JPMorgan Securities Launches Floating Rate Corporate Bond Index.

NEW YORK -- JPMorgan announced today the launch of a new fixed income index designed to provide its clients with a broad measure of the performance of the most liquid securities in the floating rate investment grade corporate bond market. The JPMorgan US Floating Rate Note Index, or FRNI, provides performance comparisons and valuation metrics across a carefully defined universe of floating rate investment grade corporate bonds, tracking individual issuers, sectors and sub-sectors by their various ratings and maturities.

"The FRNI allows our investor clients to compare the performance of a specific floating rate corporate bond or sector against the subset of the most liquid bonds in the investment grade market," said Alex Roever, Director of Short Duration Fixed Income Strategy at JPMorgan Securities. "Just as the S&P 500 provides a daily snapshot of the equity markets, the FRNI provides a clear picture of how the investment grade floater market performs daily and over time."

FRNI BOND REQUIREMENTS

The FRNI provides a comprehensive, accurate representation of the investment grade floater market and its components. Corporate bonds rated Baa3/BBB- or higher by Moody's and Standard & Poor's, respectively, with issue sizes of at least $300 million will qualify for inclusion in the index.

Each issue must have a maturity longer than 12 months but no longer than 31 years at the time that it is added to the index. In addition, each issue must have a bullet maturity that pays a periodic floating rate coupon. The index includes floating rate bonds indexed to one and three month Libor, Prime, Fed Funds, and other indices. The FRNI is currently comprised of 594 floating rate bonds issued by 91 issuers spread across the financial institutions and industrials sectors. The FRNI's aggregate market capitalization is approximately $460 billion.

JPMorgan has also sought to ensure that the FRNI incorporates the most transparent pricing data for the issues in the index. Approximately two-thirds of all index constituent bonds will be priced on a daily basis by JPMorgan's trading desk. As a result, the FRNI's reliance on matrix or derived pricing for individual bonds is considerably less than that of other comparable bond indices.

The FRNI's heavy emphasis on hand pricing will provide users with greater confidence and accuracy in pursuing replication and relative value strategies. All performance data from the FRNI will be freely available to JPMorgan clients via the firm's research website MorganMarkets as well as Bloomberg.

The intent is to maintain a stable group of issuers in the index, however, necessary adjustments will be made occasionally to keep the index representative of the overall investment grade market. Rebalancing will occur on a monthly basis in accordance with explicit rules. The FRNI joins other JPMorgan credit indices, such as the US Liquid Index, the Global High Yield Index, Aggregate Index Europe, Subordinated Securities Index, Asia Credit Index and Emerging Market Bond Index. It also complements the DJ CDX NA.IG index for the credit derivatives markets.

About JPMorgan Chase & Co.

JPMorgan Chase & Co. (NYSE: JPM) is a leading global financial services firm with assets of $1.3 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 & Co. has its corporate headquarters in New York and its U.S. retail financial services and commercial banking headquarters in Chicago. Under the JPMorgan and Chase brands, the firm serves millions of consumers in the United States and many of the world's most prominent corporate, institutional and government clients. Information about the firm is available at www.jpmorganchase.com.