Operating Model and Valuation - Input and Assumptions - JPMorgan Chase & Co.

Company Name: JPMorgan Chase & Co. Blue indicates hard-coded numbers and inputs.
Ticker: JPM Black indicates formulas.
Last Historical Year: 12/31/2009 Green indicates links from other worksheets.
Valuation Date: 12/31/2009

Month Multiplier: 29 Minimum Tier 1 Capital: 9.0%

Days in Year: 360
Conversion Units: 1000

Stock, Option & RSU Information:

Common Shares Outstanding: 3,973.0

Current Share Price: $ 41.67

Exercise
Type: # Outstanding: Price:
Options 266.568 $ 45.83
RSU 221.265 $ 29.32

Diluted Shares: 4,194.3

JPMorgan Chase & Co. - Loan Portfolio
($ in Millions)
Historical - Net of Charge-Offs Projected - Prior to Charge-Offs
December 30, 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
US Wholesale Loans:
Commercial and Industrial: $ 43,578 $ 48,500 $ 70,081 $ 74,153 $ 51,113 $ 56,224 $ 60,441 $ 64,974 $ 68,223 $ 71,634
Real Estate: 16,505 18,047 15,977 61,890 54,970 60,467 65,002 69,877 73,371 77,040
Financial Institutions 13,681 15,632 15,113 20,953 13,557 14,235 14,947 15,694 16,086 16,488
Government Agencies: 3,709 4,148 5,770 5,919 5,634 6,197 6,817 7,328 7,878 8,272
Other: 34,592 32,359 26,312 23,861 23,811 25,002 26,252 27,564 28,253 28,960
Total US Wholesale Loans: 112,065 118,686 133,253 186,776 149,085 162,125 173,459 185,438 193,812 202,394
Non-US Wholesale Loans:
Commercial and Industrial: 18,545 22,378 33,829 35,291 20,188 21,702 23,330 25,079 26,333 27,650
Real Estate: 1,393 2,325 3,632 2,811 2,270 2,440 2,623 2,820 2,961 3,109
Financial Institutions 8,093 19,174 17,245 17,552 11,848 12,440 13,062 13,716 14,058 14,410
Government Agencies: 1,296 2,543 720 602 1,707 2,048 2,356 2,591 2,850 3,135
Other: 8,719 18,636 24,397 19,012 19,077 20,031 21,032 22,084 23,188 24,348
Total Non-US Wholesale Loans: 38,046 65,056 79,823 75,268 55,090 58,662 62,403 66,290 69,391 72,652
Total Wholesale Loans:
Commercial and Industrial: 62,123 70,878 103,910 109,444 71,301 77,926 83,771 90,054 94,556 99,284
Real Estate: 17,898 20,372 19,609 64,701 57,240 62,907 67,625 72,697 76,332 80,149
Financial Institutions 21,774 34,806 32,358 38,505 25,405 26,675 28,009 29,409 30,145 30,898
Government Agencies: 5,005 6,691 6,490 6,521 7,341 8,246 9,173 9,920 10,728 11,407
Other: 43,311 50,995 50,709 42,873 42,888 45,032 47,284 49,648 51,442 53,307
Total Wholesale Loans: 150,111 183,742 213,076 262,044 204,175 220,787 235,862 251,728 263,203 275,046
Total Consumer Loans:
Home Equity: 73,866 85,730 94,832 142,890 127,945 140,740 151,295 162,642 170,774 179,313
Mortgage: 58,959 59,668 56,031 157,078 143,129 157,442 169,250 181,944 191,041 200,593
Auto Loans: 46,081 41,009 42,350 42,603 46,031 50,634 55,698 61,267 65,862 70,802
Credit Card Receivables: 71,738 85,881 84,352 104,746 78,786 84,695 91,047 95,599 100,379 105,398
Other: 18,393 27,097 28,733 35,537 33,392 35,062 36,815 38,655 39,622 40,612
Total Consumer Loans: 269,037 299,385 306,298 482,854 429,283 468,572 504,104 540,108 567,679 596,719
Total Loans: $ 419,148 $ 483,127 $ 519,374 $ 744,898 $ 633,458 $ 689,359 $ 739,966 $ 791,836 $ 830,882 $ 871,764

Loan Growth Rates:

US Wholesale Loans:
Commercial and Industrial: 11.3% 44.5% 5.8% (31.1%) 10.0% 7.5% 7.5% 5.0% 5.0%
Real Estate: 9.3% (11.5%) 287.4% (11.2%) 10.0% 7.5% 7.5% 5.0% 5.0%
Financial Institutions 14.3% (3.3%) 38.6% (35.3%) 5.0% 5.0% 5.0% 2.5% 2.5%
Government Agencies: 11.8% 39.1% 2.6% (4.8%) 10.0% 10.0% 7.5% 7.5% 5.0%
Other: (6.5%) (18.7%) (9.3%) (0.2%) 5.0% 5.0% 5.0% 2.5% 2.5%
Total US Wholesale Loans: 5.9% 12.3% 40.2% (20.2%) 8.7% 7.0% 6.9% 4.5% 4.4%
Non-US Wholesale Loans:
Commercial and Industrial: 20.7% 51.2% 4.3% (42.8%) 7.5% 7.5% 7.5% 5.0% 5.0%
Real Estate: 66.9% 56.2% (22.6%) (19.2%) 7.5% 7.5% 7.5% 5.0% 5.0%
Financial Institutions 136.9% (10.1%) 1.8% (32.5%) 5.0% 5.0% 5.0% 2.5% 2.5%
Government Agencies: 96.2% (71.7%) (16.4%) 183.6% 20.0% 15.0% 10.0% 10.0% 10.0%
Other: 113.7% 30.9% (22.1%) 0.3% 5.0% 5.0% 5.0% 5.0% 5.0%
Total Non-US Wholesale Loans: 71.0% 22.7% (5.7%) (26.8%) 6.5% 6.4% 6.2% 4.7% 4.7%
Total Consumer Loans:
Home Equity: 16.1% 10.6% 50.7% (10.5%) 10.0% 7.5% 7.5% 5.0% 5.0%
Mortgage: 1.2% (6.1%) 180.3% (8.9%) 10.0% 7.5% 7.5% 5.0% 5.0%
Auto Loans: (11.0%) 3.3% 0.6% 8.0% 10.0% 10.0% 10.0% 7.5% 7.5%
Credit Card Receivables: 19.7% (1.8%) 24.2% (24.8%) 7.5% 7.5% 5.0% 5.0% 5.0%
Other: 47.3% 6.0% 23.7% (6.0%) 5.0% 5.0% 5.0% 2.5% 2.5%
Total Consumer Loans: 11.3% 2.3% 57.6% (11.1%) 9.2% 7.6% 7.1% 5.1% 5.1%
Total Loans: 15.3% 7.5% 43.4% (15.0%) 8.8% 7.3% 7.0% 4.9% 4.9%
JPMorgan Chase & Co. - Charge-Offs & Loan Loss Reserves
($ in Millions)
Historical Projected
December 30, 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
LL Balance at Beginning of Year: $ 7,320 $ 7,090 $ 7,279 $ 9,234 $ 23,164 $ 31,602 $ 32,854 $ 27,756 $ 21,531 $ 16,820
Additions from M&A: - - - 2,535 - - - - - -
Provision for Loan Losses: 3,575 3,153 6,538 21,237 31,735 17,315 10,363 7,276 6,087 5,541
US Charge-Offs:
Commercial and Industrial: $ 154 $ 80 $ 34 $ 183 $ 1,233 $ 562 $ 604 $ 650 $ 512 $ 358
Real Estate: 2 10 46 217 700 454 325 349 220 77
Financial Institutions 2 1 9 17 671 427 224 78 16 16
Government Agencies: - 2 10 - - - - - - -
Other: 64 36 81 35 151 125 105 83 85 58
Consumer: 4,604 3,635 5,181 10,140 20,638 15,229 15,123 13,503 11,354 8,951
Total US Charge-Offs: 4,826 3,764 5,361 10,592 23,393 16,796 16,382 14,663 12,186 9,460
Non-US Charge-Offs:
Commercial and Industrial: 32 43 2 40 64 $ 33 $ 35 $ 25 $ 26 $ 14
Real Estate: - - - - - - - - - -
Financial Institutions - - - 29 66 62 52 41 28 14
Government Agencies: - - - - - - - - - -
Other: 1 14 3 - 341 300 263 221 174 122
Consumer: 10 63 1 103 154 - - - - -
Total Non-US Charge-Offs: 43 120 6 172 625 395 350 287 228 150
Total Charge-Offs: 4,869 3,884 5,367 10,764 24,018 17,192 16,732 14,950 12,415 9,610
US Recoveries:
Commercial and Industrial: (110) (89) (48) (60) (53) $ (56) $ (60) $ (97) $ (136) $ (143)
Real Estate: (4) (4) (1) (5) (12) (13) (14) (15) (16) (17)
Financial Institutions (6) (4) (3) (2) (3) (3) (3) (3) (4) (4)
Government Agencies: - - - - - - - - - -
Other: (46) (48) (40) (29) (25) (25) (32) (36) (40) (43)
Consumer: (717) (622) (716) (793) (941) (1,031) (1,159) (1,296) (1,419) (1,551)
Total US Recoveries: (883) (767) (808) (889) (1,034) (1,128) (1,269) (1,448) (1,615) (1,759)
Non-US Recoveries:
Commercial and Industrial: (122) (26) (8) (16) (1) $ (1) $ (1) $ (1) $ (1) $ (1)
Real Estate: - - - - - - - - - -
Financial Institutions (7) (11) (1) - - - - - - -
Government Agencies: (15) - - - - - - - - -
Other: (22) (26) (12) (7) - - - - - -
Consumer: (1) (12) - (17) (18) - - - - -
Total Non-US Recoveries: (167) (75) (21) (40) (19) (1) (1) (1) (1) (1)
Total Recoveries: (1,050) (842) (829) (929) (1,053) (1,130) (1,270) (1,450) (1,616) (1,760)
Net Charge-Offs: 3,819 3,042 4,538 9,835 22,965 16,062 15,462 13,501 10,798 7,850
Allowance for Purch. Porfolios: 17 75 - 6 - - - - - -
Change in Accounting Principles: - - (56) - - - - - - -
Other: (3) 3 11 (13) (332) - - - - -
LL Balance at Year-End: $ 7,090 $ 7,279 $ 9,234 $ 23,164 $ 31,602 $ 32,854 $ 27,756 $ 21,531 $ 16,820 $ 14,511

Charge-Offs & Recoveries as % of Loan Balances:

Provision for Loan Losses as % of

Average Loan Balances: 0.87% 0.69% 1.36% 3.61% 4.65% 2.65% 1.50% 1.00% 0.80% 0.70%

Total Consumer Gross Loans: 269,037 299,385 306,298 482,854 429,283 468,572 504,104 540,108 567,679 596,719
Total Consumer Charge-Offs: 4,614 3,698 5,182 10,243 20,792 15,229 15,123 13,503 11,354 8,951
Total Consumer Recoveries: (718) (634) (716) (810) (959) (1,031) (1,159) (1,296) (1,419) (1,551)

US Charge-Offs:
Commercial and Industrial: 0.35% 0.16% 0.05% 0.25% 2.41% 1.00% 1.00% 1.00% 0.75% 0.50%
Real Estate: 0.01% 0.06% 0.29% 0.35% 1.27% 0.75% 0.50% 0.50% 0.30% 0.10%
Financial Institutions 0.01% 0.01% 0.06% 0.08% 4.95% 3.00% 1.50% 0.50% 0.10% 0.10%
Government Agencies: 0.00% 0.05% 0.17% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Other: 0.19% 0.11% 0.31% 0.15% 0.63% 0.50% 0.40% 0.30% 0.30% 0.20%
Consumer: 1.72% 1.24% 1.69% 2.12% 4.84% 3.25% 3.00% 2.50% 2.00% 1.50%
Total US Charge-Offs: 1.27% 0.92% 1.22% 1.60% 4.07% 2.66% 2.42% 2.02% 1.60% 1.18%
Non-US Charge-Offs:
Commercial and Industrial: 0.17% 0.19% 0.01% 0.11% 0.32% 0.15% 0.15% 0.10% 0.10% 0.05%
 Real Estate: 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Financial Institutions 0.00% 0.00% 0.00% 0.17% 0.56% 0.50% 0.40% 0.30% 0.20% 0.10%
Government Agencies: 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Other: 0.01% 0.08% 0.01% 0.00% 1.79% 1.50% 1.25% 1.00% 0.75% 0.50%
Consumer: 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Total Non-US Charge-Offs: 0.09% 0.09% 0.01% 0.09% 0.85% 0.67% 0.56% 0.43% 0.33% 0.21%
US Recoveries:
Commercial and Industrial: (0.25%) (0.18%) (0.07%) (0.08%) (0.10%) (0.10%) (0.10%) (0.15%) (0.20%) (0.20%)
Real Estate: (0.02%) (0.02%) (0.01%) (0.01%) (0.02%) (0.02%) (0.02%) (0.02%) (0.02%) (0.02%)
Financial Institutions (0.04%) (0.03%) (0.02%) (0.01%) (0.02%) (0.02%) (0.02%) (0.02%) (0.02%) (0.02%)
Government Agencies: 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Other: (0.13%) (0.15%) (0.15%) (0.12%) (0.10%) (0.10%) (0.12%) (0.13%) (0.14%) (0.15%)
Consumer: (0.27%) (0.21%) (0.23%) (0.17%) (0.22%) (0.22%) (0.23%) (0.24%) (0.25%) (0.26%)
Total US Recoveries: (0.23%) (0.19%) (0.18%) (0.14%) (0.18%) (0.18%) (0.19%) (0.20%) (0.21%) (0.22%)
Non-US Recoveries:
Commercial and Industrial: (0.66%) (0.12%) (0.02%) (0.05%) (0.00%) (0.00%) (0.00%) (0.00%) (0.00%) (0.00%)
Real Estate: 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Financial Institutions (0.09%) (0.06%) (0.01%) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Government Agencies: (1.16%) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Other: (0.25%) (0.14%) (0.05%) (0.04%) 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Consumer: 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Total Non-US Recoveries: (0.44%) (0.10%) (0.03%) (0.03%) (0.00%) (0.00%) (0.00%) (0.00%) (0.00%) (0.00%)

Total Wholesale Loans: 150,111 183,742 213,076 262,044 204,175 220,787 235,862 251,728 263,203 275,046
Total Consumer Loans: 269,037 299,385 306,298 482,854 429,283 468,572 504,104 540,108 567,679 596,719
Gross Loan Balance: 422,967 486,169 523,912 754,733 656,423 689,359 739,966 791,836 830,882 871,764
Gross Loans Net of NCOs: 419,148 483,127 519,374 744,898 633,458 673,297 708,442 746,812 775,059 808,091
Average Loan Balance: 409,988 454,535 479,679 588,801 682,885 653,378 690,870 727,627 760,935 791,575

Key Metrics & Ratios:

Net Charge-Off Ratio: 0.93% 0.67% 0.95% 1.67% 3.36% 2.46% 2.24% 1.86% 1.42% 0.99%
Net Charge-Offs / Reserves: 53.86% 41.79% 49.14% 42.46% 72.67% 48.89% 55.71% 62.70% 64.20% 54.10%
Reserves / Total Loans: 1.69% 1.51% 1.78% 3.11% 4.99% 4.88% 3.92% 2.88% 2.17% 1.80%
NCO / Prior Year Provision: N/A 85.09% 143.93% 150.43% 108.14% 50.61% 89.30% 130.28% 148.41% 128.96%
JPMorgan Chase & Co. - Historical and Projected Balance Sheet
($ in Millions)
Historical Projected
December 30, 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
Assets:
Cash and Due from Banks: $ 36,670 $ 40,412 $ 40,144 $ 26,895 $ 26,206 $ 27,296 $ 32,626 $ 39,830 $ 46,504 $ 53,873
Deposits with Banks: 21,661 13,547 11,466 138,139 63,230 59,141 55,930 49,787 41,336 32,324
Federal Funds Sold: 133,981 140,524 170,897 203,115 195,404
Securities Borrowed: 74,604 73,688 84,184 124,000 119,630 126,137 136,948 146,363 162,626 187,833
Trading Assets: 298,377 365,738 491,409 509,983 411,128 370,015 351,514 351,514 369,090 405,999
Securities: 47,600 91,975 85,450 205,943 360,390 360,390 342,371 325,252 325,252 341,515

Loans: 419,148 483,127 519,374 744,898 633,458 673,297 708,442 746,812 775,059 808,091
Allowance for Loan Losses: (7,090) (7,279) (9,234) (23,164) (31,602) (32,854) (27,756) (21,531) (16,820) (14,511)
Net Loans: 412,058 475,848 510,140 721,734 601,856 640,443 680,687 725,280 758,238 793,580
Accrued Interest and AR: 22,421 22,891 24,823 60,987 67,427 67,330 63,760 59,745 54,254 48,485
Premises and Equipment: 9,081 8,735 9,319 10,045 11,118 11,118 11,118 11,118 11,118 11,118
Goodwill: 43,621 45,186 45,270 48,027 48,357 48,357 48,357 48,357 48,357 48,357
Mortgage Servicing Rights: 6,452 7,546 8,632 9,403 15,531 19,688 24,386 29,600 35,388 41,813
Other Intangible Assets: 8,107 7,306 6,099 5,581 4,621 3,708 2,915 2,205 1,584 1,164
Other Assets: 84,309 58,124 74,314 111,200 107,091 112,446 118,068 123,971 130,170 136,678
Total Assets: $ 1,198,942 $ 1,351,520 $ 1,562,147 $ 2,175,052 $ 2,031,989 $ 1,846,068 $ 1,868,679 $ 1,913,024 $ 1,983,918 $ 2,102,739
Liabilities:
Deposits: $ 554,991 $ 638,788 $ 740,728 $ 1,009,277 $ 938,367 $ 909,861 $ 932,161 $ 995,749 $ 1,033,412 $ 1,077,455
Federal Funds Purchased: 125,925 162,173 154,398 192,546 261,413
Commercial Paper: 13,863 18,849 49,596 37,845 41,794 43,764 42,507 41,075 38,753 40,405
Other Borrowed Funds: 10,479 18,053 28,835 132,400 55,740 53,864 49,591 44,809 38,753 32,324
Trading Liabilities: 145,930 147,957 157,867 166,878 125,071 118,405 119,515 126,545 140,254 162,400
AP and Other Liabilities: 78,460 88,096 94,476 187,978 162,696 161,591 155,857 149,362 139,511 145,456
Beneficial Interests: 42,197 16,184 14,016 10,561 15,225 15,225 15,225 15,225 15,225 15,225
Long-Term Debt: 108,357 133,421 183,862 270,683 266,318 269,319 269,208 268,852 263,520 258,589
Jr. Sub Debentures: 11,529 12,209 15,148 - - - - - - -
Total Liabilities: $ 1,091,731 $ 1,235,730 $ 1,438,926 $ 2,008,168 $ 1,866,624 $ 1,572,029 $ 1,584,064 $ 1,641,617 $ 1,669,427 $ 1,731,853

Shareholders' Equity:
Preferred Stock: $ 139 $ - $ - $ 31,939 $ 8,152 $ 8,152 $ 8,152 $ 8,152 $ 8,152 $ 8,152
Common Stock: 3,618 3,658 3,658 3,942 4,105 4,105 4,105 4,105 4,105 4,105
Capital Surplus: 74,994 77,807 78,597 92,143 97,982 97,982 97,982 97,982 97,982 97,982
Retained Earnings: 33,848 43,600 54,715 54,013 62,481 62,481 62,481 62,481 62,481 62,481
Accumulated OCI: (626) (1,557) (917) (5,687) (91) (91) (91) (91) (91) (91)
Restricted Stock Units: - - - (217) (68) (68) (68) (68) (68) (68)
Treasury Stock: (4,762) (7,718) (12,832) (9,249) (7,196) (7,196) (7,196) (7,196) (7,196) (7,196)
Total Shareholders' Equity: $ 107,211 $ 115,790 $ 123,221 $ 166,884 $ 165,365 $ 165,365 $ 165,365 $ 165,365 $ 165,365 $ 165,365

Total Liabilities & SE: $ 1,198,942 $ 1,351,520 $ 1,562,147 $ 2,175,052 $ 2,031,989 $ 1,737,394 $ 1,749,429 $ 1,806,982 $ 1,834,792 $ 1,897,218

Balance Check: OK! OK! OK! OK! OK! $108,674 $119,250 $106,042 $149,125 $205,521

JPMorgan Chase & Co. - Balance Sheet Drivers

($ in Millions)
Historical Projected
December 30, 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
Assets:
Cash % Deposits: 6.61% 6.33% 5.42% 2.66% 2.79% 3.00% 3.50% 4.00% 4.50% 5.00%
Bank Deposits % Deposits: 3.90% 2.12% 1.55% 13.69% 6.74% 6.50% 6.00% 5.00% 4.00% 3.00%
Sec. Borrowed % Securities: 156.73% 80.12% 98.52% 60.21% 33.19% 35.00% 40.00% 45.00% 50.00% 55.00%
Trading Assets % Growth: 22.58% 34.36% 3.78% (19.38%) (10.00%) (5.00%) 0.00% 5.00% 10.00%
Securities % Growth: 93.22% (7.09%) 141.01% 75.00% 0.00% (5.00%) (5.00%) 0.00% 5.00%
Accr. Interest and AR % Loans: 5.35% 4.74% 4.78% 8.19% 10.64% 10.00% 9.00% 8.00% 7.00% 6.00%
MSR Originated: 1,512 2,335 3,061 3,615 4,157 4,698 5,214 5,788 6,425
MSR % Growth: 54.43% 31.09% 18.10% 15.00% 13.00% 11.00% 11.00% 11.00%
Other Intang. Amortization: 1,490 1,428 1,394 1,263 1,050 913 793 710 621 420
Other Assets % Growth: (31.06%) 27.85% 49.64% (3.70%) 5.00% 5.00% 5.00% 5.00% 5.00%

Liabilities:
Loans % Deposits: 75.52% 75.63% 70.12% 73.81% 67.51% 74.00% 76.00% 75.00% 75.00% 75.00%
Commercial Paper % Loans: 3.31% 3.90% 9.55% 5.08% 6.60% 6.50% 6.00% 5.50% 5.00% 5.00%
Other Borr. Funds % Loans: 2.50% 3.74% 5.55% 17.77% 8.80% 8.00% 7.00% 6.00% 5.00% 4.00%
Trading Liab. % Trading Assets: 48.91% 40.45% 32.13% 32.72% 30.42% 32.00% 34.00% 36.00% 38.00% 40.00%
AP & Other Liab. % Loans: 18.72% 18.23% 18.19% 25.24% 25.68% 24.00% 22.00% 20.00% 18.00% 18.00%
Long-Term Debt % Loans: 25.85% 27.62% 35.40% 36.34% 42.04% 40.00% 38.00% 36.00% 34.00% 32.00%

Federal Funds Calculation: