J.P. Morgan Structured Products B.V.
JPMorgan Chase Bank, National Association
J.P. Morgan Securities Ltd. J.P. Morgan Securities (Asia Pacific) Limited
(
) 2007 7 3
2007
8
27
2007
10
30
2007
6
30
J.P.Morgan Securities (Asia Pacific) Limited) 25
8
Copies of our base listing document, any addendum, this supplemental disclosure document and the relevant supplemental listing document (together with a Chinese translation of each of these documents) and other documents listed under the section Where can I read copies of the Issuer's documentation? in the relevant supplemental listing document may be inspected at the offices of J.P. Morgan Securities (Asia Pacific) Limited, 25/F, Chater House, 8 Connaught Road, Central, Hong Kong.
2007
6
30
......................... ..............................................
3 50
–2–
2007 25
6
30
*
J.P.Morgan Securities (Asia Pacific) Limited
8
–3–
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
JPMorgan Chase & Co.
–4–
2007
2006 2007
6 6
30 30
............................... 2006 12 31 ...................
3 4
2007
2006
6
30 2007
....................................... 2006 6 30 .............
5 6 7-42
.................................................
............................................ ............................................
43 44
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45-46
2 –5–
JPMorgan Chase & Co.
6 2007
30 2006
6 2007
30 2006
$
1,173 2,344 938 2,425 (225) 516 775 517 8,463
$
742 2,088 853 2,015 (503) 205 757 643 6,800
$
2,059 5,436 1,822 4,584 (227) 986 1,479 947 17,086
$
1,372 4,966 1,681 4,017 (615) 440 1,554 1,121 14,536
14,687 9,081 5,606 14,069
12,203 7,764 4,439 11,239
28,596 17,653 10,943 28,029
23,230 14,579 8,651 23,187
1,028
262
1,645
716
4,619 596 791 875 159 1,696 171 61 8,968
3,774 507 781 754 142 1,652 171 76 7,857
9,246 1,183 1,622 1,684 310 3,161 341 119 17,666
7,907 1,057 1,538 1,446 268 3,107 342 119 15,784
4,073 1,402 2,671
3,120 1,124 1,996 49 $ 2,045 $
8,718 3,081 5,637
6,687 2,414 4,273 94 $ 4,367
$
2,671
5,637
3 –6–
JPMorgan Chase & Co.
12 $ 2007 13,976 2007 62,581 2007 45,032 2006 12 2007 31 6 2007 60 30 6 30 51 50 1,240 410,214 (5,598) 404,616 27,444 8,275 25,919 9,499 192 3,637 28,052 $1,252,369 6 30 56,453 2006 12 31 92,611 6 30 81,771 2006 12 31 350,718 6 30 176,003 49,232 34,091 42,030 $
2006 31 37,841 13,412
201,458 42,784 284,282 88,429 58 421,833 (5,170) 416,663 22,564 7,986 25,939 7,546 190 3,887 26,351 $1,179,390
2007
6
30
2,039
2007 2007
6 6
30 30
1,766 3,868 2007 6 30
$ 123,096 316,883 5,977 217,349 663,305
$ 139,234 307,836 7,773 185,623 640,466 157,309 14,664 125,035 62,235 11,802 71,256 613 1,083,380
6,956 2007 2006 2,437 2006 12 2007 31 6 12 31 523
6
30 2007 2007 6 6 30 30
9,576 766
191,678 26,007 125,965 56,926 7,803
30 24,149
52,236 81,697 600 1,153,981 23
1 15,000,000 12 148,765,000 148,761,243
1,785 60,462 37,745 (1,604) 98,388 $1,252,369
1,785 60,431 34,721 (927) 96,010 $1,179,390
4 –7–
JPMorgan Chase & Co.
6
30 2007 2006
$
1,785
$
1,785
1
1 JPMorgan Chase & Co. JPMorgan Chase & Co.
60,431 2 29 60,462
59,504 7 (25) 59,486
1
1
34,721 956 35,677 5,637 (3,500) (69) 37,745
25,711 172 25,883 4,367 (1,000) (55) 29,195
JPMorgan Chase & Co.
1
1
(927) (1) (928) (676) (1,604) $ 98,388 $
(650) (650) (454) (1,104) 89,362
$ $
5,637 (676) 4,961
$ $
4,367 (454) 3,913
5 –8–
JPMorgan Chase & Co.
6
30 2007 $ 5,637 1,645 1,114 341 (154) 227 (61,441) 69,127 (49,748) (6,448) (4,880) (3,824) 2,775 (4,595) (210) (50,434) $ 2006 4,367 716 1,000 342 1,288 615 (76,071) 70,168 (51,280) (5,026) (7,711) 1,305 1,085 5,135 (48) (54,115)
(28,618) 25,431 8 12,567 40,565 (59,084) 15,733 (27,907) (70) (3,412) (24,787)
8,144 (29,943) 10 11,561 66,049 (111,339) 6,659 (29,108) (4,855) 1,848 (80,974)
22,514 34,389 11,239 25,933 (19,509) (3,500) 275 71,341 130 (3,750) 37,841 $ $ 34,091 17,925 1,737 $ $
71,737 59,647 (721) 17,091 (12,372) (1,000) 2,312 136,694 181 1,786 35,280 37,066 14,036 750
6 –9–
45
46
JPMorgan Chase Bank, National Association JPMorgan Chase Bank, N.A. JPMorgan Chase JPMorgan Chase Bank, N.A.
JPMorgan Chase & Co.
JPMorgan Chase Bank, N.A. Office of the Comptroller of the Currency JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 1968 11 26 2004 11 13 JPMorgan Chase Bank, N.A.
OCC
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A. 2006 12 31 2006
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A.
SFAS 140 FIN 46R JPMorgan Chase Bank, N.A. SFAS 140
7 – 10 –
JPMorgan Chase Bank, N.A. 26 33 16 FIN 46R (3)
FIN 46R (1) (2)
FIN 46R JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 34 17 FIN 46R JPMorgan Chase Bank, N.A. SFAS 159 35
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. N.A. JPMorgan Chase Bank,
2006
7 FIN 48
FIN 48
SFAS 109 JPMorgan Chase Bank, N.A. FIN
48 Bank, N.A. 531 FIN 48 113
2007
1
1 39 644 40 JPMorgan Chase 21
2006
7 2007
FSP FAS 13-2 1 1 JPMorgan JPMorgan Chase Bank, N.A.
Chase Bank, N.A.
2006
9
SFAS 157
2007
11
15
EITF 02-3 JPMorgan Chase Bank, N.A.
8 – 11 –
JPMorgan Chase Bank, N.A. 2007 EITF 02-3 N.A. SFAS 157
1
1
SFAS 157
252 JPMorgan Chase Bank, JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A. SFAS 157 JPMorgan Chase Bank, N.A. N.A. 10 15 4
2007 103 JPMorgan Chase Bank, N.A. SFAS 157 JPMorgan Chase Bank, JPMorgan Chase Bank, N.A. SFAS 157
2007
2
SFAS 159 SFAS 159
2007
11
15
SFAS 159
176 16 19
JPMorgan Chase Bank, N.A. 2007 1 JPMorgan Chase Bank, N.A. 5
1 SFAS 159
2007
4
FSP FIN 39-1 2007
11
15
2007
6
AICPA
SOP 07-1
SOP 07-1 FSN FIN 46(R)-7 FIN 46R FSP FIN 46(R)-7 SOP SOP 07-1 JPMorgan Chase Bank,
N.A.
2007 5 FIN 46R JPMorgan Chase Bank, N.A. 2008 1 1 SOP 07-1 FSP FIN 46(R)-7
2007 SLM
4
16
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 2007
250 22 SLM 24.9%
9 – 12 –
2006
9
SFAS 157
2007
11
15
EITF 02-3 JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. SFAS 159
2007 2007
1 1
1 1
SFAS 157 SFAS 159
JPMorgan Chase Bank, N.A. 16 19 5
JPMorgan Chase Bank, N.A. SFAS 159 JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A.
AA
JPMorgan Chase Bank, N.A. SFAS 157 N.A. 2007 1 1 JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. (1) (2) (3) JPMorgan Chase Bank,
10 – 13 –
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A.
SFAS 157
JPMorgan Chase Bank, N.A.
11 – 14 –
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A.
29
33
16
35
37
18
12 – 15 –
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.
2007
6
30
SFAS 157
2007
6
30
(a)
$ 158,027 4,972 162,999 88,963
$
13,976 130,083 706,024 836,107 3,636 9 40
$ 7,735 8,113 15,848 12 1,231 9,499 937 $ $ 27,527 987
$
$
13,976 295,845 54,873 350,718 92,611 1,240 9,499 2,039
(664,236) (664,236)
(a)
1,062 $ 253,024 $
$ 853,768 $ 4,647 6,956 9,576
$ (664,236) $
$ 470,083 $ 5,634 6,956 9,576
53,635 5,029 58,664
11,999 707,737 719,736
243 9,828 10,071
(662,506) (662,506)
65,877 60,088 125,965
2,412 32,369 $
(a) JPMorgan Chase Bank, N.A.
25 19,867 $ 30,950 $ (662,506)
2,437 52,236 $ 202,804
FIN 39
58,664
$ 775,696
13 – 16 –
JPMorgan Chase Bank, N.A.
2007
6
30
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.
(a)
2007 6 30
$ 6,377 71 676 908
$
110(b) 42(c) 13(b) 41(d)
$
288 (10) 542 (37)
$
960 (91) 25
$ 7,735 12 1,231 937
$
109(b) 1(c) 11(b) 35(d)
$
(443) (7) (2,519)
$
23(b) (52) (b) 647(b)
$
(420) 5 (761)
$
(147) (189) 918
$
(987) (243) (1,715)
$
32(b) 1(b) 215(b)
(2) (13,121)
(a) (b) (c) (d)
(379) (b)
(3,697)
(23) (2,670)
(25) (19,867)
35 37
(334) (b)
18
14 – 17 –
(a)
2007 6 30
$ 6,691 71 435 1,004
$
169(b) 42(c) 19(b) 41(d)
$
337 (10) 777 (133)
$
538 (91) 25
$ 7,735 12 1,231 937
$
96(b) 1(c) 14(b) 32(d)
$
(445) (16) (2,478)
$
18(b) (52) (b) 738(b)
$
(413) 14 (848)
$
(147) (189) 873
$
(987) (243) (1,715)
$
29(b) 1(b) 280(b)
(8) (11,046)
(a) (b) (c) (d)
6(b) (684) (b) (5,467)
(23) (2,670)
(25) (19,867)
35 37
6(b) (347) (b)
18
2007 8 58 113
6
30
72 2007
JPMorgan Chase Bank, N.A. 252 165 Bank, N.A. SFAS 157
SFAS 157 EITF 02-3 103 JPMorgan Chase
JPMorgan Chase Bank, N.A. (a) (b) JPMorgan Chase Bank, N.A.
EITF 02-3
EITF 02- 3 (c)
15 – 18 –
2007
2
SFAS 159
2007
11
15 2007 1 1
JPMorgan Chase Bank, N.A. SFAS 159 JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 2007 1 1
(c)
(d)
$
(a) (b)
11,717 27,751 552 596 (4,486) (6,325) (5,179) (2,339) (36,706)
$
(24) 32 55 11 21 20 (4) 5 165 281 (106) 1
$
11,693 27,783 607 607 (4,465) (6,305) (5,183) (2,334) (36,541)
SFAS 159
SFAS 159
(a) (b) (c) SFAS 155 (d) JPMorgan Chase Bank, N.A.
$
176
JP Morgan Chase Bank N.A.
2007
1
1
JPMorgan Chase Bank, N.A. 56
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. SFAS 133 2007 1 1 2007 1 1
29
33
16
16 – 19 –
JPMorgan Chase Bank, N.A.
26
13
2007
1
1
JPMorgan Chase Bank, N.A. SFAS 155
2007
6
30
2007
6
30
$
(29) 327 (7) 1
$ (23)
$
$
(29) 304 (7) 1 50 103 29 (120) (59) (49) 18 (1,102)
50 103 29 (120) (59) (49) 18 (1,102)
17 – 20 –
2007
6
30
$ 776 3 8
$ 183
$
$ 959 3 8 44 (42) 24 (158) (69) (49) 69 (946)
44 (42) 24 (158) (69) (49) 69 (946)
(a)
(b) (c) JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A. SFAS 155
JPMorgan Chase Bank, N.A.
18 – 21 –
SFAS 159
2007
6
30
2007
6
30
90
$ 14
$ 14
$
3,529 3,543 1,200 52,418 $ 57,161 $
1,996 2,010 1,196 54,680 57,886 $
(1,533) (1,533) (4) 2,262 725
$ (15,144)
(a)
$ (15,303) (36,933) $ (52,236)
$
159
$
(a)
(15)
$
(9) (2,428) (2,437)
$
(6)
$
(a)
SFAS 159
JPMorgan Chase Bank, N.A. Chase Bank, N.A. SFAS 159 N.A.
JPMorgan JPMorgan Chase Bank, JPMorgan Chase Bank, N.A.
10
15
4
19 – 22 –
2006
12
31
$
(a)
17,031 8,244 175 366 65,208 54,868 79,505 56,690 13,758 295,845
$
12,885 7,029 27 4,860 58,388 44,285 79,785 16,507 9,358 233,124
(b)
29,452 4,325 8,899 6,178 6,019 54,873 $ 350,718
26,673 4,231 5,740 6,027 8,487 51,158 $ 284,282
(c) (b)
$
65,877
$
69,689
20,507 8,677 21,134 5,688 4,082 60,088 $ 125,965
(a) (b) 12 (c) SFAS 159 2007 31 230 188 6 30 226 209
21,673 5,561 16,042 6,233 5,837 55,346 $ 125,035
2006
20 – 23 –
6 2007 $283,606 57,148
(a)
30 2006 $210,569 57,617 $ 85,971 58,115 2007
6
30 2006 $203,293 53,431 $ 85,107 55,012
$273,033 55,944 $ 70,916 58,139
$ 71,229 60,798
(a)
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.
6 2007
30 2006 2007
6
30 2006
$
360 560 920 253
$
222 378 600 142
$
525 1,085 1,610 449
$
319 719 1,038 334
$
1,173
$
742
$ 2,059
$ 1,372
SFAS 159 SFAS 159 2006 36 18 36 37 17
21 – 24 –
JPMorgan Chase Bank, N.A.
12
6 2007
(a)
30 2006 $ 6,691 996 1,751 1,615 409 420 321 12,203 4,108 2,616 533 507 7,764 4,439 262 $ 4,177 2007
6
30 2006 $ 12,971 1,634 3,442 3,119 777 635 652 23,230 7,749 4,894 1,039 897 14,579 8,651 716 $ 7,935
$
7,244 1,315 2,844 2,485 602 197 14,687
$ 14,154 2,592 5,432 4,873 1,170 375 28,596 10,153 6,436 855 209 17,653 10,943 1,645 $ 9,298
(a)
5,277 3,280 438 86 9,081 5,606 1,028 $
(a) SFAS 133
4,578
22 – 25 –
JPMorgan Chase Bank, N.A. Chase Bank, N.A.2006 14
OPEB 19 8
JPMorgan
JPMorgan Chase Bank, N.A. OPEB
6
30 2006 $ 3 6 $ 1 3 $ 9 35 (37) 14 1 9
(a)
OPEB 2006 $ 7 28 (30) 11 3 19 10 29 45 $ 74 $ $ $ 2006 $
4 4 47 $ 51 $
22 6 28 57 85
9 52 $ 61
6
30 2006 $ 4 8 $ 2 7 $ 18 71 (75) 27 1
(a)
OPEB 2006 $ 14 56 (59) 21 1 3 36 16 52 89 $ 141 $ $ 1 2006 $ 1
12 1 13 100 $ 113
9 1 10 94 $ 104
42 14 56 110 $ 166
1 1 1 $
1 1 1
(a)
2007 2007 OPEB 3
6 25
30
2006
12
31
28 115
JPMorgan Chase Bank, N.A. 30 105 6 30
2007 54 52 OPEB 0.2 2007 2006 JP Morgan Chase Bank, N.A. 1 2007 2006
2006 6 108 2007 2006 3
JPMorgan Chase Bank, N.A. Bank, N.A.2006 10-K
7
OPEB 2007 6 23 – 26 –
30
10-Q
JPMorgan Chase 8
JPMorgan Chase Bank, N.A.2006 22 9 JPMorgan Chase Bank, N.A. SFAS 123R (SARs)
20
2006 1 1 SFAS 123R
SFAS 123R
JPMorgan Chase Bank, N.A. STAS 123R JPMorgan Chase Bank, N.A. 2006 JPMorgan Chase Bank, N.A. 2006
JPMorgan
Chase Bank, N.A. JPMorgan Chase Bank, N.A. 2006 6 30 SFAS 123R 897 SFAS 123R 98 JPMorgan Chase Bank, N.A. JPMargan Chase & Co. 2007 (RSUs) 2007 75 2007 401 79 2006 2006 2006 6 30 402 2007 441 674
2007
163
200
JPMorgan Chase Bank, N.A. 48.25
27
JPMorgan Chase Bank, N.A. N.A.2006 10-K 8
2007
6
30
10-Q
JPMorgan Chase Bank, 9
Bank One 42
6 2007 $ 10 50 1 $ 61 $ 30 2006 $ 8 13 55 76 2007 $ 1 10 92 16 119
26
6 30 2006 $ 3 13 103 119
(a) (b)
$
$
(a) (b)
Bank One
6 2007 $ 155 103 (125) 133 (a) $ 30 2006 306 119 (215) 210
$
(a) 12
$
24 – 27 –
JPMorgan Chase Bank, N.A.2006
23
25
11
6 2007 $
(a)
30 2006 $ 45 (548) (503) 2007 $
6
30 2006 $ 139 (754) (615)
23 (248) (225)
6 30
50 (277) (227)
2%
$
2007 2006
$
$
$
(a)
2006
12
31
(a)
$ 1,055 9 75 80,374 214 6,144 2,514 1,690 1,776 $ 93,851
(b)
$ 5 29 6 231 4 $ 275
$
1
1,427 4 77 6
$ 1,054 9 80 78,976 210 6,073 2,508 1,921 1,780 $ 92,611
$ 2,038 32 78 75,410 381 6,150 610 1,278 2,502 $88,479
$ 2 8 334 13 7 1 125 3 $ 493
$
23 1 460 1 52 3 1 2
$ 2,015 33 86 75,284 393 6,105 608 1,402 2,503 $ 88,429
$1,515
$ 543
$
(a) (b)
50
$
1
$
$
51
$
58
$
2
$
$
60
2007
6
30 AAA 12 4%
15
12
402
2007
6
30
25 – 28 –
JPMorgan Chase Bank, N.A.2006
25
12
2007 19 5
1
1
SFAS 159, JPMorgan Chase Bank, N.A. SFAS 159
16
SFAS 133 ( FIN 41
(
(a)
2006 $ 155,126 49,232 $ 169,188 9,318
140 70
12
31
$ 160,896 42,784 $ 137,918 7,061
(b)
(a) (b)
2007 2007
6 6
30 30
JPMorgan Chase Bank, N.A.
2007 1,904
6
30
JPMorgan Chase Bank, N.A.
2,130
13
JPMorgan Chase Bank, N.A. 16 19 5 19 21 6
JPMorgan Chase Bank, N.A. 2006 SFSA 159
26
27
26 – 29 –
2006
12
31
$
72,606 12,216 15,028 1,817 5,963 107,630
$
75,664 14,153 14,183 1,989 9,935 115,924
44,581 2,404 22,132 625 124 69,866
42,007 1,146 19,191 601 145 63,090
(a)
117,187 14,620 37,160 2,442 6,087 177,496
117,671 15,299 33,374 2,590 10,080 179,014
(b)
90,868 42,772 41,228 30,698 27,152 232,718
(c)(d)
85,730 59,114 38,648 32,264 27,063 242,819 $ 421,833
$ 410,214
(a) (b) (c) (d)
SFAS 159 (282) 2007 6 30 SFAS 159
2007 (119) 2006 12 31
6
30 183 30
2006
12 537
31
2007
6
27 – 30 –
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.
2006 $
(a)
12 $
31 622 66 688 153
501 35 536 174
SFAS 114
$ SFAS 114
(a) (b) SFAS 114
(b)
$
JPMorgan Chase Bank, N.A.
6
30 2006
6
30 2006
$
544
$
989
$
580
$ 1,055
JPMorgan Chase Bank, N.A.
6 30 2006
(a)
6
30 2006
$
119
$
64
$
310
$
179
(a)
JPMorgan Chase Bank, N.A. 2006 14
6 1 1 1
(a)
27
28
30 2006 $ 4,857 4,857 (870) 273 (597) 691 13 $ $ $
16 19
$
5,170 (56) 5,114 (1,182) 249 (933) 1,402 15
1
$ $ $
(a) 2007 1 1 SFAS 159 SFAS 159
5,598 52 5,546 5,598
4,964 157 4,807 4,964
5
28 – 31 –
6 1 1
(a)
30 2006 $ $
6 30
$ $
29 377 737
523 243 766
2006
397 25 422
(a)
2007
6 30 45
15
JPMorgan Chase Bank, N.A.2006 JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.
28
32
JPMorgan Chase Bank, N.A. 7 8 1 JPMorgan Chase Bank, N.A. 2007 6 30 2006 12 31 JPMorgan Chase Bank, N.A.
2006
(a) (a)
12 $
31 35.3 3.8 40.7 42.9 87.1
$
34.8 2.5 60.6 34.6 103.1
(b)(c)
$
(a) (b) (c) JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.
235.6
$
209.8
29 – 32 –
2007
2006
6
30
3 35
6 37 18
$ 1,974 16 $ 1,974 14 61 14,260
$
$ 10,894 $ 2,709 $ 3,112 $ (a) (a) 31 (a) $ 10,891 13 $ 2,704 $ 3,087 2 $
470 3 470 8 38 10,130
$
845
$ 3,915 (1) $ 3,879 4
$ 9,050 3 $ 9,071
$ 2,050 28 $ 2,073
$
$
575 1
(b)
20.4% PPR
(c)
14.8-19.7% CPR 3.6-3.9 13.0-13.8%
22.2% PPR 0.4 4.2% 12.0%
1.5% ABS 1.4 0.7% 7.8%
0.4 3.5% 12.0%
$ 4,282 35 $ 4,282 21 93 29,120
$
$ 23,925 69 $ 23,842 18
(a)
$ 5,904 2 $ 5,920
$ 7,867
(a) (a)
$ 2,280 15 $ 2,280 13 66 31,088
$
845
$ 7,093 1 $ 7,019 4
$ 15,709 21 $15,812
$ 5,288 63 $ 5,338
$
$ 7,971 3
$
575 1
(b)
20.4% PPR
(c)
14.8-24.2% CPR 3.2-4.0 5.8-13.8%
1.5-8.0% CPR 1.3-10.2 0.9% 12.0-14.0%
22.2% PPR 0.4 3.3-4.2% 12.0%
1.5% ABS 1.4 0.7% 7.8%
0.4 3.5-3.8% 12.0%
1 1
(a)
2007
JPMorgan Chase Bank, N.A. ABS
(b) CPR PPR (c) (d) JP Morgan Chase Bank, N.A. (e) JP Morgan Chase Bank, N.A.
30 – 33 –
187 358
JPMorgan Chase Bank, N.A. 2007 6 30 2006 135 GNMA FNMA Freddie Mac 3 108 2007 2006 6 271 GNMA FNMA Freddie Mac 87 170
2007 75
6
30 82
2006
12
31
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 2007 6 18% 2006 12 31
11 10 4% 12% 30 22% JPMorgan Chase Bank, N.A. 6 30 12 31 6
51 68
20 44
2007 2006
JPMorgan Chase Bank, N.A. 2007 18% 36%
2006
(a) (a)(b) (a) (c)
6
30
2006
12
31
12
31
$
238 90 76 11
$
221 128 36 6
$
(a) 2007 6 30 2006 12 31 1 3 2006 12 2007 6 30 1 2 31
415
2
$
391
3
(b) 167 (c)
JPMorgan Chase Bank, N. A.
AFS
31 – 34 –
JPMorgan Chase Bank, N.A. 2007 6 30 2006
2007 12 31
6
30
2006
12 31 35 37 10% 20%
18
0.4-0.5
(a)
1.0 1.4% ABS (1) (2) 0.7% (2) (3) 7.9% (1) (1)
3.8 15.6% CPR (4) (8) 0.0%(b) $ 5.8% (4) (7) $
0.2-3.0 0.0-50.0%(c) CPR $ (1) 0.7%
10% 20%
16.4-20.4% PPR $ (23) (47) 3.3-3.9% (35) (70) 12.0% (1) (1)
$
$
10% 20% 10% 20%
$
$
0.8-12.0% $
$
$
$
2006
12 31
0.4-0.5
(a)
1.1 1.4% ABS (1) (2) 0.7% (3) (5) 7.6% (1) (2)
3.4 19.3% CPR (3) (5) 0.0%(b) $ 8.4% (2) (3) $
3.8 0.0%(c) CPR $
10% 20%
17.5-20.4% PPR $ (22) (43) 3.5-4.1% (35) (70) 12.0% (1) (1)
ABS
$
$
0.0%
10% 20% 10% 20%
(a) CPR (b) (c) PPR
$
$
4.7% $
$
$
$
10%
20%
32 – 35 –
2007
6
30
2006 12 (c)
31
90 2006 12 31 $ 90,868 42,772 41,228 30,698 27,152 232,718 177,496 410,214
(a)
(e)
2006 12 31 $ 477 1,007 81 446 335 2,346 (f) 250 2,596 $ 423 769 118 488 322 2,120 (f) 418 2,538 $
6 30 2006 97 29 64 255 82 527 (19) 508 $ 30 8 41 210 29 318 (15) 303 $
6 30 6 2006 165 51 122 500 120 958 (25) 933 $ 63 18 89 408 54 632 (35) 597
$ 85,730 59,114 38,648 32,264 27,063 242,819 179,014 421,833
7,892 2,463 27,218 37,573
4,180 3,706 26,977 34,863
20 5 347 372
1 7 386 394
3 237 240
2 228 230
6 476 482
1 5 410 416
(a)
21,727 2,728 24,455
(b)
26,366 13,756 40,122 74,985 $ 496,818
12 31
1,697 9 1,706 2,078 $ 4,674
1 4
544 6 550 944 $ 3,482 $
84 1 85 325 833 $ 230 533 $
111 7 118 600 1,533 $
137 2,356 2,098 1,658 2007 1,263
62,028
(c)
416 1,013
$ 472,242 (d)
6 30
(a) 147 (b) 2007 6 6 30
2007
2006
30 2006 12 31 2006 12 31 JPMorgan Chase Bank, N.A. 3 3
620
750 75 82
(c) (d) (e) (f)
JPMorgan Chase Bank, N.A.
2007
6
30
2006 GNMA 219 GNMA
12 31 (i) 2007 6 12
30
240 2006 12 31 (ii) 2007 6 30
120 2006 12 31 90
200
33 – 36 –
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 2006
7
1
33
35
16
JPMorgan Chase Bank, N.A.
12
2006 31
12
2006 31
12
2006 31
$ $
$ $
3.4 0.5 1.0
$ $
53.5 85.4 5.0 1.6 86.9
6 30
$ $
44.1 66.0 4.0 1.6 67.0
12
$ $
53.5 85.4 5.0 1.6 86.9
530
$ $
47.5 66.5 5.0 1.6 68.0
439
(a)
$
$
1.0
$
2007
$
$
31
$
(a) JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 2007 6 30 2006 12 31 339 Bank, N.A. (b) JPMorgan Chase Bank, N.A. 30
2006
241
JPMorgan Chase
2006
12
31
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. Chase Bank, N.A. JPMorgan Chase Bank, N.A.
JPMorgan
2007
6
30
2006
12
31
2006 12 31
(a) (b)
$ 20.6 16.0
6 30 2006 12 31
$ 20.2 11.6
(a)
JPMorgan Chase Bank, N.A. 2007 JPMorgan Chase Bank, N.A. (b) 2007 6 30 2006 12 31 JPMorgan Chase Bank, N.A. 2007 6 30 2006 12 31 2006 12 31 JPMorgan Chase Bank, N.A.
18
137
89 142
460 2007 6 94
30
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.
34 – 37 –
JPMorgan Chase Bank, N.A.
2007
6
30
2006
12
31
2006
(a) (b) (c)
12
31
$
9.6 7.7 11.3 3.0
$
8.0 5.5 0.2 15.9 2.9 32.5
29
$
(a) JPMorgan Chase Bank, N.A. 33 (b) (c) 2006 12 31 2007
31.6
35
$
16 JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 2006
39
FIN 46 20
JPMorgan Chase Bank, N.A. 38 17
2006
35
2006 $ 25,919 9,499 192
12
31
$ 25,939 7,546 190
$
273 2,341 1,023
$
251 2,621 1,015
$ 3,637
$ 3,887
2007
6
30
20 67
FIN 48
113 FIN 48
Bank One 39 40 2007 6 30
21 2006 12 31 2007 2006 6 30
35 – 38 –
JPMorgan Chase Bank, N.A.2006 12 4 Bank, N.A. 36 37 17 JPMorgan Chase
JPMorgan Chase Bank, N.A.
2007
2006
6
30
6 30 2006 $ 7,937 $ 7,539 $ 7,546 $ 6 30 2006 6,452 230 6,682 $ $ 754 350 1,104 1,202 (741) 461 8,247
7,937 704 289 993
(a) (b)
7,539 $ $ 410 199 199 491 (392) 99 8,247 $ $
7,546 1,268 386 1,654 1,060 (761) 299 9,499
952 (383) 569 $ 9,499
$
$
$
$
$
$
MSRS
$
952
N/A
$
1,060
N/A
$
(a) SFAS 157 (b)
559
$
494
$
1,115
$
984
SFAS 157
JPMorgan Chase Bank N.A. 10% 20%
2006 (CPR) 10% 20% $ 14.37% (418) (799) 9.55% (357) (689) 572.4 12 31
$
17.02% (381) (726) 9.32% (254) (491) 526.7
10% 20%
$
$
$
CPR
$
10%
20%
36 – 39 –
2007
6
30
248
315 JPMorgan Chase Bank, N.A.
2006
12
31
$ $
242 323 4,281 1,367 30
$ $
50 50 1,940 344 (a)
$ $
192 273 2,341 1,023
$ $
225 300 4,281 1,310
$ $
35 49 1,660 295 (a) 4
$ $
190 251 2,621 1,015
(a)
2007
2006
6
6
30 2006
6
30 2006
$
8
$
8 (1) 138 26
$
15 1 280 45
$
18 (1) 275 50
140 23 $ 171 $
171
$
341
$
342
2007
6
30
(a)
$
2008 2009 2010 2011
(a) 2007 15
30 28 26 24 21
1
$
3 11 16 24 29
280
$
555 479 397 336 294
$
88 82 76 64 56
$
676 600 515 448 400
45
37 – 40 –
JPMorgan Chase Bank, N.A.
JPMorgan Chase
6
30 2006
6
30 2006
$
1
$
1
$
2
$
10
1,530 28
1,037 45
3,005 68
1,972 137
375
374
731
804
1,007 JPMorgan Chase & Co. 258 15
678 265 12
1,922 518 27
1,167 506 24
664 1,025
817 1,138
1,239 2,005
1,481 2,088
12
2006 31
$
713
$
101,237 311 9,527 3,404 39,578 63,869 2,305 JPMorgan Chase & Co. 17,606 600
111,879 298 9,356 6,944 26,899 60,044 4,459 17,609 613
2007
6
30
2006
12
31
26
13
38 – 41 –
OPEB
OPEB
(a) (e)
2007 1 1 (SFAS 159) 2007 1 1
$
(24) (1) (25) (715) (b)
$
17
$
(489)
$
(431)
$
(927) (1) (928) (676)
17 2 (c) $ 19 $
(489) 11 (d) (478) $
(431) 26 (f) (405)
2007 6 30
$
(740)
$ (1,604)
2006 6 30
(a)
OPEB
(e)
2006 1 1
$
(225) (565) (b) (790)
$
1 10 (c) 11
$
(426) 101 (d) (325)
$
(650) (454)
2006 6 30
(a) (b) (c) 2006 (d) 81 (e) (f) SFAS 158 2007 6 30 2006 2007 2007 2007 6 30 6 30
$
$
$
$ (1,104)
(131) 133 162 59 2006 6 30 14 19 2006 8
(152)
6 30 48
20
JPMorgan Chase Bank, N.A. 2006
2006 FIN 48
7
FIN 48
SFAS 109 2007 1 1 531
113
JPMorgan Chase Bank, N.A. FIN 48 644
39 – 42 –
2007
1
1
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.
26
700
JPMorgan Chase Bank, N.A. 1
2007 700
JPMorgan Chase & Co.
JPMorgan Chase Bank, N.A. JPMorgan Chase & Co.
JPMorgan Chase & Co. 2003 2004 2005 2004 7 1 JPMorgan Chase & Co. Bank One Corporation 2000 2003 2004 1 1 2004 7 1 2008 JPMorgan Chase & Co. 2001 2002 Bank One Corporation 1996 1999 JPMorgan Chase & Co. Bank One Corporation 2001 Bank One Corporation 1990 1993
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 12 31 JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 2007 6 30
OCC 44-45 25 2006 6 30 2006
2006
12
31
(b)
(c)
2006 12 31
(a) (a)
$ 71,500 68,726
$ 100,798 96,103
$ 917,322 840,057
$ 1,210,657 1,157,449
7.8% 8.2 6.0% 4.0
11.0% 11.4 10.0% 8.0
5.9 % 5.9 5.0% (d) 3.0(e)
The Federal
(a)
The Office of the Comptroller of the Currency, OCC Federal Reserve Board,FRB Deposit Insurance Corporation, FDIC (b) 2007 3 31 2006 12 31 (c) (d) (e)
3,133
2,901
3%
4%
JPMorgan Chase Bank, N.A. Bank, N.A. 2007 N.A. 6 30
SFAS 5
JPMorgan Chase
JPMorgan Chase Bank,
40 – 43 –
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N.A. N.A. 2006 46 47
JPMorgan Chase Bank, 27
6 30 2006
(a) (a)
6
30 2006
$
7 4
$
(13)
$ 5
$
(37)
$
(a)
2007
6
30
146
JPMorgan Chase Bank, N.A. 2006 28 2007 6 30 2006 29 12 31 15
47
JPMorgan Chase Bank, N.A. 49 28
2006 12 31
(a)
2006 12 31
$ 122,694
(b)(c)(d) (e) (c)(f)(g) (c)
$ 112,249 230,826 67,529 87,495 5,559 391,409 $ 503,658
$
23 490 11 241 1 743
$
25 304 6 187 1 498
242,089 91,493 94,413 5,953 433,948 $ 556,642
$
766
$
523
(h) (i)
$ 409,484 82,754
2007 6 30
$ 318,095 71,422
2006 12 31 266 JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 2007 6 31 30 2006 265 12 31 328 221 JPMorgan
(a) Chase Bank, N.A.
(b) (c) 2007 6 30 2006
402
390
12
41 – 44 –
6 30 2006 12 31 JPMorgan Chase Bank, N.A. 30 2006 12 31 (f) JPMorgan Chase Bank, N.A 2007 (g) (h) (i) 47 49 28
(d) (e)
2007
JPMorgan Chase Bank, N.A. 14 6 30 2006 12 31 12 31
24 2007 144 526 455 6 135
2007 6 4,105
30 2006 3,179
12
31
2007 6 30 2006 JPMorgan Chase Bank, N.A.
JPMorgan Chase Bank, N. A. 2006
JPMorgan Chase Bank, N.A FIN 45 2007 6 317 30
FIN 45 JPMorgan Chase Bank, N.A. 2006 2006 12 31 297
47
49
28
31 2007
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. 2006 47 JPMorgan Chase Bank, N.A. 6 30 2006 12 31 13 987
FIN 45 49 28 2007 6 830 30 710 223 2006 12 229
JPMorgan Chase Bank, N.A. 50 49
2006
10
1 150 JPMorgan Chase Bank, N.A. 2006 6 30
94
2007
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.
SFAS 131 JPMorgan Chase & Co. Chase Bank, N.A. JPMorgan Chase Bank, N.A. JPMorgan JPMorgan Chase & Co. JPMorgan Chase Bank, N.A.
42 – 45 –
2007
2006
6 30 2007 2006
(a)
$
8,463 5,606 14,069 1,028 8,968 4,073 1,402 2,671
$
8,623 5,337 13,960 617 8,698 4,645 1,679 2,966
$
7,485 4,902 12,387 700 8,044 3,643 901 2,742 649
$
7,170 4,582 11,752 393 8,081 3,278 1,172 2,106 55
$
6,800 4,439 11,239 262 7,857 3,120 1,124 1,996 49
$
17,086 10,943 28,029 1,645 17,666 8,718 3,081 5,637
$
14,536 8,651 23,187 716 15,784 6,687 2,414 4,273 94
(b)
$
2,671
$
2,966
$
3,391
$
2,161
$
2,045
$
5,637
$
4,367
7.8% 11.0 5.9
8.0% 11.2 6.0
8.2% 11.4 5.9
8.0% 11.0 6.0
8.2% 11.3 5.7
$ 1,252,369 92,661 410,214 (6,364) 663,305 81,697 98,388
(a) (b) 2007 2006 10 1
$1,224,104 93,641 393,382 (5,830) 632,598 73,798 97,876
$1,179,390 88,487 421,833 (5,693) 640,466 71,256 96,010
SFAS 157
$1,173,732 83,387 406,800 (5,417) 589,245 65,733 92,025
$1,144,680 68,332 401,395 (5,386) 602,089 61,390 89,362
10 4
JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.
40 – 46 –
JPMorgan Chase Bank, N.A. 12 31 2006 2005 2004 (b) 2003 2002
$
29,191 18,135 47,326 1,809 31,909 13,608 4,487
$
23,065 15,283 38,348 1,101 29,799 7,448 2,563 4,885 207
$
16,979 11,962 28,941 534 25,488 2,919 937 1,982 196
$
15,299 9,497 24,796 473 16,734 7,589 2,560 5,029 149
$
13,388 8,630 22,018 2,674 17,313 2,031 963 1,068 145
(a)
9,121 798 $ 9,919 $
5,092
$
2,178
$
5,178
$
1,213
8.2% 11.4 5.9
8.1% 11.2 6.1
8.3% 11.7 6.0
8.1% 10.4 5.6
8.2% 11.1 5.3
$ 1,179,390 $ 1,013,985 $ 88,487 37,113 421,833 365,991 (5,693) (5,254) 640,466 552,610 71,256 55,612 96,010 86,350
(a) 2006 10 1 JPMorgan Chase Bank, N.A.
967,365 $ 81,033 334,323 (5,804) 517,710 46,406 80,640
628,662 $ 54,362 179,471 (3,475) 326,745 16,007 37,491
622,388 80,332 184,303 (4,046) 300,566 13,100 35,540
(b)
2004 7 1 Bank Once Corporation JPMorgan Chase & Co. 2004 11 13 Bank One National Association Columbus Ohio Bank One National Association Chicago Illinois JPMorgan Chase 2004 7 1 2004 JP Morgan Chase Bank, N.A. Bank, N. A. JP Morgan Chase Bank, N.A.
41 – 47 –
JPMorgan Chase
FIN46R
39 105 41 10 45 34 46 51 48 109 2003 12 5 57 107 39
10
49 46(R)
42 – 48 –
JPMorgan Chase Bank, N.A. BBB-/Baa3
SFAS 159
5
15
133
140
87 88 106 132(R) 115
43 – 49 –
(AA) (Aaa)
(AA-)
– 50 –
J.P. Morgan Structured Products B.V. Strawinskylaan 3105 Atrium 1077 ZX, Amsterdam The Netherlands
JPMorgan Chase Bank, National Association JPMorgan Chase Bank 270 Park Avenue New York N. Y. 10017-2070 USA
J.P. Morgan Securities Ltd. 60 Victoria Embankment London EC4Y OJP
J.P. Morgan Securities (Asia Pacific) Limited
8 25
J.P. Morgan Broking (Hong Kong) Limited
8 25
Cifford Chance LLP Droogbak 1A 1013 GE Amsterdam The Netherlands 10
J.P. Morgan Securities (Asia Pacific) Limited
8 25
PricewaterhouseCoopers Accountants N.V. Thomas R. Malthusstraat 5 P.O. Box 90351 1006 BJ Amsterdam The Netherlands
PricewaterhouseCoopers LLP 300 Madison Avenue New York NY 10017 United States of America