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RESPONSE LETTER

Confidential Treatment

Requested by JPMorgan Chase & Co.

Page 1

September
18, 2007

Mr. Donald Walker, Senior Assistant Chief Accountant

Ms. Sharon M. Blume, Staff Accountant

Division of Corporation Finance

United States Securities and Exchange Commission

100 F Street, N.E.

Washington, D.C. 20002

Mail Stop 4561

    Re:

    JPMorgan Chase & Co.

    Form 10-K for the Fiscal Year Ended December 31, 2006

    Form 10-Q for the Fiscal Quarter Ended March 31, 2007

    File No. 1-5805

Dear Mr. Walker and Ms. Blume:

     JPMorgan Chase & Co. (the “Firm”) hereby submits this letter to respond to comments by the
Staff of the Securities and Exchange Commission contained in your letter dated July 31, 2007
addressed to Michael J. Cavanagh.

     To assist in your review of our responses, we have set forth below in full the comments
contained in the letter, together with our responses to such comments.

     The Company hereby requests that the Securities and Exchange Commission afford confidential
treatment, pursuant to the provisions of 17 C.F.R. §200.83 , of the indicated portions of
the letter.

Form 10-K for Fiscal Year Ended December 31, 2006

Notes to Consolidated Financial Statements

Note 13 — Allowance for Loan Losses, page 113

    1.

    We have reviewed your response to prior comment one from our letter dated June 26, 2007. For
risk-rated loans, please provide us with the following additional information regarding the
statistical calculation you use to determine the formula-based component of your allowance for
loan losses:

    •

    Your definitions of default probability and loss severity; and

    •

    A quantitative example, including narrative, that details each step in determining
the formula-based component of your allowance — explain how default

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    probabilities are differentiated based on the risk rating of the loan and include example
calculations of probability of default and loss severity.

    As noted, for risk-rated loans and commitments, statistical losses are the product of default
probability and loss severity.

    Default probabilities — or “expected default factors” (“EDFs”) — represent the statistical
expectation of the obligor’s likelihood of default. The EDFs used by the Firm are based on
external statistical default and migration data from S&P and Moody’s as well as default
factors extracted from 3-month average Credit Default Swap spreads. For the businesses that
are aligned to the capital markets (the Investment Bank, Treasury & Securities Services and
Commercial Bank mid-Corporate) and for which CDS spread information is more readily available
and representative of the obligors, the Firm uses [redacted]. For other risk-rated loans, [redacted] are used.

    The Firm utilizes the S&P and Moody’s default and migration data and the CDS-based EDFs to
create default grids by rating and maturity. The external agency ratings are mapped to the
Firm’s internal risk ratings, thus providing a link between the risk rating assigned by the
credit officer and the external default factors used in the statistical calculation.

    Loss severity — or “loss given default” (“LGD”) — represents the amount of loss upon obligor
default. The Firm’s LGD estimates are based on a study of the Firm’s actual loss experience
from defaults over a twenty-year period. The LGDs are differentiated by type of obligor
(e.g., large corporate or small private company), quality of collateral (e.g., cash or
stock), and the Firm’s seniority in the obligor’s capital structure. The LGDs for each of
these categories are published in a Firm-wide risk policy to ensure that they are
consistently applied in the calculations.

    The first step in the credit risk process is to assign to each borrower a risk rating. The
appropriate EDF factor is then assigned based on the borrower’s risk rating and the maturity
of the exposure. Next, credit officers specify a LGD for each facility based on the Firm’s
risk policy, as described above.

    With these factors established, the statistical calculation of the allowance for loan losses
is as follows:

[redacted]

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Note 28 — Accounting for Derivative and Hedging Activities, page 131

    2.

    We have reviewed your response to prior comment two from our letter dated June 26, 2007.
Please provide us with the following additional information to help us understand your hedge
accounting process in more detail:

    •

    describe the specific circumstances under which a segment utilizing SFAS 133 hedge
accounting would transact a derivative hedging instrument directly with a third-party,
or with an internal trading desk;

    •

    describe in detail how the internal trading desk obtains an order for a derivative
hedging instrument from a segment wishing to enter into a derivative transaction and
how that transaction is executed;

    •

    tell us specifically whether the internal trading desk transacts derivative
instruments directly with a third-party on the segment’s behalf, or if the internal
trading desk transacts some derivative instruments internally with the treasury
department that subsequently transacts similar or identical derivative instruments with
a third-party;

    •

    if the latter, tell us how a segment utilizing hedge accounting determines that the
key attributes, including interest rates and maturity dates, of the internal and
external trades are properly matched; and

    •

    tell us whether you have designated an internal derivative as the hedging instrument
in any hedging relationship, and if so, describe the nature of the hedging
relationship, methodology used to assess effectiveness, and the applicable guidance
relied upon to support the approach.

    The segment seeking to enter into a SFAS 133 hedging derivative (the “hedging segment”)
obtains bids for the derivative hedging instrument from both external derivative dealers
and the internal trading desk. The hedging segment selects the internal or external
derivative primarily based upon the prices quoted.

    If the internal bid is selected, then the hedging segment will inform the internal
trading desk of the bid’s acceptance. An internal derivative is then recorded between
the hedging segment and the internal trading desk. The internal trading desk must then
execute with an external counterparty a derivative with terms (including the notional,
currency, index, maturity date, fixed rate, reset dates, and payment dates) that match
those of the internal derivative. Floating rates are closely matched, typically within
a 1-2 basis point spread. The external derivative must be executed as soon as possible,
and always before the end of the same trade date. In addition, both the internal and
external trades are executed at market (at zero fair value) at inception.

    The hedging segment verifies on trade date that the terms of the external derivative
meet the qualifications to be used as a SFAS 133 hedging instrument for the hedge
relationship, and that the terms of the internal and external derivatives are matched as
described above. The external derivative is designated as the SFAS 133 hedge. The
hedging segment continues to verify the existence and terms of the external SFAS 133
hedging derivative and the internal derivative at each assessment date throughout the
life of the hedge relationship.

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    The hedging segment utilizes a two-step process to assess hedge effectiveness. First,
the hedging segment calculates the change in value of the internal derivative as a proxy
of the change in value of the external derivative. This value is used in the assessment
of hedge effectiveness utilizing either the dollar offset method or regression as
specified in the hedge documentation. Second, the hedging segment assesses whether
differences between the changes in value of the internal and external derivatives impact
the hedge effectiveness conclusion reached in the first step. Due to the de minimis
difference in terms, the Firm’s conclusions regarding hedge effectiveness have not been
changed by differences in the changes in value of the external versus internal
derivatives.

    For the following comments, we refer you to responses three and four of your letter dated
May 4, 2006:

    3.

    Please tell whether you used each of the hedging strategies, described in your responses at
December 31, 2006 and March 31, 2007.

    •

    Beginning January 1, 2006 the Firm no longer applied hedge accounting to
mortgage servicing rights due to the adoption of Statement of Financial Accounting
Standards No. 156, Accounting for Servicing of Financial Assets — An Amendment of
FASB Statement No. 140.

    •

    In addition, beginning January 1, 2007 the Firm no longer applied hedge
accounting to the fixed-rate resale/repurchase agreements and commercial mortgage
loans and prime mortgage loans that are warehoused for sale, due to the election
of fair value measurement for the hedged items under Statement of Financial
Accounting Standards No. 159, The Fair Value Option for Financial Assets and
Financial Liabilities — Including an Amendment of FASB Statement No. 115.

    The Firm also made the following changes to its methods for assessing hedge effectiveness in
certain hedge relationships:

    •

    During 2006, the Firm chose to discontinue its use of the shortcut method to
assess hedge effectiveness. These hedging relationships were de-designated at that
time and re-designated. As a result, the Firm assesses the effectiveness of hedges
of long-term debt and fixed-rate assets using the long haul method as of December
31, 2006 and March 31, 2007.

    •

    During 2006, the Firm chose to discontinue its use of the dollar value offset
method to assess hedge effectiveness for fair value hedges of long-term debt. The
Firm assesses the effectiveness of these hedges using a regression test as of
December 31, 2006 and March 31, 2007.

    Please see the response to question 4 below for a discussion of the Firm’s current
application of fair value hedge accounting for long-term debt.

    All other hedge strategies discussed in the May 4, 2006 response were in use as of December
31, 2006 and March 31, 2007.

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Page 5

    4.

    If you have entered into any new hedging strategies, please tell us how you determine that
they met the criteria for hedging accounting pursuant to paragraphs 20, 21, 28 and 29 of SFAS
133. Specifically address the following for each type of new hedging relationship:

    •

    the nature and terms of the hedged item or transaction;

    •

    the nature and terms of the derivative instruments;

    •

    the specific documented risk being hedged;

    •

    the type of SFAS 133 hedge (fair value, cash flow, etc.); and

    •

    the quantitative measures you use to assess effectiveness of each hedge both at
inception and on an ongoing basis.

    The following hedge strategies and corresponding methods of assessing effectiveness are new
and were not discussed in our prior response.

    [redacted]

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    5.

    If the new hedging strategies involve the use of the shortcut or matched terms methods for
assuming no ineffectiveness, please tell us how you determined they meet each of the
conditions in paragraph 68 or 65 of SFAS 133.

    The Firm does not apply the shortcut or matched terms methods for assessing hedge
effectiveness in any of the three new hedging strategies discussed above.

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    6.

    Please quantify the notional amounts of derivatives used in each hedging strategy at December
31, 2006 and March 31, 2007.

    The following are derivative notional balances, by each hedging strategy, at December 31,
2006 and March 31, 2007. De minimis strategies are not included below.

    Strategy

    12/31/06

    3/31/07

    $ 000’s

    $ 000’s

Strategies that existed in May 4, 2006 letter

    [redacted]

Strategies implemented subsequent to the May

4, 2006 letter

    [redacted]

 (1) [redacted]

 (2) [redacted

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    7.

    Please tell us the following for each type of hedged forecasted transaction:

    •

    how you aggregate similar cash flows under paragraph 29(a) of SFAS 133;

    •

    the defined time period over which you typically forecast the probable cash flows
for each type of forecasted hedge transaction;

    •

    how you assess current hedgeable cash flows and expectations in determining whether
the cash flows are probable throughout the hedge period;

    •

    whether you have missed any of your forecasts (i.e. had more notional amounts of
hedging transactions than actual hedgeable forecasted transactions); and if so, the
number of times and frequency;

    •

    whether you have ever changed the forecasted transaction of an established hedge;
and

    •

    if so, how you considered the off-market components of the swap at the time of
de-designation and re-designation.

    The Firm hedges two types of forecasted transactions: cash flows related to the
rollover/repricing of assets and liabilities and cash flows related to foreign currency
revenues and expenses.

    For cash flows related to the rollover/repricing of assets and liabilities, the cash flows
are separated by assets versus liabilities, product type, benchmark interest rate repricing
frequency and repricing timeframe to ensure that aggregated cash flows share the same risk
exposure. (For example, liabilities based on the same benchmark interest rate repricing on
a monthly basis are aggregated within a nominal number of repricing days, typically 2-4
days.) The forecasted cash flows relate to the Firm’s core lending and deposit taking
activities and are hedged over a period of no more than ten years, with the significant
majority (approximately [redacted] as of March 31, 2007) forecasted to occur within five
years. The Firm assesses the probability of forecasted transactions occurring through an
analysis of both historic realized cash flows and forecasts of future cash flows. These
probable amounts are further reduced to arrive at the “core,” or available amount of cash
flows to be designated as hedged. A comparison of actual versus projected cash flows is
performed monthly to ensure that the hedged cash flows did occur. All rollover/repricing
cash flows forecasted in the periods presented did occur and forecasted cash flows remain
probable. The Firm has not changed the forecasted transaction of an established hedge.

    Forecasted foreign currency cash flows are separated by revenue versus expense and by
currency in order to ensure aggregated cash flows share the same risk exposure. Forecasted
foreign currency revenue and expense cash flows are hedged on a monthly basis over a period
of no more than twelve months. To establish the amount of revenues or expenses to be
hedged, the Firm first reviews its foreign currency-denominated revenue and expense

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    forecasts for reasonableness taking into consideration of business plans and historical
experience. Revenue forecasts are then adjusted to exclude less predictable revenue sources
such as trading revenue and securities gains/losses. As the significant majority of the
foreign currency-denominated expenses that are incurred overseas are salary and benefit
related, and are therefore more stable than revenue-related cash flows, forecasted expenses
are generally more predictable. The Firm then establishes a “core” amount of forecasted
revenues or expenses that may