INVESTMENT BANK

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