4QFY 2001 Financial Results

1
JPMorgans Global Derivatives Leadership
Bill Winters March 11, 2004
2
Agenda

• JPMorgan The Investment Bank
• JPMorgan Derivatives
• Defining derivatives
• Risk management
• Market growth and opportunity

3
Investment Bank financial performance
billions
16
3.7
183
19

• Note
• 1 Actual ROE and SVA for all periods, not
  over/under

4
Investment Bank Revenues
in billions

• Portfolio management revenues relate to both
  market-making and proprietary risk-taking
  activities.
• Other includes fees and commissions, credit
  portfolio and other revenues.

5
Leadership positions in key markets ...
JPMorgan global rank and share relative to top 3
competitors for 2003

• Source Thomson Financial Securities Data as of
  December 31, 2003.
• 1 Institutional Investor 1/04

6
Agenda

• JPMorgan The Investment Bank
• JPMorgan Derivatives
• Defining derivatives
• Risk management
• Market growth and opportunity

7
JPM Derivatives a core and profitable franchise
Derivative revenues ( in billions)
Percentage of IB revenues
2000 - 2003
34
Derivatives
66
Other IB
Percentage of IB client revenues
client

client
2002 - 2003
client
38
Derivatives
62
Other IB
Source JPMorgan - EITF 0203 reserves not included
8
JPM Derivatives global and diversified
Revenue by client 2003
Revenue by product 2003
Revenue by region 2003
Source JPMorgan
9
Agenda

• JPMorgan The Investment Bank
• JPMorgan Derivatives
• Defining derivatives
• Risk management
• Market growth and opportunity

10
Derivatives products and solutions
Volume

• Interest rate, currency, commodity equity
  futures, swaps and options
• Credit default swaps
• Receivables securitisation

• Tailored FX hedges
• Credit linked notes
• Tranched securitisations
• Collateralised debt obligations

• Convertible bond hedges
• Currency protected oil hedges
• Whole business securitisations

Complexity
11
Derivatives broad application for clients
JPMorgan Solution
Client Problem

• Hedge fund seeks to purchase cheap call options
  on underlying equity name, while avoiding credit
  risk.
• Issuing client wants to lock in longer term debt
  spreads while retaining short term funding level.
• Investor client wants to increase yield by taking
  exposure to a single issuer, in the most cost
  efficient way.

• Hedge fund buys convertible bond and buys credit
  protection (credit derivative) from JPM to
  eliminate credit risk.
• Corporate issues debt further out the yield
  curve. JPM swaps client into short term funding
  via interest rate swap.
• Investor sells protection (collects premium)
  through Equity Default Swap which will pay out if
  the value of the stock falls below a certain
  barrier.

12
Agenda

• JPMorgan The Investment Bank
• JPMorgan Derivatives
• Defining derivatives
• Risk management
• Market growth and opportunity

13
Comprehensive risk management mitigation
approach
Operating Risk
Credit Risk
Market Risk
Reputation Risk

• VAR/stress limits
• Valuations and reserve methodologies

• Independent credit approvals
• Active management and MTM of credit risks
• Credit charges fully factored into relationship
  profitability

• Client suitability appropriateness policies
• (Policy Review Forum)
• Legal and Compliance reviews
• New Product Approvals

• Control environment
• Data processing quality and security
• Business continuity

Management and Financial Reporting
14
Market related credit risk management
Derivative counterparty exposure
Ratings breakdown after collateral
34tn
AAA/AA 52
A to A- 16
BBB 16
Below BBB 16
Collateral held by JPMorgan
Note Figures are as of December 2003. Notional
amounts are expressed in trillions. All other
amounts are expressed in billions.
Source JPMorganCollateral excludes 0.5B in
other credit enhancements in the form of letters
of credit
15
JPM Scale and liquidity provider
Balance sheet exposure by dealer (in billions)
Cash Collateral
Cash Collateral
Bank One
59
55
Net Exposure
Net Exposure
Source Fourth quarter 2003 company reports,
except for MER, DB, UBS and CSFB (Third Quarter
2003)
16
Dynamic market risk management
Total Daily revenues (March 2002 - December 2003)
Average Daily Revenue 16mm
occurrences

VAR models have proved accurate in predicting PL
distribution
Stress events have occurred with frequency and
severity as predicted
17
Agenda

• JPMorgan The Investment Bank
• JPMorgan Derivatives
• Defining derivatives
• Risk management
• Market growth and opportunity

18
Derivatives volume growth has been strong ...
Credit Derivatives (notional in trillions)
Interest Rate Derivatives (notional in
trillions)
CAGR 22
CAGR 53
Equity Derivatives (notional in trillions)
CAGR 15
as of June 2003
19
JPM well positioned in high growth markets

• Client usage of derivatives is very strong
• We are a leading player in cash and advice
  markets
• Innovating cross-asset class derivatives
• We position risk around our client business
• We enjoy significant economies of scale
• Derivatives technology analytics
• Experience curve
• Low cost producer

20
Growth opportunity is further fueled by innovation

• Microsoft
• First transferable employee stock option program
  done in the U.S.
• Equity Default Swaps (EDS)
• Pioneered by JPM, EDS were developed as an
  alternative for Credit Default Swaps
• Equity Collateralized Obligations (ECO)
• A new asset class based on CDO technology
• TRAC-X credit index
• Brings standardization and liquidity to the
  credit markets
• Credit-Linked Warrant
• Enables investors to short the CDS market
• Global Range Note
• Combining commodity, interest rates, and
  currencies into a consolidated asset

21
JPMorgan Derivatives a core franchise

• Derivatives are profitable for market leaders
• JPMorgan is a market leader
• Derivatives provide for constant growth
  opportunity
• JPMorgan is well positioned

22
QA
23
Regulation MA Disclosure

• This investor presentation contains
  forward-looking statements within the meaning of
  the Private Securities Litigation Reform Act of
  1995. Such statements include, but are not
  limited to, statements about the benefits of the
  merger between JPMorgan Chase and Bank One,
  including future financial and operating results,
  the new companys plans, objectives, expectations
  and intentions and other statements that are not
  historical facts. Such statements are based upon
  the current beliefs and expectations of Bank
  Ones and JPMorgan Chases management and are
  subject to significant risks and uncertainties.
  Actual results may differ from those set forth in
  the forward-looking statements.
• J.P. Morgan Chase has filed a Registration
  Statement on Form S-4 with the Securities and
  Exchange Commission containing a preliminary
  joint proxy statement/prospectus regarding the
  proposed merger. Stockholders are urged to read
  the definitive joint proxy statement/prospectus
  when it becomes available, because it will
  contain important information. Stockholders will
  be able to obtain a free copy of the definitive
  joint proxy statement/prospectus, as well as
  other filings containing information about J.P.
  Morgan Chase and Bank One, without charge, at the
  SECs Internet site (http//www.sec.gov). Copies
  of the definitive joint proxy statement/prospectus
  and the filings with the SEC that will be
  incorporated by reference in the definitive joint
  proxy statement/prospectus can also be obtained,
  without charge, by directing a request to J.P.
  Morgan Chase Co., 270 Park Avenue, New York,
  New York 10017, Attention Office of the
  Secretary (212-270-6000), or to Bank One
  Corporation, 1 Bank One Plaza, Suite 0738,
  Chicago, Illinois 60670, Attention Investor
  Relations (312-336-3013).
• The respective directors and executive officers
  of J.P. Morgan Chase and Bank One and other
  persons may be deemed to be participants in the
  solicitation of proxies in respect of the
  proposed merger. Information regarding J.P.
  Morgan Chases and Bank One's directors and
  executive officers and a description of their
  direct and indirect interests, by security
  holdings or otherwise, is available the
  preliminary joint proxy statement/prospectus
  contained in the above-referenced Registration
  Statement on Form S-4 filed with the SEC on
  February 20, 2004.