EFTA01148164

INVESTMENT BANK Jes Staley, Chief Executive Officer Investment Bank February 28, 2012 JPMORGAN CHASE &CO. EFTA01148164 Agenda Page Performance I Markets 4 Business highlights 13 INVESTMENT BANK 1 MMORGAN CHASE &CO. EFTA01148165 2011: strength amidst volatility Performance ■ Near record performance ▪ Revenue: $26.3B ▪ Earnings: $6.8B (second highest) ■ ROE of 17% on capital of $40B ■ Further strengthened fortress balance sheet (Tier 1 common ratios) ▪ Basel II: 13.7% ▪ Basel III: 8.4% ■ Sustained Investment Banking leadership ■ #1 in Global IB Fees (third consecutive year): 8% market share' ■ Record loan syndication revenue, advisory fees up 22% ■ Fixed Income: historic high revenue market share, 17%2 ■ Equities: record results PERFORMANCE ■ Commodities: complete franchise Deelogic 2 Estimated using public disclosure of top 10 competitors. excluding DVA 2 JPMORGAN CHASE &CO. EFTA01148166 Strategic initiatives: 2011 progress and 2012 momentum Performance ■ Disciplined, sustained focus Clients ■ Formed International Steering Committee ■ TS/IB Markets growth with corporates International ■ Expanded Markets footprint in 20 countries ■ Add local market capabilities ■ Launched EMEA Prime Brokerage ■ Build Asia Prime Brokerage ■ ■ Achieved targets, increased client activity ■ Maintain leadership d Commodities ■ Completed Sempra integration ■ Grow developing markets franchise ■ Strategic Reengineering Program: over ■ Execute Strategic Reengineering Program 50% complete, on target ■ Rationalize IB/TSS costs and execution Technology (Value for Scale) ■ Doubled electronic equity internalization ■ Further reduced errors and cost per trade ■ Deliver cross-asset platforms for innovation ■ Prudent capital management ■ Efficient capital usage Capital/risk ■ Continued focus on regulation ■ Control during volatility management ■ Repositioning ahead of new regulations PERFORMANCE 3 JPMORGAN CHASE &CO. EFTA01148167 Agenda Page Performance 1 Markets 4 Business highlights 13 INVESTMENT BANK 4 JPMORGAN CHASE &CO. EFTA01148168 Credit, rates and currencies drive the global financial markets Markets Non-bank financial assets outpacing growth of traditional sources of capital... Financial assets (% of GDP) Capital by source (% of GDP) 450 • Public Financial Markets • Banks/Govs. 400 350 Global financial assets are Japan expected to nearly double over 300 the next 10 years U.S. 250 Non-bank financials 200 Korea (MFs, Insurance, HFs, 150 etc.) France 100 As countries develop. China banks/goys. are replaced by 50 public market growth 0 Brazil 1952 1959 1967 1974 1981 1988 1996 2003 2010 0 100 200 300 400 ...and Fixed Income markets continue to dominate Equities Gross U.S. equity and long-term debt issuance ($7) Daily average U.S. trading volume ($B) • Fixed Income' Equities ■ Fixed Income' Equities2 6.8 1,034 950 901 5.9 5.9 893 5.3 819 630 3.4 348 358 274 N 70 o 103 1996 1998 2000 2002 2004 2006 2008 2010 2011 1996 1998 2000 2002 2004 2006 2008 2010 2011 Source: Federal Flow of Funds. Bloomberg, IMF, Bank for International Settlements, CBRC. CSRC. Thomson Reuters. SIFMA. McKinsey Global Institute MARKETS Note: "Gross U.S. equity and longterm debt Issuance' and "Daily average U.S. trading volume' graphs not shown to scale Municipal, Treasury, MBS. Corporate Debt, and Federal Agency securities 2 Daily average value traded by the NASDAQ and NYSE 5 MMORGAN CHASE &CO. EFTA01148169 Our client franchise is large, diversified and global Markets 2011 Markets revenue mix Broker -dealers 441 Corporates Hedge Funds Latam Asia 13% 23% 2% 10% 7% Other Financials1 -16,000 North America 8% EMEA 55% Banks markets clients 33°O 16% Insurance 4% Asset Managers 29% 2011 IB fees mix Public Finance Asia Latam Consumer & Retail 3% 11% 9% 4% Tech. Media. Telecom 18% Diversified Industrials 13% Real Estate -5,000 North America 7% issuer clients 68% FIG 14% Natural Resources 23% Healthcare 11% MARKETS ' Other Financials includes pudic sector. pension funds. private equity, and SPVs JPMORGAN CHASE &CO. EFTA01148170 We have unmatched scale. diversification and leadership Markets Scale Diversity Leadership How we operate IB revenue (typical quarter) Industry rankings Descriptions 100% 2009 2010 2011' Advisory #3 #4 #2 ■ MA. Corporate Finance advisory 2.500 salespeople Equity 1 3 3 • Primary and secondary issuance Underwritin 2.000 traders Long-term Debt 1 2 1 ■ Bond underwriting Syndicated Loans 1 2 1 ■ Loan syndication 2.000 bankers Rates 2 1 1 • Treasuries, agencies, swaps, futures, options 800 research analysts Securitized • Mortgage and asset backed securities 2 1 1 Products Fixed Income 4.000 control and risk professionals o_ Emerging 2 3 2 ■ Non G-10 rates, credit. FX LL Markets Credit ■ Corporate bonds, loans, credit swaps, index 13.000 tech. & ops. Trading 1 1 1 products professionals Commodities 5 5 3 • Swaps, futures, options, physical transactions FX 2 2 2 • Spot foreign exchange swaps, futures, options 40 countries 3 3 3 • Municipal debt trading and issuance Agralaiaglaa • Rates and credit E-10=0:n 3 8 8 NIA 4 4 ■ High touch execution 110+ trading desks Cash NIA 9 9 • Low touch execution (electronic) Derivatives 3 3 1 • Swaps, options, convertibles 20 trading centers U. Prime Services 2 2 2 • Financing, execution, clearing NIA NrA NA • Margin financing, Structured notes Structures Source: Dealogic. Coalition ZEMAIE Note: Coalition competitor set: BAC. BARC. C. CS. OB. GS. MS. and UBS Fixed Income and Equities ranking as of 3O YID 2011 (Coalition — Revenue): Banking rankings are FY 2011 (Dealogic - Volume) 7 JPMORGAN CHASE &Co. EFTA01148171 Flow driven Markets business Markets IB Markets revenue: typical quarter (%) 100% 100% 100% Rates Securitized Products Fixed Emerging Flow Income Markets 70% Credit Trading Commodities FX Public Finance Cash Derivatives Equities Flow 30% Prime Services Structured I:IfltE 8 JPMORGAN CHASE &CO. EFTA01148172 High volume Markets business model with standardized products Markets Examples of major trading Quantity per quarter Average revenue Revenue per x quarter ($mm) products (# of trades) ($ per trade) • FX Spot/Forwards 5.000,000 70 350 • Credit Trading 250,000 1.500 375 • FX Options 150,000 600 100 • Metals Trading 140,000 600 75 • Financing 100,000 1,500 150 • Governments 75,000 2.500 200 • Energy Trading 50,000 5,000 250 • Interest Rate Swaps 30,000 12,000 350 • Asset Backed Securities 30,000 10,000 300 • Agencies 11,000 7.000 75 • Loan Trading 10 .000 10,000 100 • Cash Equities (N.A.) 10B shares 1.5 cents per share 150 a) • Cash Equities (EMEA/Asia) $200B notional 8bps 175 • Equity Swaps and Options 6,000 30,000 200 is LLI • F&O and OTC clearing 350mm lots 40 cents per lot 150 S Note: Quantity. average revenue and total revenue are estimates based on typical quarter: revenue per quarter rounded I:I=EEE 9 JPMORGAN CHASE &. CO. EFTA01148173 Over 90% of the Global Fortune 500 use swaps, futures, and options Markets Global Fortune 500 Usage by industry Usage by product 98% 88% 97% 83% 95% Total usage across all industries: 94% 92% 92% 92% 91% 49% 88% 29% 20% Financial Basic Tech. Industrial Health Utilities Consumer Services FX hterest rate Connelly aPRY Credit materials goods care goods Source. ISDA 2009 Survey MARKETS 10 JPMORGAN CHASE &Co. EFTA01148174 Scale driven Markets business model Markets Estimated % of total client trades by average revenue per trade (FY 2011) ■ High volume (-100,000 daily trades) 98% ■ Low spread ■ Low volume (-10 daily trades) ■ High spread 1.2% 0.6% 0.2% 0.08% 0.06% $0-$50K $50K-$100K $100K-$250K $250K-$500K 500K-$1mm $1mm+ % of Total Revenue 4 -► 75% 4 25% MARKETS Note: Represents Fixed Income business 11 JPMORGAN CHASE &Co. EFTA01148175 High turnover Markets business model Markets Case study — North America interest rate swaps daily turnover metrics 120 75 77 57 Average daily turnover: 53 44 36 37 29 24 26 Day 1 Day 2 Day 3 Day 4 Day 5 Day 6 Day 7 Day 8 Day 9 Day 10 Client businesses carry little risk inventory and turn their positions multiple times a day Note: Turnover defined as daily DV01 risk traded divided by starting DV01. DV01 is the risk position for a desk (amount of money desk makes or loses on a one basis point move in the yield curve): actual two•week period in 2011 MARKETS 12 MMORGAN CHASE &CO. EFTA01148176 Agenda Page Performance 1 Markets 4 Business highlights 13 INVESTMENT BANK 13 JPMORGAN CHASE &CO. EFTA01148177 Well positioned to adapt to regulation Business highlights Impact Concerns I Strengths ■ Mandated clearing ■ Unresolved: end-user ■ Competitive advantage by Clearing and Swap ■ Meaningful volumes margin/extraterritoriality being a scale player with Execution ■ Lesser revenue impact existing connectivity and ■ Concentration of access to SEFs Facilities exposure to central (SEFs) counterpanes ■ Ban on Bright Line ■ Could limit liquidity ■ Long-track record of client- proprietary trading • Clients focused business model ■ Immaterial revenue impact ■ Markets ■ Competitors may need to ■ Not a large business re-orient their businesses Volcker ■ Compliance emphasis ■ Limits market may impact costs making/hedging ability ■ Pushing-out portions of below ■ Complicates risk ■ Operational excellence: investment grade CDS, management depth of experience Non-Bank Subsidiary equity and commodities managing complex derivatives ■ Extraterritoriality: migrations (NBS) swap potential impact to scope "push out" n No significant revenue or BUSINESS HIGHLIGHTS capital changes expected Strong governance programs in place to address regulatory change: 500 people; 65+ projects 14 JPMORGAN CHASE & CO. EFTA01148178 Expense discipline enables investment capacity Business highlights J.P. Morgan IB expense ($B) Highlights • Compensation ' • Noncompensation ■ Disciplined expense management ■ Total expense down 4% 16.8' ■ Focus on operating efficiency 16.1 ■ Best-in-class overhead ratio 15.4 r Lowest comp/revenue ratio 13.8 7.5 6.1 7.2 ■ Continued investment capacity ■ Strategic Reengineering Project (SRP) ■ International expansion ■ Commodities execution ■ International Prime Brokerage 9.3 9.2 8.9 7.7 ■ Value for Scale ■ Synergies across wholesale businesses 2008 2009 2010 2011 Overhead ratIo2 NM 51% 65% 65% BUSINESS HIGHLIGHTS Compirevenuet2 75% 31% 36% 36% 1 2010 compensation expense excludes $0.5B of U.K. payroll tax 2Overhead and comptrevenue ratios exclude DVA impact 15 JPMORGAN CHASE &CO. EFTA01148179 Global Corporate Bank: contributing to IB Markets and Treasury Services Business highlights 2011 international revenue with corporates I IB Markets Treasury Services Trade loan growth 47% Rates 32% Trade 35% revenue growth -22% growth FX 28% Liquidity YoY Commodities 27% Core cash BUSINESS HIGHLIGHTS Excludes nonrecurring items JPMORGAN CHASE &CO. EFTA01148180 Leveraging the J.P. Morgan platform Business highlights J.P. Morgan Investment Bank Leveraging the wholesale platform Treasury & Asset IB cross-LOB gross revenue share ($B) Commercial Securities Management Banking Services ■ IB recognized ■ Expanded client ■ 41 new Private fees for 147 coverage/footprint Bank clients from debt and 77 with Global IB referrals equity deals for Corporate Bank ■ 71 Private Bank CB clients in ■ Increased credit referrals to the IB 2011 extension and ■ Expanding ■ $1.4B gross product 18% international revenue in 2011 penetration referrals and syndication BUSINESS HIGHLIGHTS access 2011 total: $2.7B 17 JPMORGAN CHASE &.CO. EFTA01148181 Proven risk management capability Business highlights J.P. Morgan Markets revenue and VaR Average revenue over past 12 quarters JPM Markets revenue JRA VaR $8 $mm JPM -30% greeter than peers 25 180 23.5 160 20 19.3 19.3 S3.9 140 120 Peers J.P.Morgan 15 100 12.2 80 Markets revenue volatility2 of past 12 quarters 10 60 JPM -40% less than peers 40 5 4.2 20 40% 25°O 0 0 2006 2007 2008 2009 2010 2011 BUSINESS HIGHLIGHTS Market Peers J.P.Morgan 8% 9% 10% 13% 12% 14% share' Note: Revenue excludes DVA; peers: BAC, BARG, C, CS, DB, GS, MS and UBS Estimated using public disclosure of top 10 competitors, including DVA 2 Volatility equals standard deviation as a percentage of the period average -30% higher revenue than peers with -40% less volatility 18 JPMORGAN CHASE &CO. EFTA01148182 Fortress balance sheet and prudent capital management Business highlights Risk Weighted Assets (based on Basel Ill) $550 $467 $413 ($54) 4O10 actual 4O11 actual 4Q12 glidepath Allocated equity ($B) 40 40 40 Basel Ill Tier 1 7.2% 8.4% 9.5% common ratio BUSINESS HIGHLIGHTS Note: 2012 RWA reduction is a combination of legacy asset roll•off, risk adjustments, and continued RWA management discipline 19 JPMORGAN CHASE &CO. EFTA01148183 Consistency of results Business highlights JPM Investment Bank ROE vs. peers Markets revenue (Equities and FICC, $B) ■ JPM IB ■ Peer average' Industry Individual firms YoY 17% 17% 146 % JPM 20 2% 14% 131 Peer 1 17 (21%) Peer 2 17 (3%) Peer 3 15 (15%) 8% Peer 4 15 (16%) Peer 5 36% Peer 6 (25%) Peer 7 1% BUSINESS HIGHLIGHTS Peer 8 (30%) 2010 2011 2010 2011 Source: Company filings 'Pest average ROE excludes firms without sufficient IB segment•level disclosure 2Adjusted for non•recuring items 20 JPMORGAN CHASE &CO. EFTA01148184 Performance and outlook Business highlights J.P. Morgan IB ROE Outlook • We are holding 17% target going forward ■ Headwinds to consider Regulatory burden Global market uncertainty Tougher RWA calculations 18% 18% Sustained low interest rate environment 15% L Key drivers Scale and diversity of franchise Market leadership Growth initiatives Disciplined expense management 2005 2006 2007 2008 2009 2010 2011 Target Strong capital position BUSINESS HIGHLIGHTS Allocated capital 20 21 21 26 33 40 40 40 ($6) 21 JPMORGAN CHASE &CO. EFTA01148185