JP Morgan Chase 2013 Annual Report Download - page 144

Management’s discussion and analysis
150 JPMorgan Chase & Co./2013 Annual Report
Country risk stress testing
The country risk stress framework aims to identify potential
losses arising from a country crisis by capturing the impact
of large asset price movements in a country based on
market shocks combined with counterparty specific
assumptions. Country Risk Management periodically defines
and runs ad hoc stress scenarios for individual countries in
response to specific market events and sector performance
concerns.
Country risk monitoring and control
The Country Risk Management Group establishes guidelines
for sovereign ratings reviews and limit management.
Country stress and nominal exposures are measured under
a comprehensive country limit framework. Country ratings
and limits activity are actively monitored and reported on a
regular basis. Country limit requirements are reviewed and
approved by senior management as often as necessary, but
at least annually. In addition, the Country Risk Management
group uses surveillance tools for early identification of
potential country risk concerns, such as signaling models
and ratings indicators.
Country risk reporting
The following table presents the Firm’s top 20 exposures by
country (excluding the U.S.). The selection of countries is
based solely on the Firm’s largest total exposures by
country, based on the Firm’s internal country risk
management approach, and does not represent the Firm’s
view of any actual or potentially adverse credit conditions.
Top 20 country exposures
December 31, 2013
(in billions) Lending(a) Trading and investing(b)(c) Other(d) Total exposure
United Kingdom $ 34.4 $ 43.5 $ 1.4 $ 79.3
Germany 13.0 29.1 0.2 42.3
Netherlands 5.3 25.5 2.6 33.4
France 13.9 17.0 — 30.9
Switzerland 19.9 1.7 0.6 22.2
Canada 13.8 5.4 0.2 19.4
Australia 7.4 11.3 — 18.7
China 11.1 3.9 0.7 15.7
Brazil 5.7 5.6 — 11.3
India 6.8 3.8 0.1 10.7
Hong Kong 3.8 3.5 1.7 9.0
Korea 4.8 2.9 — 7.7
Italy 3.4 4.0 — 7.4
Singapore 3.4 2.0 1.3 6.7
Mexico 2.3 4.4 — 6.7
Japan 3.9 2.6 — 6.5
Sweden 1.8 4.0 0.1 5.9
Russia 4.7 0.7 — 5.4
Spain 3.2 1.3 — 4.5
Malaysia 2.4 1.5 0.6 4.5
(a) Lending includes loans and accrued interest receivable, net of
collateral and the allowance for loan losses, deposits with banks,
acceptances, other monetary assets, issued letters of credit net of
participations, and undrawn commitments to extend credit. Excludes
intra-day and operating exposures, such as from settlement and
clearing activities.
(b) Includes market-making inventory, securities held in AFS accounts and
hedging.
(c) Includes single-name and index and tranched credit derivatives for
which one or more of the underlying reference entities is in a country
listed in the above table.
(d) Includes capital invested in local entities and physical commodity
inventory.