts is proceeding normally.


(c)	For risk-rated business banking and auto loans, the primary credit quality indicator is the risk rating of the loan, including whether the loans are considered to be criticized and/or nonaccrual.


(d)	September 30, 2011, and December 31, 2010, excluded loans 30 days or more past due and still accruing, which are insured by U.S. government agencies under the FFELP, of $995 million and $1.1 billion, respectively. These amounts were excluded as reimbursement of insured amounts is proceeding normally.

Other consumer impaired loans and loan modifications

The tables below set forth information about the Firm’s other consumer impaired loans, including risk-rated business banking and auto loans that have been placed on nonaccrual status, and loans that have been modified in TDRs.



	Auto				Business banking				Total other consumer^(c)
(in millions)	Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010
Impaired loans
With an allowance	$	86	$	102	$	745	$	774	$	831	$	876
Without an allowance^(a)	1		—		—		—		1		—
Total impaired loans	$	87	$	102	$	745	$	774	$	832	$	876
Allowance for loan losses related to impaired loans	$	12	$	16	$	205	$	248	$	217	$	264
Unpaid principal balance of impaired loans^(b)	122		132		858		899		980		1,031
Impaired loans on nonaccrual status	38		50		589		647		627		697


(a)	When discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, then the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged off and/or there have been interest payments received and applied to the loan balance.


(b)	Represents the contractual amount of principal owed at September 30, 2011, and December 31, 2010. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the principal balance; net deferred loan fees or costs; and unamortized discounts or premiums on purchased loans.


(c)	There were no impaired student and other loans at September 30, 2011, and December 31, 2010.

The following table presents average impaired loans for the periods presented.



	Average impaired loans^(b)
	Three months ended September 30,				Nine months ended September 30,
(in millions)	2011		2010		2011		2010
Auto	$	88	$	117	$	93	$	125
Business banking	751		786		762		647
Total other consumer^(a)	$	839	$	903	$	855	$	772


(a)	There were no impaired student and other loans at September 30, 2011 and 2010.


(b)	The related interest income on impaired loans, including those on a cash basis, was not material for the three and nine months ended September 30, 2011 and 2010.

Loan modifications

The following table provides information about the Firm’s other consumer loans modified in TDRs. All of these TDRs are reported as impaired loans in the tables above.



	Auto				Business banking				Total other consumer^(c)
(in millions)	September 30, 2011		December 31, 2010		September 30, 2011		December 31, 2010		September 30, 2011		December 31, 2010
Loans modified in troubled debt restructurings^(a)(b)	$	86	$	91	$	430	$	395	$	516	$	486
TDRs on nonaccrual status	37		39		274		268		311		307


(a)	These modifications generally provided interest rate concessions to the borrower or deferral of principal repayments.


(b)	Additional commitments to lend to borrowers whose loans have been modified in TDRs as of September 30, 2011, and December 31, 2010, were immaterial.


(c)	There were no student and other loans modified in TDRs at September 30, 2011, and December 31, 2010.

For a detailed discussion on how loans are modified in TDRs, see Note 14 on pages 221–222 of the Firm’s 2010 Annual Report.

TDR activity rollforward

The following table reconciles the beginning and ending balances of other consumer loans modified in TDRs for the periods presented.



	Three months ended September 30, 2011									Nine months ended September 30, 2011
(in millions)	Auto			Business banking			Total other consumer			Auto			Business banking			Total other consumer
Beginning balance of TDRs	$	88		$	429		$	517		$	91		$	395		$	486
New TDRs	13			48			61			38			166			204
Charge-offs	(1		)	(5		)	(6		)	(4		)	(7		)	(11		)
Foreclosures and other liquidations	—			(1		)	(1		)	—			(3		)	(3		)
Principal payments and other	(14		)	(41		)	(55		)	(39		)	(121		)	(160		)
Ending balance of TDRs	$	86		$	430		$	516		$	86		$	430		$	516

Financial effects of modifications and redefaults

For auto loans, TDRs typically occur in connection with the bankruptcy of the borrower. In these cases, the loan is modified with a revised repayment plan that typically incorporates interest rate reductions and, to a lesser extent, principal forgiveness.

For business banking loans, concessions are dependent on individual borrower circumstances and can be of a short-term nature for borrowers who need temporary relief or longer term for borrowers experiencing more fundamental financial difficulties. Concessions are predominantly term or payment extensions, but also may include interest rate reductions.

For the three months and nine months ended September 30, 2011, the interest rates on auto loans modified in TDRs during the periods were reduced on average from 12.5% to 5.1% and from 11.9% to 5.5%, respectively, and the interest rates on business banking loans modified in TDRs during the periods were reduced on average from 7.5% to 5.3% and from 7.5% to 5.5%, respectively. For business banking loans, the weighted-average remaining term of all loans modified in TDRs during the three months and nine months ended September 30, 2011, increased from 0.8 years to 2.0 years and from 1.4 years to 2.5 years, respectively. For all periods presented, principal forgiveness related to auto loans was immaterial.

The balances of business banking loans modified in TDRs that experienced a payment default in the three months and nine months ended September 30, 2011, and for which the payment default occurred within one year of the modification, were $19 million and $64 million, respectively; the corresponding balances of redefaulted auto loans modified in TDRs were insignificant. A payment default is deemed to occur as follows: (1) for scored auto and business banking loans, when the loan is two payments past due; and (2) for risk-rated business banking loans and auto loans, when the borrower has not made a loan payment by its scheduled due date after giving effect to any contractual grace period.

Purchased credit-impaired (“PCI”) loans

For a detailed discussion of PCI loans, including the related accounting policies, see Note 14 on pages 220–238 of JPMorgan Chase’s 2010 Annual Report.

Residential real estate – PCI loans

The table below sets forth information about the Firm’s consumer, excluding credit card PCI loans.



	Home equity						Prime mortgage						Subprime mortgage						Option ARMs						Total PCI
(in millions, except ratios)	Sep 30, 2011			Dec 31, 2010			Sep 30, 2011			Dec 31, 2010			Sep 30, 2011			Dec 31, 2010			Sep 30, 2011			Dec 31, 2010			Sep 30, 2011			Dec 31, 2010
Carrying value^(a)	$	23,105		$	24,459		$	15,626		$	17,322		$	5,072		$	5,398		$	23,325		$	25,584		$	67,128		$	72,763
Related allowance for loan losses^(b)	1,583			1,583			1,766			1,766			98			98			1,494			1,494			4,941			4,941
Loan delinquency (based on unpaid principal balance)
Current and less than 30 days past due	$	23,450		$	25,783		$	12,250		$	13,035		$	4,431		$	4,312		$	18,116		$	18,672		$	58,247		$	61,802
30–149 days past due	1,141			1,348			1,056			1,468			780			1,020			1,551			2,215			4,528			6,051
150 or more days past due	1,209			1,181			3,376			4,425			2,226			2,710			7,496			9,904			14,307			18,220
Total loans	$	25,800		$	28,312		$	16,682		$	18,928		$	7,437		$	8,042		$	27,163		$	30,791		$	77,082		$	86,073
% of 30+ days past due to total loans	9.11		%	8.93		%	26.57		%	31.13		%	40.42		%	46.38		%	33.31		%	39.36		%	24.44		%	28.20		%
Current estimated LTV ratios (based on unpaid principal balance)^(c)(d)(e)
Greater than 125% and refreshed FICO scores:
Equal to or greater than 660	$	5,463		$	6,289		$	1,996		$	2,400		$	451		$	432		$	2,211		$	2,681		$	10,121		$	11,802
Less than 660	3,329			4,043			2,215			2,744			1,940			2,129			4,630			6,330			12,114			15,246
101% to 125% and refreshed FICO scores:
Equal to or greater than 660	5,569			6,053			3,516			3,815			429			424			4,002			4,292			13,516			14,584
Less than 660	2,480			2,696			2,620			3,011			1,585			1,663			4,260			5,005			10,945			12,375
80% to 100% and refreshed FICO scores:
Equal to or greater than 660	3,839			3,995			1,852			1,970			385			374			4,015			4,152			10,091			10,491
Less than 660	1,414			1,482			1,620			1,857			1,302			1,477			3,344			3,551			7,680			8,367
Lower than 80% and refreshed FICO scores:
Equal to or greater than 660	2,618			2,641			1,347			1,443			200			186			2,357			2,281			6,522			6,551
Less than 660	1,088			1,113			1,516			1,688			1,145			1,357			2,344			2,499			6,093			6,657
Total unpaid principal balance	$	25,800		$	28,312		$	16,682		$	18,928		$	7,437		$	8,042		$	27,163		$	30,791		$	77,082		$	86,073
Geographic region (based on unpaid principal balance)
California	$	15,522		$	17,012		$	9,486		$	10,891		$	1,729		$	1,971		$	14,111		$	16,130		$	40,848		$	46,004
New York	1,208			1,316			1,037			1,111			716			736			1,592			1,703			4,553			4,866
Florida	2,374			2,595			1,332			1,519			845			906			3,375			3,916			7,926			8,936
Illinois	575			627			526			562			421			438			719			760			2,241			2,387
Texas	472			525			173			194			414			435			144			155			1,203			1,309
New Jersey	489			540			458			486			302			316			987			1,064			2,236			2,406
Arizona	485			539			271			359			133			165			387			528			1,276			1,591
Washington	1,406			1,535			402			451			167			178			673			745			2,648			2,909
Ohio	33			38			83			91			116			122			115			131			347			382
Michigan	84			95			246			279			192			214			285			345			807			933
All other	3,152			3,490			2,668			2,985			2,402			2,561			4,775			5,314			12,997			14,350
Total unpaid principal balance	$	25,800		$	28,312		$	16,682		$	18,928		$	7,437		$	8,042		$	27,163		$	30,791		$	77,082		$	86,073


(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)


(d)	Refreshed FICO scores represent each borrower’s most recent credit score obtained by the Firm. The Firm obtains refreshed FICO scores at least quarterly.


(e)	For home equity loans, prior-period amounts have been revised to conform with the current-period presentation.

Approximately 20% of the PCI home equity portfolio are senior lien loans; the remaining balance are junior lien HELOANs or HELOCs. The following table represents delinquency statistics for junior lien home equity loans based on unpaid principal balance as of September 30, 2011, and December 31, 2010.



	Delinquencies
September 30, 2011 (in millions, except ratios)	30–89 days past due		90–149 days past due		150+ days past due		Total loans		Total 30+ day delinquency rate
HELOCs:^(a)
Within the revolving period^(b)	$	525	$	293	$	506	$	18,885	7.01	%
Within the required amortization period^(c)	14		6		2		337		6.53
HELOANs	56		33		47		1,389		9.79
Total	$	595	$	332	$	555	$	20,611	7.19	%



	Delinquencies
December 31, 2010 (in millions, except ratios)	30–89 days past due		90–149 days past due		150+ days past due		Total loans		Total 30+ day delinquency rate
HELOCs:^(a)
Within the revolving period^(b)	$	601	$	404	$	428	$	21,172	6.77	%
Within the required amortization period^(c)	1		—		1		37		5.41
HELOANs	79		49		46		1,573		11.06
Total	$	681	$	453	$	475	$	22,782	7.06	%


(a)	In general, HELOCs are open-ended, revolving loans for a 10-year period, after which time the HELOC converts to a loan with a 20-year amortization period.


(b)	Substantially all undrawn HELOCs within the revolving period have been closed.


(c)	Predominantly all of these loans have been modified to provide a more affordable payment to the borrower.

The table below sets forth the accretable yield activity for the Firm’s PCI consumer loans for the three and nine months ended September 30, 2011 and 2010, and represents the Firm’s estimate of gross interest income expected to be earned over the remaining life of the PCI loan portfolios. This table excludes the cost to fund the PCI portfolios, and therefore does not represent net interest income expected to be earned on these portfolios.



	Total PCI
	Three months ended September 30,						Nine months ended September 30,
(in millions, except rates)	2011			2010			2011			2010
Beginning balance	$	18,083		$	19,621		$	19,097		$	25,544
Accretion into interest income	(685		)	(772		)	(2,095		)	(2,445		)
Changes in interest rates on variable-rate loans	(159		)	(57		)	(372		)	(784		)
Other changes in expected cash flows^(a)	1,213			2,864			1,822			(659		)
Balance at September 30	$	18,452		$	21,656		$	18,452		$	21,656
Accretable yield percentage	4.31		%	4.20		%	4.32		%	4.33		%

(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 three months ended September 30, 2011, other changes in expected cash flows were predominately driven by the impact of modifications. For the nine months ended September 30, 2011, other changes in expected cash flows were largely driven by the impact of modifications, but also related to changes in prepayment assumptions. For the three months ended September 30, 2010, other changes in expected cash flows were principally driven by changes in prepayment assumptions and modeling refinements related to modified loans. For the nine months ended September 30, 2010, other changes in expected cash flows were principally driven by changes in prepayment assumptions, as well as reclassification to the nonaccretable difference. Changes to prepayment assumptions change the expected remaining life of the portfolio, which drives changes in expected future interest cash collections. Such changes do not have a significant impact on the accretable yield percentage.

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 loan liquidation periods, affect the timing of expected cash flows but not the amount of cash expected to be received (i.e., the accretable yield balance). 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.

Credit card loan portfolio

The credit card portfolio segment includes credit card loans originated and purchased by the Firm, including those acquired in the Washington Mutual transaction. Delinquency rates are the primary credit quality indicator for credit card loans. The geographic distribution of the loans provides insight as to the credit quality of the portfolio based on the regional economy. While the borrower’s credit score is a further general indicator of credit quality, because the credit score tends to be a lagging indicator, the Firm does not use credit scores as a primary indicator of credit quality. For more information on credit quality indicators, see Note 14 on pages 220–238 of JPMorgan Chase’s 2010 Annual Report. The Firm generally originates new card accounts to prime consumer borrowers. However, certain cardholders’ FICO scores may change over time, depending on the performance of the cardholder and changes in credit score technology.

The table below sets forth information about the Firm’s Credit Card loans.



	Chase, excluding Washington Mutual portfolio^(c)						Washington Mutual portfolio^(c)						Total credit card^(c)
(in millions, except ratios)	Sep 30, 2011			Dec 31, 2010			Sep 30, 2011			Dec 31, 2010			Sep 30, 2011			Dec 31, 2010
Loan delinquency^(a)
Current and less than 30 days past due and still accruing	$	112,636		$	117,248		$	10,723		$	12,670		$	123,359		$	129,918
30–89 days past due and still accruing	1,547			2,092			315			459			1,862			2,551
90 or more days past due and still accruing	1,487			2,449			331			604			1,818			3,053
Nonaccrual loans	2			2			—			—			2			2
Total retained loans	$	115,672		$	121,791		$	11,369		$	13,733		$	127,041		$	135,524
Loan delinquency ratios
% of 30+ days past due to total retained loans	2.62		%	3.73		%	5.68		%	7.74		%	2.90		%	4.14		%
% of 90+ days past due to total retained loans	1.29			2.01			2.91			4.40			1.43			2.25
Credit card loans by geographic region
California	$	14,695		$	15,454		$	2,181		$	2,650		$	16,876		$	18,104
New York	9,300			9,540			861			1,032			10,161			10,572
Texas	8,985			9,217			841			1,006			9,826			10,223
Florida	6,310			6,724			951			1,165			7,261			7,889
Illinois	6,802			7,077			453			542			7,255			7,619
New Jersey	4,913			5,070			409			494			5,322			5,564
Ohio	4,684			5,035			330			401			5,014			5,436
Pennsylvania	4,194			4,521			354			424			4,548			4,945
Michigan	3,669			3,956			226			273			3,895			4,229
Virginia	2,882			3,020			245			295			3,127			3,315
Georgia	2,625			2,834			325			398			2,950			3,232
Washington	2,006			2,053			369			438			2,375			2,491
All other	44,607			47,290			3,824			4,615			48,431			51,905
Total retained loans	$	115,672		$	121,791		$	11,369		$	13,733		$	127,041		$	135,524
Percentage of portfolio based on carrying value with estimated refreshed FICO scores^(b)
Equal to or greater than 660	83.6		%	80.6		%	61.6		%	56.4		%	81.5		%	77.9		%
Less than 660	16.4			19.4			38.4			43.6			18.5			22.1

(a)

The Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance. Under guidance issued by the FFIEC, credit card loans are charged off by the end of the month in which the account becomes 180 days past due or within 60 days from receiving notification about a specified event (e.g., bankruptcy of the borrower), whichever is earlier.


(b)	Refreshed FICO scores are estimated based on a statistically significant random sample of credit card accounts in the credit card portfolio for the period shown. The Firm obtains refreshed FICO scores at least quarterly.


(c)	Includes billed finance charges and fees net of an allowance for uncollectible amounts.

Credit card impaired loans and loan modifications

For a detailed discussion of impaired credit card loans, including credit card loan modifications, see Note 14 on pages 220–238 of JPMorgan Chase’s 2010 Annual Report.

The tables below set forth information about the Firm’s impaired credit card loans. All of these loans are considered to be impaired as they have been modified in TDRs.



	Chase, excluding Washington Mutual portfolio				Washington Mutual portfolio				Total credit card
(in millions)	Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010		Sep 30, 2011		Dec 31, 2010
Impaired loans with an allowance^(a)(b)
Credit card loans with modified payment terms^(c)	$	5,373	$	6,685	$	1,225	$	1,570	$	6,598	$	8,255
Modified credit card loans that have reverted to pre-modification payment terms^(d)	998		1,439		224		311		1,222		1,750
Total impaired loans	$	6,371	$	8,124	$	1,449	$	1,881	$	7,820	$	10,005
Allowance for loan losses related to impaired loans	$	2,447	$	3,175	$	605	$	894	$	3,052	$	4,069


(a)	The carrying value and the unpaid principal balance are the same for credit card impaired loans.


(b)	There were no impaired loans without an allowance.


(c)	Represents credit card loans outstanding to borrowers enrolled in a credit card modification program as of the date presented.

(d)

Represents credit card loans that were modified in TDRs but that have subsequently reverted back to the loans’ pre-modification payment terms. At September 30, 2011, and December 31, 2010, approximately $804 million and $1.2 billion, respectively, of loans have reverted back to the pre-modification payment terms of the loans due to noncompliance with the terms of the modified loans. Based on the Firm’s historical experience a substantial portion of these loans is expected to be charged-off in accordance with the Firm’s standard charge-off policy. The remaining $418 million and $590 million at September 30, 2011, and December 31, 2010, respectively, of these loans are to borrowers who have successfully completed a short-term modification program. The Firm continues to report these loans as TDRs since the borrowers’ credit lines remain closed.

The following table presents average balances of impaired credit card loans and interest income recognized on those loans.



	Average impaired loans								Interest income on impaired loans^(a)
	Three months ended September 30,				Nine months ended September 30,				Three months ended September 30,				Nine months ended September 30,
(in millions)	2011		2010		2011		2010		2011		2010		2011		2010
Chase, excluding Washington Mutual portfolio	$	6,629	$	8,743	$	7,178	$	8,872	$	87	$	123	$	282	$	363
Washington Mutual portfolio	1,513		2,002		1,651		1,998		24		32		80		94
Total credit card	$	8,142	$	10,745	$	8,829	$	10,870	$	111	$	155	$	362	$	457

(a)

As permitted by regulatory guidance, credit card loans are generally exempt from being placed on nonaccrual status; accordingly, interest and fees related to credit card loans continue to accrue until the loan is charged off or paid in full. However, the Firm separately establishes an allowance for the estimated uncollectible portion of billed and accrued interest and fee income on credit card loans.

Loan modifications

JPMorgan Chase may offer one of a number of loan modification programs to credit card borrowers who are experiencing financial difficulty. The Firm has short-term programs for borrowers who may be in need of temporary relief, and long-term programs for borrowers who are experiencing a more fundamental level of financial difficulties. Most of the credit card loans have been modified under long-term programs. Modifications under long-term programs involve placing the customer on a fixed payment plan, generally for 60 months. Modifications under all short- and long-term programs typically include reducing the interest rate on the credit card. Certain borrowers enrolled in a short-term modification program may be given the option to re-enroll in a long-term program. Substantially all modifications are considered to be TDRs.

The following tables provide information regarding the nature and extent of modifications of credit card loans for the periods presented.

New enrollments



	September 30, 2011
	Chase, excluding Washington Mutual portfolio				Washington Mutual portfolio				Total credit card
(in millions)	Short-term programs		Long-term programs		Short-term programs		Long-term programs		Short-term programs		Long-term programs
Three months ended	$	30	$	470	$	6	$	98	$	36	$	568
Nine months ended	104		1,652		20		361		124		2,013

Financial effects of modifications and redefaults

The following tables provide information about the financial effects of the concessions granted on credit card loans modified in TDRs and redefaults for the periods presented.



	Three months ended September 30, 2011
(in millions, except weighted-average data)	Chase, excluding Washington Mutual portfolio			Washington Mutual portfolio			Total credit card
Weighted-average interest rate of loans – before TDR	14.79		%	21.20		%	15.89		%
Weighted-average interest rate of loans – after TDR	5.00			6.36			5.23
Loans that redefaulted within one year of modification ^(a)	$	125		$	29		$	154



	Nine months ended September 30, 2011
(in millions, except weighted-average data)	Chase, excluding Washington Mutual portfolio			Washington Mutual portfolio			Total credit card
Weighted-average interest rate of loans – before TDR	14.98		%	21.51		%	16.15		%
Weighted-average interest rate of loans – after TDR	4.98			6.33			5.22
Loans that redefaulted within one year of modification^(a)	$	454		$	104		$	558


(a)	Represents loans modified in TDRs that experienced a payment default in the period presented, and for which the payment default occurred within one year of the modification. The amounts presented represent the balance of such loans as of the end of the quarter in which they defaulted.

For credit card loans modified in TDRs, payment default is deemed to have occurred when the loans become two payments past due. At the time of default, a loan is removed from the modification program and reverts back to its pre-modification terms. Based on historical experience, a substantial portion of these loans are expected to be charged-off in accordance with the Firm’s standard charge-off policy. Also based on historical experience, the estimated weighted-average ultimate default rate for modified credit card loans was 36.22% at September 30, 2011, and 36.45% at December 31, 2010.