Term sheet
To prospectus dated December 1, 2005,
prospectus supplement dated October 12, 2006 and
product supplement no. 116-I dated February 11, 2008
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Term Sheet No. 1 to
Product Supplement No. 116-I
Registration Statement No. 333-130051
Dated February 1, 2008; Rule 433 |
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Structured
Investments
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JPMorgan Chase & Co.
$
5.50% (equivalent to 11.00% per annum) Reverse Exchangeable Notes due August 29, 2008 Linked to the Financial Select Sector
SPDR® Fund |
General
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The notes are designed for investors
who seek a higher interest rate than the current dividend yield on the Financial Select Sector SPDR® Fund or the
yield on a conventional debt security with the same maturity issued by us or an
issuer with a comparable credit rating. Investors should be willing to forgo
the potential to participate in appreciation in the Index Fund, be willing to
accept the risks of owning interests in exchange traded funds in general and
the Financial Select Sector SPDR® Fund, in
particular, and be willing to lose some or all of their principal at maturity.
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The notes will pay 5.50% (equivalent to
11.00% per annum) interest over the term of the notes. However, the
notes do not guarantee any return of principal at maturity. Instead,
the payment at maturity will be based on the Final Share Price of one share of
the Index Fund and whether the closing price of one share of the Index Fund has
declined from the Initial Share Price by more than the Protection Amount during
the Monitoring Period, as described below.
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Senior unsecured obligations of
JPMorgan Chase & Co. maturing August 29, 2008*.
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Payment at maturity for each $1,000
principal amount note will be a cash payment equal to either $1,000 or the Cash
Value (as defined below), in each case, together with any accrued and unpaid
interest, as described below.
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Minimum denominations of $1,000 and
integral multiples thereof.
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The notes are expected to price on or
about February 26, 2008 and are expected to settle on or about
February 29, 2008.
Key Terms
Index Fund:
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Financial Select Sector SPDR® Fund (the Index Fund)
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Tracking Index:
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The Financial Select Sector Index (the Tracking
Index). For additional
information, see Selected Purchase Considerations Return Linked to the Financial
Select Sector SPDR Fund and Selected Risk Considerations The Performance
of the Index Fund May Not Correlate to the Performance of the Tracking Index.
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Interest Rate:
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5.50% (equivalent to 11.00% per annum), paid monthly and calculated on a
30/360 basis.
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Protection Amount:
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An amount that represents at least 25% of the Initial Share
Price, subject to adjustments. The actual Protection Amount will be set on
the pricing date and will not be less than 25% of the Initial Share Price,
subject to adjustments.
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Maturity Date:
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August 29, 2008*
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Observation Date:
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August 26, 2008*
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CUSIP:
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48123MUD2
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Interest Payment Date:
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Interest on the notes will be payable
monthly in arrears on the last calendar day of each month, except for the
final interest payment, which will be payable on the Maturity Date (each such
date, an Interest Payment Date), commencing March 31, 2008, to and
including the Interest Payment Date corresponding to the Maturity Date. See
Selected Purchase Considerations Monthly Interest Payments in this term
sheet for more information.
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Payment at Maturity:
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The payment at maturity, in excess of any accrued and unpaid
interest, is based on the performance of the Index Fund. You will receive
$1,000 for each $1,000 principal amount note, plus any accrued and unpaid interest
at maturity, unless:
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(1) |
the Final Share Price is less than the Initial Share
Price; and |
(2) |
on any trading
day during the Monitoring Period, the closing price of one share of the Index
Fund has declined, as compared to the Initial Share Price, by more than the
Protection Amount. |
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If the conditions described in (1) and (2) are both
satisfied, at maturity you will receive, instead of the principal amount of
your notes, the Cash Value, plus any accrued and unpaid interest. The Cash
Value will be less than the principal amount of your notes and may be zero.
Accordingly, you may lose some or all of your principal if you invest in the
notes.
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Monitoring Period:
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The period from the pricing date to and including the
Observation Date.
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Cash Value:
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The amount in cash equal to the product of (1) $1,000
divided by the Initial Share Price and (2) the Final Share Price, subject to
adjustments.
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Initial Share Price:
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The closing price of one share of the Index Fund on the
American Stock Exchange on the pricing date, divided by the Share Adjustment
Factor.
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Final Share Price:
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The closing price of one share of the Index Fund on the American
Stock Exchange on the Observation Date.
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Share Adjustment Factor:
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Set equal to 1.0 on the pricing date, subject to adjustment
under certain circumstances. See General Terms of Notes Anti-Dilution
Adjustments in the accompanying product supplement no. 116-I.
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* |
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. 116-I. |
Investing in the Reverse
Exchangeable Notes involves a number of risks. See Risk Factors beginning on
page PS-6 of the accompanying product supplement no. 116-I and Selected Risk
Considerations beginning on page TS-2 of this term sheet.
JPMorgan Chase & Co. has filed
a registration statement (including a prospectus) with the Securities and
Exchange Commission, or SEC, for the offering to which this term sheet
relates. Before you invest, you should read the prospectus in that
registration statement and the other documents relating to this offering that
JPMorgan Chase & Co. has filed with the SEC for more complete information
about JPMorgan Chase & Co. and this offering. You may get these documents
without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively,
JPMorgan Chase & Co., any agent or any dealer participating in this
offering will arrange to send you the prospectus, each prospectus supplement, product
supplement no. 116-I and this term sheet if you so request by calling toll-free
866-535-9248.
You may revoke your offer to
purchase the notes at any time prior to the time at which we accept such offer
by notifying the applicable agent. We reserve the right to change the terms
of, or reject any offer to purchase, the notes prior to their issuance. In the
event of any changes to the terms of the notes, we will notify you and you will
be asked to accept such changes in connection with your purchase. You may also
choose to reject such changes in which case we may reject your offer to purchase.
Neither the SEC nor any state securities commission has approved or
disapproved of the notes or passed upon the accuracy or the adequacy of this
term sheet or the accompanying prospectus supplements and prospectus. Any
representation to the contrary is a criminal offense.
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Price to Public
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Fees and Commissions (1)
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Proceeds to Us
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Per note
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$
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$
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$
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Total
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$
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$
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$
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(1) |
If the notes priced
today, J.P. Morgan Securities Inc., which we refer to as JPMSI, acting as agent
for JPMorgan Chase & Co., would receive a commission of $39.90 per $1,000
principal amount note and would use a portion of that commission to allow
selling concessions to other dealers of approximately $27.50 per $1,000
principal amount note. The concessions of approximately $27.50 include concessions
to be allowed to selling dealers and concessions to be allowed to an arranging
dealer. The actual commission received by JPMSI may be more or less than $39.90
and will depend on market conditions on the pricing date. In no event will the
commission received by JPMSI, which includes concessions to be paid to other
dealers, exceed $60.00 per $1,000 principal amount note. See Underwriting
beginning on page PS-34 of the accompanying product supplement no. 116-I. |
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The total aggregate
principal amount of notes being offered by this term sheet may not be purchased
by investors in the offering. Under these circumstances, JPMSI will retain the
unsold portion of the offering and has agreed to hold such notes for investment
for a period of at least 30 days. The unsold portion of notes will not exceed
15% of the aggregate principal amount of notes. Any unsold portion may affect
the supply of the notes available for secondary trading and, therefore, could
adversely affect the price of the notes in the secondary market. Circumstances
may occur in which our interests or those of our affiliates could be in
conflict with your interests. |
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
February 11, 2008
Additional Terms Specific to the Notes
You should read this term sheet 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. 116-I dated February 11, 2008. This term sheet, together with
the documents listed below, contains the terms of the notes 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. 116-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 website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the
relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 19617. As used in
this term sheet, the Company, we, us or our refers to JPMorgan Chase
& Co.
Selected Purchase Considerations
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THE NOTES OFFER A HIGHER INTEREST RATE
THAN THE YIELD ON DEBT SECURITIES OF COMPARABLE MATURITY ISSUED BY US OR AN
ISSUER WITH A COMPARABLE CREDIT RATING The notes will pay 5.50% (equivalent to 11.00% per annum) interest over
the term of the notes, which we believe is higher than the yield received on
debt securities of comparable maturity issued by us or an issuer with a
comparable credit rating. Because the notes are our senior unsecured
obligations, any interest payment or any payment at maturity is subject to our
ability to pay our obligations as they become due.
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MONTHLY INTEREST PAYMENTS The notes offer monthly
interest payments at a rate of 5.50% (equivalent to 11.00% per annum) over the
term of the notes. Interest will be payable monthly in arrears on the last calendar day of each month, except for the final interest
payment, which will be payable on the Maturity Date (each such date, an
Interest Payment Date), commencing March 31, 2008, to and including the
Interest Payment Date corresponding to the Maturity Date, to the holders of record at
the close of business on the date 15 calendar days prior to the applicable
Interest Payment Date. If an Interest Payment Date is not a business day,
payment will be made on the next business day immediately following such day,
but no additional interest will accrue as a result of the delayed payment.
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THE NOTES DO NOT GUARANTEE THE RETURN
OF YOUR PRINCIPAL Your
return of principal at maturity is protected so long as the Final Share Price does
not decline from the Initial Share Price or the closing price of one share of
the Index Fund does not decline, as compared to the Initial Share Price, by more
than the Protection Amount on any day during the Monitoring Period. However,
if the Final Share Price declines from the Initial Share Price and the closing
price of one share of the Index Fund on any day during the Monitoring Period has
declined by more than the Protection Amount, you could lose the entire
principal amount of your notes.
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RETURN LINKED TO THE FINANCIAL
SELECT SECTOR SPDR® FUND The return on the notes
is linked to the Financial Select Sector SPDR® Fund. The Index Fund
is an exchange-traded fund that trades on the American Stock Exchange LLC, or
AMEX and is managed by SSgA Funds Management, Inc. (SSFM). The Index Fund
seeks investment results that, before expenses, generally correspond to the
price and yield performance of publicly traded equity securities of companies
in the financial services sector, as represented by the Financial Select Sector
Index, which we refer to as the Tracking Index. The Tracking Index measures
the performance of the financial services sector of the U.S. equity market, as
defined by the S&P 500® Index. The Tracking Index includes
companies in the following sub-sectors: banking, mortgage finance, consumer
finance, specialized finance, investment banking and brokerage, asset
management and custody, corporate lending, insurance and financial investment,
and real estate, including real estate investment trusts. For additional
information about the Index Fund and the Tracking Index, see the information
set forth under The Financial Select Sector SPDR® Fund in the
accompanying product supplement no. 116-I.
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TAX TREATMENT AS A UNIT COMPRISING A
PUT OPTION AND A DEPOSIT You should review carefully the section entitled Certain U.S. Federal
Income Tax Consequences in the accompanying product supplement no. 116-I. We
and you agree (in the absence of an administrative determination or judicial
ruling to the contrary) to treat the notes as units comprising a Put Option and
a Deposit for U.S. federal income tax purposes. We will
determine the portion of each coupon payment that we will allocate to interest
on the Deposit and to Put Premium, respectively, and will provide that
allocation in the pricing supplement for the notes. If the notes had priced on
February 8, 2008, of each coupon payment, we would have
treated approximately 26.55% as interest on the Deposit and the remainder as
Put Premium. The actual allocation that we will determine for the notes may
differ from this hypothetical allocation, and will depend upon a variety of
factors, including actual market conditions and our borrowing costs for debt
instruments of comparable maturities on the pricing date. Assuming this
characterization is respected, amounts treated as interest on the Deposit will
be taxed as ordinary income while the Put Premium will not be taken into
account prior to maturity or sale. However, there are other reasonable
treatments that the Internal Revenue Service (the IRS) or a court may adopt,
in which case the timing and character of any income or loss on the notes could
be significantly and adversely affected. In addition, on
December 7, 2007, Treasury and the IRS released a
notice requesting comments on the U.S.
federal income tax treatment of prepaid forward contracts and similar
instruments. While it is not clear whether the notes would be viewed as
similar to the typical prepaid forward contract described in the notice, it is
possible that any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax
consequences of an investment in the notes, possibly with retroactive effect.
The notice focuses on a number of issues, the most relevant of which for holders
of the notes are the character of income or loss (including whether the Put
Premium might be currently included as ordinary income) and the degree, if any,
to which income realized by Non-U.S. Holders should be subject to withholding
tax. Both U.S. and Non-U.S. Holders should consult
their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the notes, including
possible alternative treatments and the issues presented by this notice. Purchasers who are not initial
purchasers of notes at the issue price should also consult their tax advisers
with respect to the tax consequences of an investment in the notes, including
possible alternative characterizations, as well as the allocation of the
purchase price of the notes between the Deposit and the Put Option.
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JPMorgan
Structured Investments
Reverse Exchangeable Notes Linked to the SPDR Trust, Series 1
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TS-1 |
Selected Risk Considerations
An
investment in the notes involves significant risks. Investing in the notes is
not equivalent to investing directly in the Index Fund, the Tracking Index or
any of the equity securities held by the Index Fund or included in the Tracking
Index. These risks are explained in more detail in the Risk Factors section
of the accompanying product supplement no. 116-I dated February 11, 2008.
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS The
notes do not guarantee any return of principal. The payment at maturity will
be based on the Final Share Price and whether the closing price of one share of
the Index Fund has declined from the Initial Share Price by more than the
Protection Amount on any trading day during the Monitoring Period. Under
certain circumstances, you will receive at maturity the Cash Value instead of
the principal amount of your notes. The Cash Value will be less than the
principal amount of each note and may be zero. Accordingly, you could lose
up to the entire principal amount of your notes.
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YOUR PROTECTION AMOUNT MAY TERMINATE ON ANY DAY DURING
THE TERM OF THE NOTES If, on any trading day during the Monitoring Period,
the closing price of one share of the Index Fund declines below the Initial
Share Price minus the Protection Amount, you will be fully exposed to any
depreciation in the Index Fund. We refer to this feature as a contingent
buffer. Under these circumstances, and if the Final Share Price is less
than the Initial Share Price, you will receive at maturity the Cash Value and,
consequently, you will lose 1% of the principal amount of your investment for
every 1% decline in the Final Share Price, as compared to the Initial Share
Price. You will be subject to this potential loss of principal even if the
price of the Index Fund subsequently recovers such that the Index Fund closes
at a level above the Initial Share Price minus the Protection Amount. If these
notes had a non-contingent buffer feature, under the same scenario, you would
have received the full principal amount of your notes plus accrued and unpaid
interest at maturity. As a result, your investment in the notes may not
perform as well as an investment in a security with a return that includes a
non-contingent buffer.
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YOUR RETURN ON THE NOTES IS LIMITED TO THE PRINCIPAL AMOUNT PLUS ACCRUED
INTEREST REGARDLESS OF ANY APPRECIATION IN THE VALUE OF THE INDEX FUND Unless
(i) the Final Share Price is less than the Initial Share Price and (ii) on any
trading day during the Monitoring Period, the closing price of one share of the
Index Fund has declined, as compared to the Initial Share Price, by more than
the Protection Amount, for each $1,000 principal amount note, you will receive
$1,000 at maturity plus any accrued and unpaid interest, regardless of any
appreciation in the value of the shares of the Index Fund, which may be
significant. Accordingly, the return on the notes may be significantly less
than the return on a direct investment in the shares of the Index Fund during
the term of the notes.
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NO AFFILIATION WITH THE INDEX FUND We are not affiliated with the issuer of the Index Fund. We assume
no responsibility for the adequacy of the information about the Index Fund and
the Tracking Index contained in this term sheet or in product supplement no. 116-I.
You should make your own investigation into the Index Fund and the Tracking
Index. We are not responsible for the Index Fundspublic disclosure of information, whether contained in
SEC filings or otherwise.
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CERTAIN BUILT-IN COSTS ARE LIKELY
TO ADVERSELY AFFECT THE VALUE OF THE NOTES PRIOR TO MATURITY While the payment at maturity, if any,
described in this term sheet is based on the full principal amount of your
notes, the original issue price of the notes includes the agents commission
and the estimated cost of hedging our obligations under the notes through one
or more of our affiliates. As a result, and as a general matter, 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. This secondary market price will also be affected by a number of
factors aside from the agents commission and hedging costs, including those referred
to under Many Economic and Market Factors Will Impact the Value of the Notes
below.
The notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS As a holder of the notes, you will not
have voting rights or rights to receive cash dividends or other distributions
or other rights that holders of shares of the Index Fund or the equity securities
held by the Index Fund or included in the Tracking Index would have.
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THERE ARE RISKS ASSOCIATED WITH THE INDEX FUND Although shares
of the Index Fund are listed for trading on the AMEX and a number of similar
products have been traded on the AMEX and other securities exchanges for
varying periods of time, there is no assurance that an active trading market
will continue for the shares of the Index Fund or that there will be liquidity
in the trading market. In addition, SSFM is the
Index Funds investment adviser. The Index Fund is subject to management risk,
which is the risk that the SSFMs investment strategy, the implementation of
which is subject to a number of constraints, may not produce the intended
results. For example, SSFM may invest up to 5% of the Index Funds assets in
securities not included in the Tracking Index but which SSFM believes will help
the Index Fund track the Tracking Index, as well as in
certain futures, options, swap contracts and other derivatives, cash and cash
equivalents or money market instruments, such as repurchase agreements and
money market funds (including affiliated money market funds).
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JPMorgan
Structured Investments
Reverse Exchangeable Notes Linked to the SPDR Trust, Series 1
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TS-2 |
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THE PERFORMANCE OF THE INDEX
FUND MAY NOT CORRELATE TO THE PERFORMANCE OF THE TRACKING INDEX The
Index Fund will generally invest in all of the equity securities included in
the Tracking Index. There may, however, be instances where SSFM may choose to
overweight another stock in the Tracking Index, purchase securities not
included in the Tracking Index that SSFM believes are appropriate to substitute
for a security included in the Tracking Index or utilize various combinations
of other available investment techniques in seeking to track accurately the Tracking
Index. In addition, the performance of the Index Fund will reflect additional transaction costs
and fees that are not included in the calculation of the Tracking Index. Also, corporate
actions with respect to the equity securities (such as mergers and spin-offs)
may impact the variance between the Index Fund and the Tracking Index. Finally, because the
shares of the Index Fund are traded on the AMEX and are subject to market
supply and investor demand, the market value of one share of the Index Fund may
differ from the net asset value per share of the Index Fund. For all of the
foregoing reasons, the performance of the Index Fund may not correlate with the
performance of the Tracking Index. For additional information about the
variation between the performance of the Index Fund and the performance of the
Tracking Index, see the information set forth under The Financial
Select Sector SPDR® Fund in the
accompanying product supplement no. 116-I.
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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.
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THE ANTI-DILUTION PROTECTION FOR THE INDEX FUND IS LIMITED The
calculation agent will make adjustments to the Share Adjustment Factor for
certain events affecting the shares of the Index Fund. However, the
calculation agent will not make an adjustment in response to all events that
could affect the shares of the Index Fund. If an event occurs that does not
require the calculation agent to make an adjustment, the value of the notes may
be materially and adversely affected.
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POTENTIAL CONFLICTS
We and our affiliates play a variety of roles in connection with the
issuance of the notes, including acting as calculation agent. 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. In addition, we are currently one of the companies that make up the
Index Fund and the Tracking Index. We will not have any obligation to consider
your interests as a holder of the notes in taking any corporate action that
might affect the value of the Index Fund, the Tracking Index and the notes.
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THE INDEX FUND IS CONCENTRATED IN THE FINANCIAL SERVICES SECTOR All or substantially all of
the equity securities held by the Index Fund are issued by companies whose
primary line of business is directly associated with the financial services
sector. Profitability is largely dependent on
the availability and cost of capital funds, and can fluctuate significantly
when interest rates change. Credit losses resulting from financial difficulties
of borrowers can negatively impact the sector. Insurance companies may be
subject to severe price competition. Adverse economic, business or political
developments affecting real estate could have a major effect on the value of
real estate securities. As a result, the value of the notes may be subject to
greater volatility and be more adversely affected by a single economic,
political or regulatory occurrence affecting these industries than a different
investment linked to securities of a more broadly diversified group of issuers.
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HEDGING AND TRADING IN THE INDEX FUND While the notes are
outstanding, we or any of our affiliates may carry out hedging activities
related to the notes, including in the shares of the Index Fund, the equity
securities held by the Index Fund or included in the Tracking Index or
instruments related to the shares of the Index Fund. We or our affiliates may also
trade in the shares of the Index Fund or instruments related to the shares of
the Index Fund from time to time. Any of these hedging or trading activities
as of the pricing date and during the term of the notes could adversely affect our
payment to you at maturity.
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MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE
VALUE OF THE NOTES In addition to the value of the shares of the Index
Fund and interest rates on any trading 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 and which are set out in more detail in product supplement
no. 116-I.
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JPMorgan
Structured Investments
Reverse Exchangeable Notes Linked to the SPDR Trust, Series 1
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TS-3 |
Historical
Information
The
following graph sets forth the historical performance of the shares of the
Index Fund based on the weekly closing price of one share of the Index Fund
from January 3,
2003 through February 8, 2008. The
closing price of one share of the Index Fund on February 8, 2008 was $27.12. We
obtained the closing prices and other information below from Bloomberg
Financial Markets without independent verification. The closing prices and this
other information may be adjusted by Bloomberg Financial Markets for corporate
actions such as public offerings, mergers and acquisitions, spin-offs,
delisting and bankruptcy. We make no representation or warranty as to the
accuracy or completeness of the information obtained from Bloomberg Financial
Markets.
Since
its inception, the Index Fund has experienced significant fluctuations. The
historical performance of the shares of the Index Fund should not be taken as
an indication of future performance, and no assurance can be given as to the
closing prices of one share of the Index Fund during the term of the notes. We
cannot give you assurance that the performance of the Index Fund will result in
the return of any of your initial investment. We make no representation as to
the amount of dividends, if any, that the Index Fund or the equity securities held
by the Index Fund will pay in the future. In any event, as an investor in the
notes, you will not be entitled to receive dividends, if any, that may be
payable on the Index Fund or the equity securities held by the Index Fund.
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JPMorgan
Structured Investments
Reverse Exchangeable Notes Linked to the SPDR Trust, Series 1
|
TS-4 |
Examples of Hypothetical Payment at Maturity for Each $1,000 Principal
Amount Note
The following table illustrates
hypothetical payments at maturity on a $1,000 investment in the notes, based on
a range of hypothetical Final Share Prices and assuming that the closing price
of one share of the Index Fund declines in the manner set forth in the column
titled Hypothetical lowest closing price during the Monitoring Period. The numbers appearing in
the following table and examples have been rounded for ease of analysis. For this table of hypothetical payments
at maturity, we have also assumed the following:
- the Initial Share Price: $27.00
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- the Interest Rate: 5.50%
(equivalent to 11.00% per annum)
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Hypothetical lowest closing price during
the Monitoring
Period
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Hypothetical Final Share Price
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Payment at Maturity**
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$27.00
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$54.00
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$1,000.00
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$13.50
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$28.35
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$1,000.00
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$27.00
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$27.00
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$1,000.00
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$20.25
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$20.25
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$1,000.00
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$13.50
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$25.65
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$950.00
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$13.50
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$13.50
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$500.00
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$6.75
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$6.75
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$250.00
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$0.00
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$0.00
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$0.00
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** |
Note that you will receive at
maturity any accrued and unpaid interest in cash, in addition to either the
Cash Value or the principal amount of your note in cash. |
The following examples illustrate how the payments at
maturity set forth in the table above are calculated.
Example 1: The lowest closing price of one share of the
Index Fund during the Monitoring Period was $13.50 but the Final Share Price is
$28.35. Because the Final Share Price
of $28.35 is greater than the Initial Share Price of $27.00, you will receive a
payment at maturity of $1,000 per $1,000 principal amount note.
Example 2: The lowest closing price of one share of the
Index Fund during the Monitoring Period was $13.50 and the Final Share Price is
$25.65. Because the Final Share Price
of $25.65 is less than the Initial Share Price of $27.00 and the closing price
of one share of the Index Fund declined by more than the Protection Amount on
at least one day during the Monitoring Period, you will receive the Cash Value
at maturity. Because the Final Share Price of the Index Fund is $25.65, your
final payment at maturity is $950.00.
Example 3: The closing price of one share of the Index Fund does
not decline, as compared with the Initial Share Price, by more than the
Protection Amount on any day during the Monitoring Period prior to the
Observation Date. However, the closing price of one share of the Index Fund on
the Observation Date is $13.50, a decline of more than the Protection Amount. Because the Final Share Price of $13.50 is
less than the Initial Share Price of $27.00 and the Final Share Price has
declined by more than the Protection Amount, you will receive the Cash Value at
maturity. Because the Final Share Price of the Index Fund is $13.50, your
final payment at maturity is $500.00.
Example
4: The Final Share Price of $20.25 is less than the Initial Share Price of $27.00
but does not decline by more than the Protection Amount and the closing price
of one share of the Index Fund does not decline by more than the Protection Amount
on any day during the Monitoring Period. Because the closing price of one share of the Index Fund has not
declined by more than the Protection Amount on any day during the Monitoring
Period, you will receive a payment at maturity of $1,000 per $1,000 principal
amount note, even though the Final Share Price of $20.25 is less than the
Initial Share Price of $27.00.
Regardless
of the performance of the shares of the Index Fund or the payment you receive
at maturity, you will receive interest payments, for each $1,000 principal
amount note, in the aggregate amount of approximately $55.00 over the term of
the notes. The Cash Value you may receive at maturity and the actual
Protection Amount applicable to your notes may be more or less than the amounts
displayed in this hypothetical and will depend in part on the closing price of
one share of the Index Fund on the pricing date.
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JPMorgan
Structured Investments
Reverse Exchangeable Notes Linked to the SPDR Trust, Series 1
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TS-5 |