JP Morgan Chase 2015 Annual Report Download - page 151

JPMorgan Chase & Co./2015 Annual Report 141
The Firm also has indirect exposures to country risk (for
example, related to the collateral received on securities
financing receivables or related to client clearing activities).
These indirect exposures are managed in the normal course
of business through the Firm’s credit, market, and
operational risk governance, rather than through Country
Risk Management.
The Firm’s internal country risk reporting differs from the
reporting provided under the FFIEC bank regulatory
requirements. For further information on the FFIEC’s
reporting methodology, see Cross-border outstandings on
page 327.
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 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, such as signaling models and
ratings indicators, for early identification of potential
country risk concerns.
Country risk reporting
The following table presents the Firm’s top 20 exposures by
country (excluding the U.S.) as of December 31, 2015. 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. Country exposures may fluctuate from period to
period due to normal client activity and market flows.
Top 20 country exposures
December 31, 2015
(in billions) Lending(a)
Trading and
investing(b)(c) Other(d)
Total
exposure
United Kingdom $ 23.8 $ 21.8 $ 1.1 $ 46.7
Germany 13.8 16.7 0.2 30.7
France 14.2 11.9 0.1 26.2
Japan 12.9 7.8 0.4 21.1
China 10.3 7.2 1.0 18.5
Canada 13.9 2.9 0.3 17.1
Australia 7.7 5.9 — 13.6
Netherlands 5.0 6.0 1.4 12.4
India 6.1 5.6 0.4 12.1
Brazil 6.2 4.9 — 11.1
Switzerland 6.7 0.9 1.9 9.5
Korea 4.3 3.3 0.1 7.7
Hong Kong 2.8 2.6 1.4 6.8
Italy 2.8 3.8 0.2 6.8
Luxembourg 6.4 0.1 — 6.5
Spain 3.2 2.1 0.1 5.4
Singapore 2.4 1.3 0.7 4.4
Sweden 1.7 2.5 — 4.2
Mexico 2.9 1.3 — 4.2
Belgium 1.7 2.3 — 4.0
(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 unused commitments to extend credit. Excludes
intra-day and operating exposures, such as from settlement and
clearing activities.
(b) Includes market-making inventory, AFS securities, counterparty
exposure on derivative and securities financings net of collateral and
hedging.
(c) Includes single reference entity (“single-name”), 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.