424B2 1 e25587-424b2.htm PRICING SUPPLEMENT

CALCULATION OF REGISTRATION FEE

Title of Each Class of
Securities Offered
Maximum Aggregate
Offering Price
Amount of
Registration
Fee(1)(2)
Notes $1,900,000 $203.30
(1)   Calculated in accordance with Rule 457(r) of the Securities Act of 1933.

(2)   Pursuant to Rule 457(p) under the Securities Act of 1933, filing fees of $550,523.64 have already been paid with respect to unsold securities that were previously registered pursuant to a Registration Statement on Form S-3 (No. 333-117770) filed by JPMorgan Chase & Co. on July 30, 2004, and have been carried forward, of which $203.30 offset against the registration fee due for this offering and of which $550,320.34 remains available for future registration fees. No additional registration fee has been paid with respect to this offering.

Pricing supplement no. 200
To prospectus dated December 1, 2005,
prospectus supplement dated October 12, 2006 and
product supplement no. 51-I dated November 9, 2006

Registration Statement No. 333-130051
Dated November 10, 2006
Rule 424(b)(2)

     

Structured 
Investments 

      
JPMorgan Chase & Co.
$1,900,000
Principal Protected Notes Linked to a Weighted Basket Consisting of Five Commodities due November 16, 2009

General

  • Senior unsecured obligations of JPMorgan Chase & Co. maturing November 16, 2009*.
  • Cash payment at maturity of principal plus the Additional Amount, as described below.
  • The notes are designed for investors who seek exposure to any appreciation of a weighted basket of five commodities over the next three years. Investors should be willing to forgo interest payments while seeking full principal protection at maturity.
  • Minimum denominations of $1,000 and integral multiples thereof.
  • The notes priced on November 10, 2006 and are expected to settle on or about November 16, 2006.

Key Terms

Basket:

The notes are linked to a basket consisting of Primary Aluminum (“Aluminum,” Bloomberg symbol “LOAHDY”), IPE Brent Blend Crude Oil (“Brent Crude,” Bloomberg symbol “CO1”), Copper Grade A (“Copper,” Bloomberg symbol “LOCADY”), Primary Nickel (“Nickel,” Bloomberg symbol “LONIDY”) and Special High Grade Zinc (“Zinc,” Bloomberg symbol “LOZSDY”) (each a “Basket Commodity” and together the “Basket Commodities”).

Commodity Weightings:

The Aluminum Weighting is 30%, the Brent Crude Weighting is 20%, the Copper Weighting is 25%, the Nickel Weighting is 12.5% and the Zinc Weighting is 12.5% (each a “Commodity Weighting” and, collectively, the “Commodity Weightings”).

Payment at Maturity:

At maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount, which may be zero.

Additional Amount:

The Additional Amount per $1,000 principal amount note paid at maturity will equal $1,000 x the Basket Return x the Participation Rate; provided that the Additional Amount will not be less than zero.

Participation Rate:

163%.

Basket Return:

Ending Basket Level – Starting Basket Level
Starting Basket Level

 

 

Starting Basket Level:

Set equal to 100 on the pricing date, which was November 10, 2006.

Ending Basket Level:

The Basket Closing Level on the Observation Date.

Basket Closing Level:

The Basket Closing Level on the Observation Date will be calculated as follows:

100 x [1 + (Aluminum Return * 30%) + (Brent Crude Return * 20%) + (Copper Return * 25%) + (Nickel Return * 12.5%) + (Zinc Return * 12.5%)]

The Aluminum Return, Copper Return, Nickel Return and Zinc Return set forth in the formula above reflect the performance of each relevant Basket Commodity, expressed as a percentage, from the official U.S. dollar cash buyer settlement price quoted by the London Metal Exchange (the “LME”) on the pricing date to the official U.S. dollar cash buyer settlement price quoted by the LME on the Observation Date. The Brent Crude Return set forth in the formula above reflects the performance of Brent Crude, expressed as a percentage, from the official U.S. dollar cash settlement price per barrel quoted by ICE Futures (the “ICE Futures”) for Brent Crude of the futures contract in respect of the first nearby month on the pricing date to the official U.S. dollar cash settlement price per barrel quoted by ICE Futures for Brent Crude of the futures contract in respect of the first nearby month on the Observation Date.

Observation Date:

November 10, 2009*

Maturity Date:

November 16, 2009*

CUSIP

48123JJU4
*  Subject to postponement in the event of a market disruption event and as described under “Description of Notes – Payment at Maturity” in the accompanying product supplement no. 51-I.

Investing in the Principal Protected Notes involves a number of risks. See “Risk Factors” beginning on page PS-9 of the accompanying product supplement no. 51-I and “Selected Risk Considerations” beginning on page PS-1 of this pricing supplement.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying prospectus supplements and prospectus. Any representation to the contrary is a criminal offense.

 

Price to Public

Fees and Commissions (1)

Proceeds to Us

Per note

$1,000

$42.00

$958.00

Total

$1,900,000

$79,800

$1,820,200
(1) J.P. Morgan Securities Inc., whom we refer to as JPMSI, acting as agent for JPMorgan Chase & Co. will receive a commission of $42.00 per $1,000 principal amount note and will use a portion of that commission to pay selling concessions to other dealers of $20.00 per $1,000 principal amount note. See “Underwriting” beginning on page PS-35 of the accompanying product supplement no. 51-I.

The notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.

JPMorgan

November 10, 2006

ADDITIONAL TERMS SPECIFIC TO THE NOTES

You should read this pricing supplement together with the prospectus dated December 1, 2005, as supplemented by the prospectus supplement dated October 12, 2006 relating to our Series E medium-term notes of which these notes are a part, and the more detailed information contained in product supplement no. 51-I dated November 9, 2006. This pricing supplement, together with the documents listed below, contains the terms of the notes, supplements the term sheet related hereto dated November 9, 2006 and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in “Risk Factors” in the accompanying product supplement no. 51-I, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

You may access these documents on the SEC Web site at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC Web site):

Our Central Index Key, or CIK, on the SEC Web site is 19617. As used in this pricing supplement, the “Company,” “we,” “us,” or “our” refers to JPMorgan Chase & Co.

Selected Purchase Considerations

  • PRESERVATION OF CAPITAL AT MATURITY — You will receive at least 100% of the principal amount of your notes if you hold the notes to maturity, regardless of the performance of the Basket. Because the notes are our senior unsecured obligations, payment of any amount at maturity is subject to our ability to pay our obligations as they become due.
  • APPRECIATION POTENTIAL — At maturity, in addition to your principal, for each $1,000 principal amount note you will receive a payment equal to $1,000 x the Basket Return x the Participation Rate, provided that this payment (the Additional Amount) will not be less than zero.
  • DIVERSIFICATION AMONG THE BASKET COMMODITIES — The return on the notes is linked to the value of a group of commodities and enable you to participate in potential increases in the value of these commodities during the term of the notes. The Basket consists of five commodities—Aluminum, Copper, Nickel and Zinc, which are traded on the LME, and Brent Crude, which is traded on ICE Futures. The value of the Basket is based on the official U.S. dollar cash buyer settlement price per metric ton of Aluminum, Copper, Nickel and Zinc quoted by the LME, and the official U.S. dollar cash settlement price per barrel of Brent Crude of the futures contract in respect of the first nearby month, in each case as reported by Bloomberg Financial Markets. For additional information about the Basket and each Basket Commodity, please see “The Basket” in the accompanying product supplement no. 51-I.
  • TAXED AS CONTINGENT PAYMENT DEBT INSTRUMENTS — You should review carefully the section entitled “Certain U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 51-I. Subject to the limitations described therein, and based on certain factual representations received from us, in the opinion of our special tax counsel, Davis Polk & Wardwell, the notes will be treated for U.S. federal income tax purposes as “contingent payment debt instruments.” You will generally be required to recognize interest income in each year at the “comparable yield,” as determined by us, although we will not make any payments with respect to the notes until maturity. Interest included in income will increase your basis in the notes. Generally, amounts received at maturity or earlier sale or disposition in excess of your basis will be treated as additional interest income while any loss will be treated as an ordinary loss to the extent of all previous inclusions with respect to the notes, which will be deductible against other income (e.g., employment and interest income), with the balance treated as capital loss, which may be subject to limitations. Purchasers who are not initial purchasers of notes at the issue price should consult their tax advisers with respect to the tax consequences of an investment in the notes, including the treatment of the difference, if any, between such purchasers’ basis in the notes and the notes’ adjusted issue price.
  • COMPARABLE YIELD AND PROJECTED PAYMENT SCHEDULE — We have determined that the “comparable yield” is an annual rate of 5.18%, compounded semiannually. Based on our determination of the comparable yield, the “projected payment schedule” per $1,000 note consists of a single payment at maturity, equal to $1,165.95.
    Assuming a semi-annual accrual period, the following table states the amount of OID that will accrue with respect to a note during each calendar period, based upon our determination of the comparable yield and the projected payment schedule:
Calendar Period

Accrued OID
During Calendar
Period
(per $1,000 note)

Total Accrued OID
from Original Issue
Date per $1,000 note as of
End of Calendar
Period

November 16, 2006 through December 31, 2006

$6.33

$6.33

January 1, 2007 through December 31, 2007

$52.80

$59.13

January 1, 2008 through December 31, 2008

$55.57

$114.70

January 1, 2009 through November 16, 2009

$51.25

$165.95

Neither the comparable yield nor the projected payment schedule constitutes a representation by us regarding the actual amount, if any, that we will pay on the notes.

Selected Risk Considerations

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Basket, the Basket Commodities or any contracts relating to the Basket Commodities for which there is an active secondary market. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no. 51-I dated November 9, 2006.

  • MARKET RISK — The return on the notes at maturity is linked to the performance of the Basket, and will depend on whether, and the extent to which, the Basket Return is positive. YOU WILL RECEIVE NO MORE THAN THE FULL PRINCIPAL AMOUNT OF YOUR NOTES AT MATURITY IF THE BASKET RETURN IS ZERO OR NEGATIVE.
  • THE NOTES MIGHT NOT PAY MORE THAN THE PRINCIPAL AMOUNT — You may receive a lower payment at maturity than you would have received if you had invested in the Basket Indices individually, the stocks composing the Basket Indices or contracts related to the Basket Indices. If the Ending Basket Level does not exceed the Starting Basket Level, the Additional Amount will be zero. This will be true even if the value of the Basket was higher than
JPMorgan Structured Investments —
Principal Protected Notes Linked to a Weighted Basket
Consisting of Five Commodities
  PS-1
    the Starting Basket Level at some time during the life of the notes but falls below the Starting Basket Level on the Observation Date.
  • INVESTMENTS RELATED TO THE VALUE OF THE BASKET COMMODITIES MAY BE MORE VOLATILE THAN TRADITIONAL SECURITIES INVESTMENTS — The value of each Basket Commodity is subject to variables that may be less significant to the values of securities such as stocks and bonds. Variables such as changes in supply and demand relationships, governmental programs and policies, national and international political and economic events, changes in interest and exchange rates, trading activities in commodities and related contracts, weather, trade, fiscal, monetary and exchange control policies may have a larger impact on metal or crude oil prices and metal- or crude oil-linked instruments than on traditional securities. These additional variables may create additional investment risks that cause the value of the notes to be more volatile than the values of traditional securities and may cause the prices of the Basket Commodities to move in unpredictable and unanticipated directions and at unpredictable or unanticipated rates.
  • NO INTEREST PAYMENTS OR RIGHTS AVAILABLE IN INSTRUMENTS LINKED TO THE BASKET COMMODITIES OR RELATED COMMODITIES CONTRACTS DIRECTLY — As a holder of the notes, you will not receive any interest payments, and you will not have any rights that holders of forward or futures contracts on or other instruments linked to the Basket Commodities have. The return on your notes will not reflect the return you would realize if you actually purchased the Basket Commodities or exchange-traded or over-the-counter instruments based on any of the Basket Commodities.
  • THE MARKET PRICE OF OIL WILL AFFECT THE VALUE OF THE NOTES — Because the Brent Crude futures contract in respect of the first nearby month makes up 20% of the Basket, we expect that generally the market value of the notes will depend in part on the market price of oil. Crude oil prices are generally more volatile and subject to dislocation than prices of other commodities. Prices can change rapidly due to crude oil supply disruptions stemming from world events, or domestic problems such as refinery or pipeline outages. Crude oil prices are determined with significant influence by the Organization of Petroleum Exporting Countries (“OPEC”). OPEC has the potential to influence oil prices worldwide because its members possess a significant portion of the world’s oil supply.
  • CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE NOTES PRIOR TO MATURITY — While the payment at maturity described in this pricing supplement is based on the full principal amount of your notes, the original issue price of the notes includes the agent’s commission and the cost of hedging our obligations under the notes through one or more of our affiliates. As a result, the price, if any, at which JPMSI will be willing to purchase notes from you in secondary market transactions, if at all, will likely be lower than the original issue price and any sale prior to the maturity date could result in a substantial loss to you. The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
  • LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMSI intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMSI is willing to buy the notes.
  • POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and hedging our obligations under the notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes.
  • MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES — In addition to the level of the Basket on any day, the value of the notes will be affected by a number of economic and market factors that may either offset or magnify each other, including:
    • the expected volatility of the Basket Commodities;
    • the market price of the physical commodities upon which the futures contracts that compose the applicable Basket Commodity are based or the exchange-traded futures contracts on the Basket Commodities;
    • the time to maturity of the notes;
    • supply and demand trends for each of the Basket Commodities at any time;
    • interest and yield rates in the market generally;
    • a variety of economic, financial, political, regulatory or judicial events;
    • the exchange rate and the volatility of the exchange rate between the U.S. dollar and the various currencies relevant to the Basket; and
    • our creditworthiness, including actual or anticipated downgrades in our credit ratings.

Sensitivity Analysis — Hypothetical Payment at Maturity for Each $1,000 Principal Amount Note

The following table illustrates the payment at maturity (including, where relevant, the payment of the Additional Amount) for a $1,000 principal amount note for a hypothetical range of performance for the Basket Return from -80% to +80% and reflects a Participation Rate of 163%. The following results are based solely on the hypothetical example cited. You should consider carefully whether the notes are suitable to your investment goals. The numbers appearing in the table below have been rounded for ease of analysis.

Ending
Basket
Level

Basket
Return

Basket Return
x Participation
Rate (163%)

Additional
Amount

 

Principal

 

Payment at
Maturity

180

80.00%

130.40%

$1,304

+

$1,000

=

$2,304

170

70.00%

114.10%

$1,141

+

$1,000

=

$2,141

160

60.00%

97.80%

$978

+

$1,000

=

$1,978

150

50.00%

81.50%

$815

+

$1,000

=

$1,815

140

40.00%

65.20%

$652

+

$1,000

=

$1,652

130

30.00%

48.90%

$489

+

$1,000

=

$1,489

120

20.00%

32.60%

$326

+

$1,000

=

$1,326

110

10.00%

16.30%

$163

+

$1,000

=

$1,163

105

5.00%

8.15%

$82

+

$1,000

=

$1,082

100

0.00%

0.00%

$0

+

$1,000

=

$1,000

90

-10.00%

0.00%

$0

+

$1,000

=

$1,000

80

-20.00%

0.00%

$0

+

$1,000

=

$1,000

70

-30.00%

0.00%

$0

+

$1,000

=

$1,000

60

-40.00%

0.00%

$0

+

$1,000

=

$1,000

50

-50.00%

0.00%

$0

+

$1,000

=

$1,000

40

-60.00%

0.00%

$0

+

$1,000

=

$1,000

30

-70.00%

0.00%

$0

+

$1,000

=

$1,000

20

-80.00%

0.00%

$0

+

$1,000

=

$1,000

JPMorgan Structured Investments —
Principal Protected Notes Linked to a Weighted Basket
Consisting of Five Commodities
  PS-2

Hypothetical Examples of Amounts Payable At Maturity

The following examples illustrate how the total returns set forth in the table above are calculated.

Example 1: The level of the Basket increases from the Starting Basket Level to an Ending Basket Level of 120. Because the Ending Basket Level of 120 is greater than the Starting Basket Level, the Additional Amount is equal to $326 and the final payment at maturity is equal to $1,326 per $1,000 principal amount note calculated as follows:

$1,000 + ($1,000 x [(120-100)/100] x 163%) = $1,326

Example 2: The level of the Basket decreases from the Starting Basket Level to an Ending Basket Level of 60. Because the Ending Basket Level of 60 is lower than the Starting Basket Level, the final payment per $1,000 principal amount note at maturity is the principal amount of $1,000.

Example 3: The level of the Basket increases from the Starting Basket Level to an Ending Basket Level of 110. Because the Ending Basket Level of 110 is greater than the Starting Basket Level, the Additional Amount is equal to $163 and the final payment at maturity is equal to $1,163 per $1,000 principal amount note calculated as follows:

$1,000 + ($1,000 x [(110-100)/100] x 163%) = $1,163

Historical Information

The following graphs show the weekly performance of each Basket Commodity as well as the Basket as a whole from January 5, 2001, through November 10, 2006. The graph of the historical Basket performance assumes the Basket level on January 5, 2001 was 100 and the Commodity Weightings specified on the cover of this pricing supplement on that date. The Aluminum closing level on November 10, 2006 was 2755.0. The Brent Crude closing level on November 10, 2006 was 59.71. The Copper closing level on November 10, 2006 was 7070.0. The Nickel closing level on November 10, 2006 was 31400.0. The Zinc closing level on November 10, 2006 was 4459.5.

We obtained the various Basket Commodity closing levels below from Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of information obtained from Bloomberg Financial Markets. The historical levels of each Basket Commodity and of the Basket should not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Basket Commodity on the Observation Date. We cannot give you assurance that the performance of the Basket Commodities will result in the return of more than the principal amount of your initial investment.

 
JPMorgan Structured Investments —
Principal Protected Notes Linked to a Weighted Basket
Consisting of Five Commodities
  PS-3

 



Supplemental Underwriting Information

We expect that delivery of the notes will be made against payment for the notes on or about the settlement date set forth on the front cover of this pricing supplement, which will be the fourth business day following the pricing date of the notes (this settlement cycle being referred to as T+4). Under Rule 15c6-1 under the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on the pricing date will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisors.
JPMorgan Structured Investments —
Principal Protected Notes Linked to a Weighted Basket
Consisting of Five Commodities
  PS-4