B A S E L I I P I L L A R 3 D I S C L O S U R E S JPMorgan Chase Bank, N.A., Mumbai Branch Half year ending September 30, 2010
Disclosures under the New Capital Adequacy Framework (Basel II guidelines) for the half year ended September 30, 2010 The Basel II Pillar 3 disclosures ("Basel P3") included herein are made solely to meet the requirements in India, and relate solely to the activities of the Mumbai Branch of JPMorgan Chase Bank, N.A, a whollyowned bank subsidiary of JPMorgan Chase & Co. For a comprehensive discussion of risk management at JPMorgan Chase & Co., including its consolidated subsidiaries, please refer to Firm's Annual Report for the year ended December 31, 2008, which is available in the Investor Relations section of www.jpmorganchase.com All quantitative disclosures are reported in rupees thousands. I Scope of application The New Capital Adequacy Framework ("Basel II") as prescribed by Reserve Bank of India is applied to the operations of JPMorgan Chase Bank, N.A., (a bank incorporated in the United States of America) in India, i.e. to JPMorgan Chase Bank, N.A., Mumbai Branch ("the Branch"); being its sole branch in India. JPMorgan Chase Bank, National Association is one of the principal subsidiaries of JPMorgan Chase & Co. (collectively, "JPMC", "the Group" or "the Firm"), the financial holding company incorporated in the United States. JPMC operates in India through the Branch and through other subsidiaries owned by one or more of its principal subsidiaries. Presently, the Accounting Standard (AS) 21 on Consolidation Accounting is not applicable to the India operations of JPMC since none of its Indian subsidiaries are owned by the Branch in Mumbai. The Branch does not have any interest in insurance entities. 2
II Capital Structure The capital of the Branch consists principally of the Head Office account representing Capital remitted by Head Office and remittable surplus retained in India. Amts in 000 Composition of Capital funds Tier I capital Head Office account 24,494,677 Statutory reserves 2,681,087 Remittable surplus retained in Indian books (not repatriable) 7,069,960 Other deductions from capital, if any Deferred tax asset 219,809 Tier I capital 34,025,915 Tier II capital General provision on standard assets 63,217 General provision for country risk 11,276 Investment Reserve Account 222,042 For contingent/non-funded exposures 668,065 Tier II capital 964,600 Total Capital funds 34,990,515 3
III Capital Adequacy A summary of the Branch s capital requirement for credit risk, market risk and operational risk and the capital adequacy ratio as on September 30, 2010 is presented below. Capital requirements for credit risk - Portfolios subject to standardised approach 7,697,161 Capital requirements for market risk Standardised duration method - Interest rate risk 2,394,895 - Foreign exchange risk 1,889,226 Capital requirements for operational risk - Basic indicator approach 896,372 Total Capital Requirement at 9% 12,877,654 Total Capital Funds of the Bank 34,990,515 Capital Adequacy Ratio of the Branch (%) CRAR 24.45% Tier I CRAR 23.78% Tier II CRAR 0.67% IV Credit Risk Quantitative Disclosure Gross credit exposures Fund based* 22,463,864 Non fund based* 224,171,272 246,635,136 Geographic distribution of exposures Fund based domestic* 22,463,864 Non fund based domestic* 224,171,272 Fund based - overseas 0 Non fund based - overseas 0 Total 246,635,136 4
Industry type disclosure of exposures* Industry Fund Based Non Fund Based Banks 5,544,553 190,406,755 Other Industries 3,650,150 4,821,115 Petroleum 4,427,808 3,342,700 NBFC 1,950,451 4,627,162 Computer Software 188,099 6,322,060 Chemical Dyes Paints - Drugs and Pharma 97,281 5,445,084 Other Metal and Metal Products 3,907,690 621,322 All Engineering - Others 424,465 1,487,056 All Engineering - Electronic 2,800 1,787,098 Construction 542,540 531,635 Chemical Dyes Paints - Fertilizers 360,838 668,138 Cement 503,675 500,000 Infrastructure - Telecommunication 10,065 978,660 Food Processing 0 706,255 Automobile Including Trucks 161,764 396,581 Electricity 0 535,240 Trading 0 474,675 Iron and Steel 0 450,596 Chemical Dyes Paints - Petro Chemicals 244,100 0 Other Textiles 188,270 34,930 Mining 214,125 0 Infrastructure - Roads and Ports 40,790 34,210 Cotton Textiles 4,400 0 Total 22,463,864 224,171,272 * excludes investments covered under specific market risk and other assets. 5
Residual contractual maturity breakdown of assets Maturity Bucket Investments Advances 1 day 36,225 0 2-7 days 1,498,983 156,389 8-14 days 499,396 50,000 15-28 days 3,850,437 252,400 29 days - 3 months 22,682,879 4,492,246 3-6 months 41,069,312 5,191,500 6-12 months 4,193,026 2,314,658 1-3 years 55,302 797,000 3-5 years 13,128,780 2,550,000 Over 5 years 16,458,664 0 Total 103,473,004 15,804,193 Investments are valued at Mark to Market and advances are net of provision Amount of NPAs (Gross) Substandard 6 Doubtful 1 490,590 Doubtful 2 0 Doubtful 3 0 Loss 0 Gross NPA's 490,596 Net NPAs 5 NPA Ratios Gross NPAs to gross advances 3.01% Net NPAs to net advances 0.00% Movement of NPAs (Gross) Opening balance 952,829 Additions 0 Reductions 462,233 Closing balance 490,596 Movement of provisions for NPAs Opening balance 661,457 Provisions made during the year Write-off Write-back of excess provisions* 170,866 Closing balance 490,591 Amount of Non-Performing Investments 0 Amount of provisions held for non-performing investments 0 Movement of provisions for depreciation on investments Opening balance 54,701 Provisions made during the year 0 Write-off 0 Write-back of excess provisions 21,021 Closing balance 33,680 6
V Credit Risk : Standardized approach Quantitative Disclosure Details of Credit Risk Exposure (fund based and non-fund based) based on Risk - Weight:* Below 100% risk weight 198,414,667 100% risk weight 47,288,868 More than 100% risk weight 0 Deducted 0 Total 245,703,535 * excludes investments covered under specific market risk. VI Credit Risk Mitigation During the half year ended September 30th, 2010 Branch has used cash collateral from Jet Airways of INR 140,121 (000) as risk mitigant for the purpose of calculating capital under Basel II and for repo style transactions. VII Securitisation Quantitative Disclosure a) Total outstanding exposures securitised by the Branch as of September 30, 2010 is Rs. Nil b) For exposure securitised by the Branch - amount of impaired/past due assets securitised: Nil - net profit/(loss) recognised by the Branch during the current period: Rs. Nil c) Aggregate amount of securitisation exposures retained / purchased: Nil d) Summary of securitisation activity presenting a comparative position for two years Financial year ending Particulars 30-Sep-10 31-Mar-10 Total number loan assets securitized - - Book value of loan assets securitized - - Sale consideration - - Gain/(loss) on sale on account of securitisation - - Form and quantum of services provided - credit enhancement - - - liquidity support - - - post securitisation asset servicing - - 7
IX Market risk Quantitative Disclosure Capital requirements for Interest rate risk 2,394,895 Equity position risk 0 Foreign exchange risk 1,889,226 Total 4,284,121 8