· 2017-09-21strategy guide no. 1 to prospectus dated december 1, 2005, prospectus supplement...

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0000891092-06-003641.txt : 200611290000891092-06-003641.hdr.sgml : 2006112920061128215233ACCESSION NUMBER:0000891092-06-003641CONFORMED SUBMISSION TYPE:FWPPUBLIC DOCUMENT COUNT:5FILED AS OF DATE:20061129DATE AS OF CHANGE:20061128

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FWP1e25653_fwp.htmSTRATEGY GUIDE NO. 1

Strategy guide No. 1 toprospectus dated December 1, 2005,
prospectus supplement dated October 12, 2006 and
product supplement No. 55-I dated November 22, 2006

STRATEGY GUIDE NO. 1 TO
PRODUCT SUPPLEMENT NO. 55-I
REGISTRATION STATEMENT NO. 333-130051
DATED NOVEMBER 28, 2006;RULE 433

Structured
Investments

Commodity-IGAR Strategy Guide

Key Features

Product Description

Methodology

Historic Hypothetical Performance

Constituents

Why Has Commodity-IGAR Demonstrated Strong Historical Performance?

Correlation with Market Benchmarks

Investment Universe Correlation Matrix

Composition of the Commodity-IGAR

Frequently Asked Questions

Risk Factors and Additional Terms

JPMorgan Chase & Co. has filed a registration statement (including a prospectus) with the SEC for any offeringsto which these materials relate. Before you invest in any offering of securities by JPMorgan Chase & Co., youshould read the prospectus in that registration statement, each prospectus supplement, as well as the particularproduct supplement, term sheet and any other documents that JPMorgan Chase & Co. has filed with the SEC relatingto such offering for more complete information about JPMorgan Chase & Co. and the offering of any securities. Youmay get these documents without cost by visiting EDGAR on the SEC Website at www.sec.gov. Alternatively, JPMorganChase & Co., any agent or any dealer participating in the particular offering will arrange to send you theprospectus and each prospectus supplement as well as any product supplement and term sheet if you so request bycalling toll-free 866-535-9248.

November 28, 2006

2 COMMODITY-IGAR STRATEGY GUIDE

Key Features

Provides exposure to the global commodities markets

Includes a broad universe of potential commodity constituents(currently 24)

Algorithms designed to replicate a synthetic investment,rebalanced monthly, in the best-performing commodities over the last 12 months displayingconsistent positive momentum (up to 12 sub-indices of the GSCI)

Formulated to capitalize on historic cyclicality in many commoditiesmarkets

Based on hypothetical historical analysis, this strategyhas achieved strong historical performance

Based on a momentum-driven JPMorgan Commodity Strategy

Product Description

The Commodity Investable Global Asset Rotator excess return(Commodity-IGAR) is a JPMorgan commodity strategy that compiles andrebalances a synthetic portfolio of commodity indices in a dynamic basket. The corefeature of the Commodity-IGAR is the monthly rotation of assets governed by a JPMorganalgorithmic allocation strategy, generally known as momentum investing.

The rebalancing methodology seeks to capitalize on positiverelative commodity market price trends based upon the underlying assumptionthat if certain commodities performed well in the past, they will continue toperform well in the future.

Methodology

The Commodity-IGAR is based on a JPMorgan commodity strategyand selects constituents from a universe of sub-indices (as listed under theConstituents section). The allocation among the constituents is rebalancedmonthly. The strategy synthetically invests in up to 12 sub-indices based upon:

Absolute historic performance

Consistent historic momentum

If the 12-month performance of a sub-index is positive, thenthe Commodity-IGAR tests the 12-month historical momentum via a monthly consistencytest. This test analyzes monthly performance, attributing greater weight to performancein recent months relative to earlier months. Sub-indices with consistent positivemomentum pass, while sub-indices with negative 12-month performance orinconsistent momentum, as determined by the algorithm, fail and are excluded.

Monthly synthetic exposure is awarded to up to 12sub-indices displaying the strongest positive performance that pass theconsistency test. All sub-indices within the synthetic basket are weighted 1/12of the synthetic portfolio. The excluded remaining sub-indices are given a zeroweighting, and if fewer than 12 sub-indices are included, a corresponding proportionof the synthetic basket is deemed uninvested. The synthetic basket is thereforecomposed of the strongest sub-indices based upon relative scoring under thehistoric performance and consistency tests.

The Commodity-IGAR level is publishedon each trading day by Bloomberg under ticker CMDTYER.

No assurance can be given that the investment strategy used toconstruct the Commodity-IGAR will be successful or that Commodity-IGAR will outperformany alternative basket or other investments. Past performance of the Commodity-IGARor certain commodities is not a guide to future performance and neither JPMorgannor any of its affiliates make any representation or warranty as to the resultsthat maybe obtained through the use of the Commodity-IGAR strategy.

COMMODITY-IGAR STRATEGY GUIDE 3

Historic Hypothetical Performance

Commodity-IGAR
ER
(hypothetical) Equally-weighted DJAIG GSCI

Volatility1

11.67%

12.69%

19.35%

Sharpe ratio2

Correlation3 with GSCI

Beta4 with GSCI

Note on Sources:

Commodity-IGAR historical performance dataprior to September 2006 is hypothetical because commodity-IGAR was institutedin September 2006. Historical performance data for Commodity-IGAR was computedby Commodity-IGAR calculation agent based on back testing using Commodity-IGARalgorithms and values of the component sub-indices. The data for the performanceof Commodity-IGAR on this hypothetical chart was calculated on materially thesame basis on which the performance of Commodity-IGAR is now calculated, but thenumber of GSCI sub-indices, and thus the universe of constituent sub-indices,has changed over time. Hypothetical performance data for Commodity-IGAR is net ofindex calculation costs of 0.96% per annum.

Any historical upward or downwardtrend in the level of Commodity-IGAR during this period is not an indicationthat Commodity-IGAR is more or less likely to increase or decrease duringparticular market cycles or over particular time periods, as past performanceof Commodity-IGAR is not a guide to future performance.

Equally-weightedrefers to the equally-weighted portfolio of all the GSCI excess returnsub-indices eligible for inclusion as a potential sub-index constituent in theCommodity-IGAR synthetic portfolio. Data concerning performance of thesub-indices is derived from Bloomberg Financial Markets (Bloomberg). We takeno responsibility as to the accuracy or completeness of in formation derivedfrom Bloomberg. GSCI refers to Goldman Sachs Excess Return Commodity Index.

1. Volatilitymeasures fluctuation in the market value of an asset. Mathematically, volatility is theannualized standard deviation of returns. 2. Sharpe Ratio is a risk-adjusted measure used to determineperformance per unit to frisk. The higher the Sharpe ratio, the better therisk-adjusted performance. 3. Correlation is a statistical measure of to what degreeprice movements in two asset classes are related. The range of possiblecorrelations is between -1 and +1. A result of -1 means a perfect negative(inverse) correlation, +1 means a perfect positive correlation, and 0 means no correlationat all. A positive correlation between two assets means that their market pricestend to move in up and down in tandem. 4. Beta measures an assets sensitivity to changes in thebenchmark. In this case the applicable benchmark is the GSCI. A beta of 1indicates that an asset will move with the benchmark, a beta of greater than1 indicates that the asset is more volatile than the benchmark, and less than 1 isless volatile than the benchmark.

Constituents

Asset

Bloombergticker

Asset

Bloombergticker

Energy

Agriculture

Brent Crude Oil

GSCCBRER

Soybean

GSCCSOER

WTI Crude Oil

GSCCCLER

GSCCWHER

Gas Oil

GSCCGOER

Coffee

GSCCKCER

Unleaded Gasoline

GSCCHUER

GSCCSBER

Heating Oil

GSCCHOER

Red Wheat

GSCCKWER

Natural Gas

GSCCNGER

Cotton

GSCCCTER

GSCCCCER

GSCCCNER

Industrial metals

GSCCIZER

Livestock

Nickel

GSCCIKER

Lean Hogs

GSCCLHER

GSCCILER

Live Cattle

GSCCLCER

Copper

GSCCICER

Feeder Cattle

GSCCFCER

Aluminum

GSCCIAER

Precious metals

Silver

GSCCSIER

GSCCGCER

Why Has Commodity-IGAR Demonstrated Strong Historical Performance?

Commodities prices are volatile and many commodities marketsare cyclical. Commodity-IGAR is designed to track a synthetic investment in arotating basket of sub-indices with positive absolute year-over-yearperformance and relatively consistent positive momentum. Although past performancecannot assure future results, this strategy is designed to achieve exposure torecent relative out performers in order to capture potential momentum-relatedfuture appreciation. The strategy does not synthetically invest in sub-indices withyear-over-year negative absolute performance or inconsistent positive momentum.

Commodity-IGARs momentum-based asset rotation algorithms haveattained stronger historical returns than the GSCI (see Historic HypotheticalPerformance on the previous page). This is because only sub-indices displayingconsistent positive momentum and positive performance are available forinclusion in the synthetic basket. Based on hypothetical historical analysis theJPMorgan commodity strategy yields higher returns and lower volatility thanthis bench mark commodity index.

Correlation with Market Benchmarks

Hypothetical historical analysisshows that Commodity-IGAR has limited correlation to the major asset classes,other than commodities.

Equity global is represented by the MSCI World
Equity US isrepresented by Standard & Poors 500 Total Return Index
Corporate bonds arerepresented by the Lehman Aggregate
Government bonds are represented by JPMorganHedged USD GBI Global Index
The T-bill component of the Total Return GSCIIndex has been subtracted from the four above benchmark indices for thepurpose of correlation calculations
Commodities are represented by GoldmanSachs Excess Return Commodity Index
Source: JPMorgan. Information is calculatedfor the period April1993 to September 2006
Returns for Commodity-IGAR are net ofindex calculation costs of 0.96% per annum

Investment Universe Correlation Matrix

Source: JPMorgan. Information is calculated for the periodJanuary 1991 to June 2006. Performance calculations from and including the firstavailable publication date for each sub-index. Correlation calculations fromand including the first available publication date for the most recent sub-indexin the pair.

Composition of the Commodity-IGAR

Commodity-IGAR Monthly Constituents (January 2006November 2006)

January

Feeder
Cattle
GSCCFCER

Lead
GSCCILER

Brent Crude
GSCCBRER

Gold
GSCCGCER

Sugar
GSCCSBER

Copper
GSCCICER

Aluminium
GSCCIAER

Heating Oil
GSCCHOER

WTI
Crude Oil
GSCCCLER

Silver
GSCCSIER

Live Cattle
GSCCLCER

Zinc
GSCCIZER

February

Red Wheat
GSCCKWER

Lead
GSCCILER

Brent crude
GSCCBRER

Gold
GSCCGCER

Sugar
GSCCSBER

Copper
GSCCICER

Aluminium
GSCCIAER

Gasoline
GSCCHUER

WTI
Crude Oil
GSCCCLER

Heating Oil
GSCCHOER

Silver
GSCCSIER

Zinc
GSCCIZER

Red Wheat
GSCCKWER

Lead
GSCCILER

Gold
GSCCGCER

Sugar
GSCCSBER

Copper
GSCCICER

Aluminium
GSCCIAER

Silver
GSCCSIER

Zinc
GSCCIZER

Red Wheat
GSCCKWER

Lead
GSCCILER

Brent Crude
GSCCBRER

Gold
GSCCGCER

Sugar
GSCCSBER

Copper
GSCCICER

Aluminium
GSCCIAER

Silver
GSCCSIER

Zinc
GSCCIZER

Red Wheat
GSCCKWER

Lead
GSCCILER

Brent Crude
GSCCBRER

Gold
GSCCGCER

Sugar
GSCCSBER

Copper
GSCCICER

Aluminium
GSCCIAER

Gasoline
GSCCHUER

WTI
Crude Oil
GSCCCLER

Silver
GSCCSIER

Zinc
GSCCIZER

Nickel
GSCCIKER

Red Wheat
GSCCKWER

Lead
GSCCILER

Brent Crude
GSCCBRER

Gold
GSCCGCER

Sugar
GSCCSBER

Copper
GSCCICER

Aluminium
GSCCIAER

Gasoline
GSCCHUER

WTI
Crude Oil
GSCCCLER

Silver
GSCCSIER

Zinc
GSCCIZER

Nickel
GSCCIKER

Red Wheat
GSCCKWER

Gas Oil
GSCCGOER

Brent Crude
GSCCBRER

Gold
GSCCGCER

Sugar
GSCCSBER

Copper
GSCCICER

Aluminium
GSCCIAER

Gasoline
GSCCHUER

WTI
Crude Oil
GSCCCLER

Silver
GSCCSIER

Zinc
GSCCIZER

Nickel
GSCCIKER

August

Red Wheat
GSCCKWER

Lead
GSCCILER

Brent Crude
GSCCBRER

Gold
GSCCGCER

Sugar
GSCCSBER

Copper
GSCCICER

Gasoline
GSCCHUER

Silver
GSCCSIER

WTI
Crude Oil
GSCCCLER

Zinc
GSCCIZER

Nickel
GSCCIKER

September

Feeder
Cattle
GSCCFCER

Red Wheat
GSCCKWER

Lead
GSCCILER

Gold
GSCCGCER

Wheat
GSCCWHER

Copper
GSCCICER

Silver
GSCCSIER

Live Cattle
GSCCLCER

Zinc
GSCCIZER

Nickel
GSCCIKER

October

Red Wheat
GSCCKWER

Lead
GSCCILER

Wheat
GSCCWHER

Copper
GSCCICER

Silver
GSCCSIER

Zinc
GSCCIZER

Nickel
GSCCIKER

November

Red Wheat
GSCCKWER

Lead
GSCCILER

Gold
GSCCGCER

Wheat
GSCCWHER

Aluminium
GSCCIAER

Corn
GSCCCNER

Silver
GSCCSIER

Zinc
GSCCIZER

Nickel
GSCCIKER

Frequently Asked Questions

Why obtain commodity exposure throughCommodity-IGAR?

Commodity-IGAR introduces selectivityinto a commodity portfolio, as it is designed to synthetically allocate only intoindividual commodities that have shown consistent momentum and positive performance.As an additional feature, Commodity-IGAR is designed to allow investors to havea tactical long exposure to commodities if the overall commodity market has shownpositive performance in the recent past, but a potentially reduced exposure ina persistently bear market.

Can Commodity-IGAR invest in morethan 12 constituents? What happens if fewer than 12 constituents pass the consistencytest and post a positive performance over the last 12 months?

Commodity IGAR for any givenmonth will be a synthetic portfolio of up to twelve sub-indices meeting theperformance and consistency tests, each weighted as one-twelfth of thesynthetic portfolio. If more than twelve sub-indices meet the tests, then theCommodity IGAR will include the twelve components displaying the strongest positiveperformance.

In the event that fewer than twelve of the constituent sub-indices meet the performance and consistency tests, the synthetic portfolio will consist of the sub-indices, if any, that pass the tests, each weighted one-twelfth, with the remainder of the portfolio deemed uninvested. As a result, during monthly periods in which few or none of the sub-indices meet the performance and consistency tests, the Commodity-IGAR synthetic portfolio will be largely or entirely (if no sub-indices meet the tests) uninvested. The performance of the Commodity IGAR for any monthly period will be the performance of the synthetic portfolio over that monthly period,less a deemed calculation agent at a rate of 0.96% per year deducted daily and calculated on a 30/360 accrual basis.

What happens if the one of the GSCI sub-indices materially changes?

The COMIGAR Calculation Agent (J.P. Morgan Securities Ltd.) may determine a successor index or modify the Commodity-IGAR rules to make such change as it deems appropriate.

Risk Factors

An investment in the notes involvessignificant risks. Investing in the notes is not equivalent to investingdirectly in the GSCI constituent sub-indices, in any of the commodities whosefutures contracts determine the levels of the GSCI constituent sub-indices, orin any contracts relating to such commodities for which there is an activesecondary market. These risks are explained in more detail in the Risk Factorssection of the product supplement no. 55-I dated November 22, 2006.

Commodity prices are characterizedby high and unpredictable volatility, which could lead to high and unpredictablevolatility in Commodity-IGAR.

Market prices of the commodity optionsfutures contracts underlying the constituent sub-indices that composeCommodity-IGAR tend to be highly volatile and may fluctuate rapidly based onnumerous factors, including: changes in supply and demand relationships; governmentalprograms and policies, national and international monetary, trade, political andeconomic events, changes in interest and exchange rates, speculation andtrading activities in commodities and related contracts, weather, andagricultural, trade, fiscal and exchange control policies. Many commodities arealso highly cyclical. These factors may affect the level of the constituent sub-indicesand the level of Commodity-IGAR in varying ways, and different factors may causethe value of different commodities included in Commodity-IGAR, and the commodityfutures contracts of their prices, to move in inconsistent directions at inconsistentrates. This, in turn, will affect the value of the notes linked to theCommodity-IGAR.

Commodity-IGAR provides oneavenue for exposure to commodities. The high volatility and cyclical nature of commoditymarkets may render these investments in appropriate as the focus of aninvestment portfolio. However, commodities investments may fluctuate independentlyof stock and bond investments, rendering moderate exposure a method of obtainingoverall portfolio diversification.

An investment in the notes carriesthe risks associated with Commodity-IGAR momentum investment strategy.

Commodity-IGAR employs amathematical model intended to implement what is generally known as a momentuminvestment strategy, which seeks to capitalize on consistent positive market pricetrends based on the supposition that consistent positive market price trends maycontinue. This strategy is different from a strategy that seeks long-term exposureto a portfolio consisting of constant components. Commodity-IGAR strategy may failto realize gains that could occur as a result of holding a commodity that has experiencedprice declines, but after which experiences a sudden prices pike. Further, the rulesof Commodity-IGAR limit exposure to rapidly appreciating sub-indices. This is becauseCommodity-IGAR rebalances its exposure to sub-indices each month so that theexposure to anyone sub-index does not exceed one-twelfth of the total syntheticportfolio as of the time of a monthly rebalancing. By contrast, a synthetic portfoliothat does not rebalance monthly in this manner could see greater compoundedgains over time through exposure to a consistently and rapidly appreciatingsub-index.

No assurance can be given that theinvestment strategy used to construct Commodity-IGAR will be successful or thatCommodity-IGAR will outperform any alternative basket that might be constructedfrom the constituent sub-indices. Furthermore, because the rules of Commodity-IGARlimit the synthetic portfolio to holding only to sub-indices that have shownconsistent positive price appreciation, the synthetic portfolio may experienceperiods where it holds few or no sub-indices, and therefore is unlikely duringsuch periods to achieve returns that exceed the returns realized by otherinvestment strategies or be able to capture gains from other appreciating as setsin the market that are not included in the universe of constituent sub-indices.

Risk Factors (continued)

Commodity-IGAR may perform poorlyduring periods characterized by short-term volatility.

Commodity-IGARs strategy is basedon momentum investing. Momentum investing strategies are effective at identifyingthe current market direction in trending markets. However, in non-trending,side ways markets, momentum investment strategies are subject to whipsaws. Awhipsaw occurs when the market reverses and does the opposite of what is indicatedby the trend indicator, resulting in a trading loss during the particularperiod. Consequently, Commodity-IGAR may perform poorly in non-trending,choppy markets characterized by short-term volatility.

Higher future prices of the commodityfutures contracts constituting the constituent sub-indices relative to their currentprices may affect the level of the Commodity-IGAR.

The constituent sub-indices arecomposed of futures contracts on physical commodities. Unlike equities, whichtypically entitle the holder to a continuing stake in a corporation, commodity futurescontracts normally specify a certain date for delivery of the underlying physicalcommodity. As the exchange-traded futures contracts that compose theconstituent sub-indices approach expiration, they are replaced by contracts thathave a later expiration. Thus, for example, a contract purchased and held inAugust may specify an October expiration. As time passes, the contract expiringin October is replaced by a contract for delivery in November. This process is referredto as rolling. If the market for these contracts is (putting aside otherconsiderations) in backwardation, where the prices are lower in the distant deliverymonths than in the nearer delivery months, the sale of the October contract wouldtake place at a price that is higher than the price of the November contract,there by creating a roll yield. While many of the contracts included in theconstituent sub-indices have historically exhibited consistent periods of backwardation,backwardation will most likely not exist at all times. The absence of backwardationin the commodity markets could result in negative roll yields, which could adverselyaffect the value of the constituent sub-indices and thus the level of Commodity-IGAR.

Some of the potential constituentsub-indices will be subject to pronounced risks of pricing volatility.

As a general matter, the risk of lowliquidity or volatile pricing around the maturity date of a commodity futures contractis greater than in the case of other futures contracts because (among otherfactors) a number of market participants take physical delivery of theunderlying commodities. Many commodities, like those in the energy andindustrial metals sectors, have liquid futures contracts that expire every month.Therefore, these contracts are rolled forward every month. Contracts based oncertain other commodities, most not ably agricultural and livestock products,tend to have only a few contract months each year that trade with substantial liquidity.Thus, these commodities, with related futures contracts that expire infrequently,roll forward less frequently than every month, and can have further pronounced pricingvolatility during extended periods of low liquidity. In respect of sub-indices thatrepresent energy, it should be noted that due to the significant level of its continuousconsumption, limited reserves, and oil cartel controls, energy commodities aresubject to rapid price increases in the event of perceived or actual shortages.

Commodity-IGAR is not a fully diversifiedportfolio.

Diversification is generally consideredto reduce the amount of risk associated with generating returns. However, therecan be no assurance that Commodity-IGAR will be sufficiently diversified at anytimeto reduce or minimize such risks to any extent.

Risk Factors (continued)

The Commodity-IGAR synthetic portfolio will not replicate the components or weightings of the GSCI CommodityIndex.

The synthetic portfolioreferenced from time to time by Commodity-IGAR will consist of between zero andtwelve equally-weighted components. By contrast, the GSCI Commodity Index seeksto allocate weights based on the relative importance of component commodities withinthe overall economy. In addition, a portion or even all of Commodity-IGARsynthetic portfolio could be deemed uninvested in any given month. For example,three-twelfths of the current Commodity-IGAR synthetic portfolio is deemeduninvested. As a result, Commodity-IGAR will not track an econometric-weighted commodityportfolio or assume constant exposure to commodity positions.

Prior to maturity, the value of thenotes will be influenced by many unpredictable factors.

Many economic and market factors willaffect the value of notes linked to Commodity-IGAR. We expect that, generally,the level of the constituent sub-indices and interest rates on any day will affectthe value of such notes more than any other single factor. However, you should not expect the value of such notes in thesecondary market to vary in proportion to changes in the level of theconstituent sub-indices. The value of such notes will be affected by a numberof other factors that may either offset or magnify each other, including:

the volatility in theconstituent sub-indices;

the time to maturity of suchnotes;

the market price of thephysical commodities upon which the futures contracts that compose theconstituent sub-indices are based;

interest and yield rates inthe market generally;

economic, financial,political, regulatory, geographical, agricultural, meteorological or judicial eventsthat affect the commodities underlying the constituent sub-indices or markets generallyand which may affect the value of the commodity futures contracts, and thus theclosing levels of the constituent sub-indices; and

our creditworthiness.

Additional Terms Relevant to the Notes

You should read this material togetherwith the prospectus dated December 1, 2005, as supplemented by the prospectus supplementdated October 12, 2006, relating to our Series E medium-term notes, whichinclude the notes, and the more detailed information for this issuance containedin product supplement no. 55-I dated November 22, 2006. In addition, you shouldread the term sheet and pricing supplement for the notes, which contain specificinformation regarding the issuance, when those documents become available.

This document, the prospectus,prospectus supplement and product supplement contain certain terms for thenotes and supersede all prior or contemporaneous oral statements and writtenmaterial concerning the notes. For each specific issuance of notes, we will alsoissue a term sheet and pricing supplement, which will containterms for the notes and will also supersede all prior or contemporaneous oral statementsand other written material concerning the notes. In the event of any inconsistencybetween the materials presented here and any such product supplement, termsheet and/or pricing supplement, such product supplement, term sheet and/orpricing supplement will govern.

You should carefully consider,among other things, the matters set forth in Risk Factors in product supplementno. 55-I, dated November 22, 2006, as the notes involve risks not associatedwith conventional debt securities. We urge you to consult your investment,legal, tax, accounting and other advisers before you invest in the notes.

Additional Terms Relevant to the Notes

You may access some of theabove-mentioned documents on the SEC Web site at www.sec.govas follows (or if such address has changed, by reviewing our filings for therelevant date on the SEC Web site where our Central Index Key is 19617):

Product supplement no. 55-I dated November 22, 2006
http://www.sec.gov/Archives/edgar/data/19617/000089109206003597/e25608_424b2.pdf

Prospectus supplement dated October 12, 2006
http://www.sec.gov/Archives/edgar/data/19617/000089109206003117/e25276_424b2.pdf

Prospectus dated December 1, 2005
http://www.sec.gov/Archives/edgar/data/19617/000089109205002389/e22923_base.txt

IRS Circular 230 Disclosure:JPMorgan Chase & Co. and its affiliates do not provide tax advice.Accordingly, any discussion of U.S. tax matters contained herein (including anyappendix) is not intended or written to be used, and cannot be used, inconnection with the promotion, marketing or recommendation by anyoneunaffiliated with JPMorgan Chase & Co. of any of the matters addressedherein or for the purpose of avoiding U.S. tax-related penalties.

This page has been left intentionally blank.

Strategy guide No. 1 to prospectus dated December 1, 2005,
prospectus supplement dated October 12, 2006 and
product supplement No. 55-I datedNovember22,2006

Structured
Investments

JPMorgan Chase & Co. has fileda registration statement (including a prospectus) with the SEC for any offeringsto which these materials relate. Before you invest in any offering of securitiesby JPMorgan Chase & Co., you should read the prospectus in that registrationstatement, each prospectus supplement, as well as the particular product supplement,term sheet and any other documents that JPMorgan Chase & Co. has filed withthe SEC relating to such offering for more complete information about JPMorganChase & Co. and the offering of any securities. You may get these documentswithout cost by visiting EDGAR on the SEC Website at www.sec.gov.Alternatively, JPMorgan Chase & Co., any agent or any dealer participatingin the particular offering will arrange to send you the prospectus and each prospectussupplement as well as any product supplement and term sheet if you so request bycalling toll-free 866-535-9248.

GRAPHIC2chart1.jpgGRAPHIC

begin 644 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· 2017-09-21strategy guide no. 1 to prospectus dated december 1, 2005, prospectus supplement...

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