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JPM\'s CIO Unit

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The document summarizes the roles and structure of J.P. Morgan's CIO unit, including managing the bank's pension fund and surplus cash, asset-liability management, and taking advantage of positioning opportunities. It also notes that other banks like HSBC and Goldman Sachs have similar units responsible for tasks like ALM management, credit portfolio management, and some proprietary trading. A chart shows the CIO unit's quarterly revenues and value-at-risk over time, with revenues coming from ALM/net interest income, proprietary/principal trading, and securities gains.

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Market Update: Theme J.P.Morgan¡¯s CIO Unit Organisational Structure of CIO unit We have been tracking J.P.Morgan¡¯s CIO unit for the last two years. Our sources suggest its roles include: CFO ¡ì? managing JPM's defined benefit pension scheme, ¡ì? investing in securities with surplus cash that the bank holds (e.g. from cheap financing opportunities), ¡ì? managing ALM risk (under guidance from group Chief Investment Group treasury), and Officer Treasury ¡ì? taking advantage of positioning opportunities. JPM is not the only bank to have a structure like this. HSBC have a Balance Sheet Management group within Global US Defined Benefit Markets and Banking which carries out ALM management, Pension Plan credit portfolio management, money markets trading and some positioning activities. At Goldman Sachs the Corporate Corporate Treasury Unit - run by Liz Beshel - is arguably the nerve Acquisitions centre of the bank; carrying out strategic analysis, regulatory engagement, risk management and oversight and some prop Asset & Liability trading. Management Prop Traders J.P.Morgan CIO unit: quarterly revenues and VaR Revenue Quarterly Revenues and VaR of JPM CIO Unit VaR US$ million 95% confidence 2,500 90 80 2,000 70 1,500 60 50 1,000 40 500 30 20 - 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 10 -500 0 ALM/NII Prop/Principal Securities Gains VaR (RHS) Source: J.P.Morgan, Tricumen analysis 1/2 2 May 2012
Market Update Notes & Caveats Tricumen Limited has used all reasonable care in writing, editing and presenting the information found in this report. All reasonable effort has been made to ensure the information supplied is accurate and not misleading. For the purposes of cross- market comparison, all numerical data is normalised in accordance to Tricumen¡¯s proprietary product classification and may contain +/-10% margin of error. The information and commentary provided in this report has been compiled for informational purposes only. We recommend that independent advice and enquiries should be sought before acting upon it. Readers should not rely on this information for legal, accounting, investment, or similar purposes. No part of this report constitutes investment advice, any form of recommendation, or a solicitation to buy or sell any instrument or to engage in any trading or investment activity or strategy. Tricumen does not provide investment advice or personal recommendation, nor will it be deemed to have done so. Tricumen Limited makes no representation, guarantee or warranty as to the suitability, accuracy or completeness of the report or the information therein. Tricumen Limited assumes no responsibility for information contained in this report and disclaims all liability arising from negligence or otherwise in respect of such information. Tricumen Limited is not liable for any damages arising in contract, tort or otherwise from the use of or inability to use this report or any material contained in it, or from any action or decision taken as a result of using the report. 2/2 2 May 2012

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JPM\'s CIO Unit

  • 1. Market Update: Theme J.P.Morgan¡¯s CIO Unit Organisational Structure of CIO unit We have been tracking J.P.Morgan¡¯s CIO unit for the last two years. Our sources suggest its roles include: CFO ¡ì? managing JPM's defined benefit pension scheme, ¡ì? investing in securities with surplus cash that the bank holds (e.g. from cheap financing opportunities), ¡ì? managing ALM risk (under guidance from group Chief Investment Group treasury), and Officer Treasury ¡ì? taking advantage of positioning opportunities. JPM is not the only bank to have a structure like this. HSBC have a Balance Sheet Management group within Global US Defined Benefit Markets and Banking which carries out ALM management, Pension Plan credit portfolio management, money markets trading and some positioning activities. At Goldman Sachs the Corporate Corporate Treasury Unit - run by Liz Beshel - is arguably the nerve Acquisitions centre of the bank; carrying out strategic analysis, regulatory engagement, risk management and oversight and some prop Asset & Liability trading. Management Prop Traders J.P.Morgan CIO unit: quarterly revenues and VaR Revenue Quarterly Revenues and VaR of JPM CIO Unit VaR US$ million 95% confidence 2,500 90 80 2,000 70 1,500 60 50 1,000 40 500 30 20 - 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 10 -500 0 ALM/NII Prop/Principal Securities Gains VaR (RHS) Source: J.P.Morgan, Tricumen analysis 1/2 2 May 2012
  • 2. Market Update Notes & Caveats Tricumen Limited has used all reasonable care in writing, editing and presenting the information found in this report. All reasonable effort has been made to ensure the information supplied is accurate and not misleading. For the purposes of cross- market comparison, all numerical data is normalised in accordance to Tricumen¡¯s proprietary product classification and may contain +/-10% margin of error. The information and commentary provided in this report has been compiled for informational purposes only. We recommend that independent advice and enquiries should be sought before acting upon it. Readers should not rely on this information for legal, accounting, investment, or similar purposes. No part of this report constitutes investment advice, any form of recommendation, or a solicitation to buy or sell any instrument or to engage in any trading or investment activity or strategy. Tricumen does not provide investment advice or personal recommendation, nor will it be deemed to have done so. Tricumen Limited makes no representation, guarantee or warranty as to the suitability, accuracy or completeness of the report or the information therein. Tricumen Limited assumes no responsibility for information contained in this report and disclaims all liability arising from negligence or otherwise in respect of such information. Tricumen Limited is not liable for any damages arising in contract, tort or otherwise from the use of or inability to use this report or any material contained in it, or from any action or decision taken as a result of using the report. 2/2 2 May 2012