Release Details

London, March 13, 2007 - Taking an important step in creating a traded market for a major risk faced by the pension industry, JPMorgan today launched its LifeMetrics Index, the only international index designed to benchmark and trade longevity risk. The LifeMetrics Index is part of an overall platform the investment bank has created called "LifeMetrics," aimed at measuring and managing both longevity and mortality exposure.

JPMorgan has designed the LifeMetrics Index to be the leading industry index used to create securities, derivatives and other structured products. LifeMetrics will enable pension plans to calibrate and hedge the risk associated with the longevity of their beneficiaries. The index incorporates historical and current statistics on mortality rates and life expectancy, across genders, ages and nationalities. Initially the index is available for the United States and England and Wales. JPMorgan intends to introduce similar indices for other countries in the coming months. The index is calculated by an independent calculation agent and will be governed by an international advisory committee including experts from different organisations.

The potential for the development of a traded market rests on the standardisation of the measurement of longevity risk associated with pension funds and the mortality risk facing life insurers. "We believe this index will facilitate the development of a market in tradable longevity risk," said Patrik Edsparr, global head of Rates, Securitised Products, Proprietary Positioning and Principal Investment businesses at JPMorgan. "JPMorgan is committed to leading the development of this market."

JPMorgan's LifeMetrics platform, developed with advisors Watson Wyatt in the U.K. and U.S. and the Pensions Institute at Cass Business School, will also provide clients with a comprehensive framework to manage longevity risk that includes analytics and software to model current exposure and forecast future exposure. The platform is transparent with methodology, algorithms and calculations fully documented and freely available.

"Relative to other approaches, we wanted to offer pension plans, insurance companies and investors a comprehensive set of tools and capabilities aimed at managing longevity risk strategically," said Guy Coughlan, managing director and global head of Pension Asset Liability Management at JPMorgan. "The LifeMetrics Index and LifeMetrics platform are designed to provide clients with practical tools to measure longevity risk and manage it with effective hedging solutions involving derivatives and structured products."

"A tradable market in longevity and mortality risk will assist financial institutions, pension plans and their sponsors in product pricing, capital allocation and financial reporting. A recognised set of indices is necessary to start that process," said Robert Hall, actuary at Watson Wyatt.

JPMorgan has been working with leading international advisors, clients and academics to ensure its LifeMetrics platform reflects best of breed input from the disciplines of financial economics, actuarial science and risk management. "LifeMetrics' multidisciplinary approach and pragmatic focus provide precisely the right ingredients for it to become the market benchmark," said Prof. David Blake, Director of the Pensions Institute at Cass Business School.

Coughlan led the team of professionals and academics that developed the LifeMetrics platform and that, together with Prof. Blake, co-founded the LifeMetrics Index.

Today's launch of LifeMetrics is the latest announcement by JPMorgan's pension advisory business, which advises clients on strategies for mitigating and transferring risk. In May 2006, Synesis Life, a provider of bespoke solutions to the pension and annuity industry in the U.K., launched with JPMorgan among its backers. Also in 2006, David Oaten and Kevin Carter were appointed heads of JPMorgan's North American and European pension advisory groups, respectively. Oaten, Carter and Coughlan report to Ed Giera who runs the Investment Bank's pension advisory business globally. Additionally, in October 2006, the U.S. Department of Labor issued an Advisory Opinion requested by JPMorgan, validating in the context of U.S. pension regulations investment techniques that take pension liabilities into consideration.

Further information on "LifeMetrics" is available at www.jpmorgan.com/lifemetrics.

About JPMorgan Chase

JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $1.4 trillion and operations in more than 50 countries. The firm is a leader in investment banking, financial services for consumers, small business and commercial banking, financial transaction processing, asset and wealth management, and private equity. A component of the Dow Jones Industrial Average, JPMorgan Chase serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients under its JPMorgan and Chase brands. Information about the firm is available at www.jpmorganchase.com.

About Watson Wyatt

Watson Wyatt (NYSE: WW) is the trusted business partner to the world's leading organizations on people and financial issues. The firm's global services include: managing the cost and effectiveness of employee benefit programs; developing attraction, retention and reward strategies; advising pension plan sponsors and other institutions on optimal investment strategies; providing strategic and financial advice to insurance and financial services companies; and delivering related technology, outsourcing and data services. Watson Wyatt has 6,000 associates in 30 countries and is located on the web at www.watsonwyatt.com.

About the Pensions Institute

Established in 1996, the Pensions Institute is one of the world's first academic research centers to focus entirely on pensions. It is also one of the first to take a fully multidisciplinary approach. Disciplines such as economics, finance, insurance and actuarial science, through to accounting, corporate governance, law and regulation have been brought together in order to enhance strategic thinking, research and teaching in pensions. The Pensions Institute unites some of the world's leading experts in these fields with a view to resolving many of the problems and issues associated with pensions. The Pensions Institute has been at Cass Business School since 2004 and can be found on the web at www.pensions-institute.org.