Jp Morgan Chase & Co. · NYSE:JPM

Jp Morgan Chase & — Investor Presentation (May 2005)

15 slides from Jp Morgan Chase &'s investor presentation, May 20, 2005

  1. Slide 1: JPMorgan Global Derivatives May 2005

    JPMorgan Global Derivatives M A Y 2 0 0 5

  2. Slide 2: Disclaimer

    This presentation contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Such statements are based upon the current beliefs and expectations of JPMorgan Chase's management and are subject to significant risks and uncertainties. Actual results

  3. Slide 3: Industry notional and credit exposure

    Industry notional outstanding and gross credit exposure ($ billions) Industry notional and credit exposure Gross credit exposure1 OTC derivatives notional outstanding 2000 1080 95200 2001 1171 111179 2002 1511 141665 2003 1969 197167 Jun 2004 1478 220058 Source: BIS 1 Per BIS definition: Gross value

  4. Slide 4: JPMorgan notional outstanding and gross credit exposure; share of industry totals

    JP Morgan share of credit exposure1 JP Morgan share of notional outstanding 2000 0.07 0.24 2001 0.06 0.2 2002 0.05 0.18 2003 0.04 0.17 Jun 2004 0.05 0.17 JPMorgan notional outstanding and gross credit exposure JPM's share of industry totals 2 Source: BIS 1 Credit exposure before benefit of collatera

  5. Slide 5: JPMorgan derivatives: substantial revenues drive profitability

    JPMorgan derivatives: substantial revenues drive profitability Legend 1 Display total Stack 5 Stack 6 Stack 7 Stack 8 Totals (invisible) Stack 9 Stack 10 Stack 11 Stack 12 Stack 13 Stack 14 Stack 15 Stack 16 1998 4.2 4.2 50 1999 4.8 4.8 60 2000 5.3 5.3 70 2001 5.5 0 0 5.5 80 2002 4.2 0 4.2 2003 5.5

  6. Slide 6: JPMorgan Derivatives: Global and diversified

    Revenue by client 2004 Client revenue by product 2004 Client revenue by region 2004 Banks and Brokers 0.4 Corporates 0.15 Governments & Agencies 0.06 Insurance 0.07 Investment Managers 0.17 Hedge Funds 0.14 Slice 7 Slice 8 Slice 9 Slice 10 Slice 11 Slice 12 Slice 13 Slice 14 Slice 15 Slice 16 JPMorg

  7. Slide 7: Derivatives: product dimensions

    Derivatives: product dimensions Flow Exotic Hybrid Interest rate swaps Single name credit default swaps Listed equity options 'Callable' swap option Credit linked notes Equity basket option Long-dated FX option Callable option linked to interest rates & FX Convertible bond hedges Equity default swap

  8. Slide 8: Derivatives: broad application for clients

    Issuing client wants to lock in longer term debt spreads while retaining short term funding level. Derivatives: broad application for clients Client Problem JPMorgan Solution Corporate issues debt further out the yield curve. JPM swaps client into short term funding via interest rate swap. Hedge fun

  9. Slide 9: We focus on four major dimensions of business risk

    Control environment Data processing quality and security Business continuity We focus on four major dimensions of business risk Market risk Legal and reputation risk VaR/stress/non- statistical limits and stop loss advisories Risk Self Assessments and RIFLES Valuations and reserve methodologies Mode

  10. Slide 10: Market-related credit risk management

    Blue Green Stack 6 Stack 7 Stack 8 Totals (invisible) Stack 9 Stack 10 Stack 11 Stack 12 Stack 13 Stack 14 Stack 15 Stack 16 Notional 630 50 Gross exposure 755 60 Master agreement & cash collateral netting 66 32 657 70 B/S net of cash collateral 66 80 Exposure net of all collateral 57 Derivative cou

  11. Slide 11: JPMorgan: scale and liquidity provider

    Derivatives Balance sheet exposure by dealer ($ billions) JPMorgan: scale and liquidity provider JPMorgan 66 GS 62 Citibank 57 MS 49 B of A 30 Deutsche 86 CSFB 44 Merrill 42 Source: 2004 10K public disclosures Note: JPM, Citibank, Goldman Sachs and Bank of America net cash collateral against derivat

  12. Slide 12: Aggregate portfolio measures

    Aggregate portfolio measures Market Diversified Peak DRE Average time 0 52.117 52.117 52.117 1y 66.361 58.31 42.469 2y 62.689 56.036 38.017 3y 57.005 47.022 30.718 4y 50.807 41.832 26.875 5y 41.489 33.381 21.939 6y 34.5 33.317 19.387 7y 28.698 26.904 15.465 8y 25.618 23.435 13.299 9y 24.904 20.757 1

  13. Slide 13: Value at Risk (VaR) & Non-statistical risk limits

    Value at Risk (VaR) & Non-statistical risk limits Risk measurement Market risk is measured in many ways Business specific scenarios and risk sensitivity analysis across complex interest rate, credit and equity derivatives Stress tests capture exposures to potential events in abnormal market conditio

  14. Slide 14: Derivatives are reported at fair value

    Derivatives are reported at fair value Trading portfolios by valuation methodology ($ billions) Substantially observable parameters: Examples include interest rate swap yield curve, credits spreads and interest rate volatilities. Significant unobservable parameters: Examples include interest rate/FX

  15. Slide 15: Derivatives products and industry rankings

    Interest Rate Derivatives Products Institutional Investor Derivatives, 2004 #1 Overall Rank #1 Swaps #1 Options The Banker, 2004 Interest Rate Swap House of the Year Risk, 2004 #1 USD and Euro Interest Rate Swaps #1 USD short-dated swaps #1 USD and Euro Interest Rate Products (Caps/floors/swaptions)

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