Term sheet
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Term Sheet to Product Supplement No. 109-II Registration Statement No. 333-130051 Dated August 1, 2008; Rule 433 |
Structured |
JPMorgan
Chase & Co. $ Principal Protected Asset Allocation Notes Linked to the Performance of the Best Performing of the Three Reference Portfolios Each Comprised of Four Asset Classes: (1) a Weighted Basket of the British Pound Sterling, the European Union Euro and the Japanese Yen Relative to the U.S. Dollar, (2) the Dow Jones AIG Commodities IndexSM, (3) the JPMorgan GBI Global Bond Total Return Index Hedged into U.S. Dollars and (4) a Weighted Basket of the S&P 500® Index, the Dow Jones EURO STOXX 50® Index and the Nikkei 225 Index due August 29, 2014 |
General
Key Terms
Payment at Maturity: |
On the Maturity Date we will pay you $1,000 for each $1,000 principal amount of notes plus the Additional Amount, if any. |
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Additional Amount:
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The Additional Amount will relate to the Portfolio Return of the best performing of three Reference Portfolios: the Conservative Portfolio, the Balanced Portfolio and the Growth Portfolio. The Reference Portfolios will be comprised of the same asset classes but with different weightings. The Additional Amount per $1,000 principal amount note will equal the greater of: (a) zero;(b) $1,000 multiplied by the Conservative Portfolio Return multiplied by the Participation Rate; (c) $1,000 multiplied by the Balanced Portfolio Return multiplied by the Participation Rate; or (d) $1,000 multiplied by the Growth Portfolio Return multiplied by the Participation Rate. |
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Participation Rate: |
At least 100%. The actual Participation Rate will be set on the Pricing Date, but will not be less than 100%. |
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Portfolio Return: |
The Portfolio Return on the Observation Date, with respect to each Reference Portfolio, will equal the sum of the Asset Class Returns multiplied by their respective Asset Class Weights applicable to such Reference Portfolio, calculated as follows: (Currency Basket Return* Currency Basket Weight) + (Commodities Index Return * Commodities Index Weight) + (Equity Basket Return * Equity Basket Weight) + (Bond Index Return * Bond Index Weight) |
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Asset Class Return: |
With respect to each Asset Class, the Asset Class Return refers to the Currency Basket Return, the Commodities Index Return, the Equity Basket Return and the Bond Index Return, as applicable and each calculated as set forth in this term sheet. |
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Asset Class Weights: |
The following table sets forth the relevant Asset Class Weights for each Reference Portfolio: |
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Asset Class |
Conservative Portfolio |
Balanced Portfolio |
Growth Portfolio |
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Currency Basket |
15% |
10% |
5% |
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Commodities Index |
10% |
15% |
20% |
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Equity Basket |
25% |
40% |
60% |
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Bond Index |
50% |
35% |
15% |
Starting Value: |
The Starting Value for each Reference Portfolio will be set at 100 on the Pricing Date, which is expected to be July 28, 2008. |
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Pricing Date: |
August 26, 2008 |
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Settlement Date: |
August 29, 2008 |
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Maturity Date: |
August 29, 2014* |
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Observation Date: |
August 26, 2014* |
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CUSIP: |
48123LJL9 |
* |
Subject to postponement as described under Description of NotesPayment at Maturity in the accompanying product supplement no. 109-II, or early acceleration in the event of a hedging disruption event as described under General Terms of the NotesConsequences of a Hedging Disruption Event in the accompanying product supplement no. 109-II and in Selected Risk ConsiderationsCommodity Futures Contracts Are Subject to Uncertain Legal and Regulatory Regimes in this term sheet. |
Investing in the Principal Protected Notes involves a number of risks. See Risk Factors beginning on page PS-21 of the accompanying product supplement no. 109-II and Selected Risk Considerations beginning on page TS-3 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. 109-II 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 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 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 (1) |
Fees and Commissions (2) |
Proceeds to Us |
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Per note |
$ |
$ |
$ |
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Total |
$ |
$ |
$ |
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(1) |
The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates. |
(2) |
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 approximately $70.00 per $1,000 principal amount note and would use a portion of that commission to pay selling concessions to other dealers of approximately $40.00 per $1,000 principal amount note. This commission includes the projected profits that our affiliates expect to realize in consideration for assuming risks inherent in hedging our obligations under the notes. The actual commission received by JPMSI may be more or less than $70.00 and will depend on market conditions on the pricing date. In no event will the commission received by JPMSI, which includes concessions that may be paid to other dealers, exceed $75.00 per $1,000 principal amount note. See Underwriting beginning on page PS-106 of the accompanying product supplement no. 109-II. |
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
August 1, 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. 109-II dated August 1, 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. 109-II, 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):
Product supplement no. 109-II dated August 1, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208003880/e32486_424b2.pdf
Prospectus
supplement dated October 12, 2006:
http://www.sec.gov/Archives/edgar/data/19617/000089109206003117/e25276_424b2.pdf
Prospectus
dated December 1, 2005:
http://www.sec.gov/Archives/edgar/data/19617/000089109205002389/e22923_base.txt
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.
Additional Key Terms
Currency Basket
Currency Basket: |
An equally weighted basket of currencies that will measure the performance of the exchange rates of three currencies (each, an Underlying Currency and, collectively, the Underlying Currencies) versus the U.S. dollar (the Reference Currency). The Spot Rates for the British Pound Sterling (the Pound Sterling) and the European Union Euro (the Euro) are expressed as the amount of Reference Currency per one unit of the applicable Underlying Currency. The Spot Rate for the Japanese Yen (the Yen) is expressed as one divided by the amount of Yen per one unit of Reference Currency. |
Underlying Currency
Rate
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Starting Spot Rate
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Reuters Page
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Weight
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Pound Sterling (GBP) |
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WMRSPOT05 |
1/3 |
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Euro (EUR) |
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WMRSPOT05 |
1/3 |
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Yen (JPY) |
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WMRSPOT12 |
1/3 |
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The Starting Spot Rate for each of the Pound Sterling and the Euro will be determined by the Calculation Agent in good faith and in a commercially reasonable manner at approximately 11:00 a.m., New York City time, on the Pricing Date taking into account either applicable intra-day trades or the rates displayed on the applicable Reuters page. |
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The Starting Spot Rate for the Yen will be determined by the Calculation Agent in good faith and in a commercially reasonable manner at approximately 11:00 a.m., New York City time, on the Pricing Date taking into account the quotient of one divided by either applicable intra-day trades or the rates displayed on the applicable Reuters page. For information about the risks related to this discretion, see Selected Risk Considerations Potential Conflicts on page TS-3 of this term sheet. |
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For the avoidance of doubt, the standard market quoting convention for expressing the exchange rate of the Yen relative to the U.S. dollar is expressed as an amount of Yen per one U.S. dollar. For the purposes of this note and the defined terms Starting Spot Rate, Ending Spot Rate and Spot Rate for the Yen, we have inverted this exchange rate to reference an amount of U.S. dollars per one Yen. |
Currency Basket Return: |
Ending Currency Basket Level Starting Currency
Basket Level |
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Starting
Currency |
Set to equal 100 on the Pricing Date, which is expected to be August 26, 2008. |
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Ending
Currency Basket |
The Currency Basket Closing Level on the Currency Basket Observation Date. |
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Currency
Basket Closing |
The Currency Basket Closing Level will be calculated as follows: |
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100 x (1 + (GBP Return x 1/3) + (EUR Return x 1/3) + (JPY Return x 1/3)) |
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where each of the GBP Return, EUR Return and JPY Return are the respective changes of each of the Underlying Currencies, expressed as a percentage, from the Starting Spot Rate of the relevant Underlying Currency on the Pricing Date to the Spot Rate of such Underlying Currency on the Currency Basket Observation Date. The Spot Rates on a given date that falls after the Pricing Date are the amounts reported by Reuters Group PLC on page WMRSPOT05 (for the GBP Return and the EUR Return) and page WMRSPOT12 (for the JPY Return) at approximately 11:00 a.m., New York City time, on such date and, with respect to the Pound Sterling and the Euro, are expressed as the amount of Reference Currency per one unit of the applicable Underlying Currency and, with respect to the Yen, are expressed as one divided by the amount of Yen per one unit of Reference Currency. |
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For additional information, see Description of the Notes Payment at Maturity in the accompanying |
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JPMorgan
Structured Investments |
TS-1 |
product supplement. | ||||||
Currency
Basket |
August 26, 2014* |
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Commodities Index |
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Commodities Index: |
Dow JonesAIG Commodities IndexSM (DJAIG) |
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Commodities
Index |
Ending Commodities Index Level Starting Commodities
Index Level |
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Starting
Commodities |
The Commodities Index Closing Level on the Pricing Date, which is expected to be August 26, 2008. |
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Ending
Commodities |
The Commodities Index Closing Level on the Commodities Index Observation Date. |
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Commodities
Index |
The final Commodities Index Level of the Commodities Index or any Commodities successor index on the applicable Commodities Index Trading Day. |
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Commodities
Index |
August 26, 2014* |
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Equity Basket |
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Equity Basket: |
A basket of three equity indices (each, an Underlying Equity Index and, together, the Underlying Equity Indices) consisting of: |
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Underlying Equity Index |
Weight |
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S&P 500® Index (SPX) |
1/3 |
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Dow Jones EURO STOXX 50® Index (SX5E) |
1/3 |
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Nikkei 225 Index (NKY) |
1/3 |
Equity Basket Return: |
Ending Equity Basket Level Starting Equity Basket
Level |
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Starting
Equity Basket |
Set equal to 100 on the Pricing Date, which is expected to be August 26, 2008. |
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Ending
Equity Basket |
The Equity Basket Closing Level on the Equity Basket Observation Date. |
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Equity
Basket Closing |
The Equity Basket Closing Level will be calculated as follows: |
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100 x (1 + (S&P 500® Index Return x 1/3) + (Dow Jones EURO STOXX 50® Index Return x 1/3) + (Nikkei 225 Index Return x 1/3)) |
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The S&P 500® Index Return, Dow Jones EURO STOXX 50® Index Return and Nikkei 225 Index Return reflect the respective performance of each of the Underlying Equity Indices, expressed as a percentage, from the Starting Underlying Equity Index Level to the Ending Underlying Equity Index Level. For additional information please see Description of the Notes Payment at Maturity. |
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Equity
Basket |
August 26, 2014* |
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Bond Index |
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Bond Index: |
JPMorgan GBI Global Bond Total Return Index Hedged in U.S. dollars (JHDCGBIG) |
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Bond Index Return: |
Ending Bond Index Level Starting Bond Index Level |
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Starting
Bond Index |
The Bond Index Closing Level on the Pricing Date, which is expected to be August 26, 2008. |
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Ending
Bond Index |
The Bond Index Closing Level on the Bond Index Observation Date. |
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Bond
Index Closing |
The closing level of the Bond Index Hedged in U.S. dollars or any Bond successor index on the applicable Bond Index Trading Day as published by JPMSI at Bloomberg ticker JHDCGBIG or as otherwise made available by JPMSI to you as more fully described in the accompanying product supplement. |
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Bond
Index Observation |
August 26, 2014* |
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JPMorgan
Structured Investments |
TS-2 |
Selected Purchase Considerations
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the components of the Asset Classes or any securities linked to the components of the Asset Classes. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 109-II dated August 1, 2008.
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JPMorgan
Structured Investments |
TS-3 |
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JPMorgan
Structured Investments |
TS-4 |
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JPMorgan
Structured Investments |
TS-5 |
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JPMorgan
Structured Investments |
TS-6 |
In addition, the policies and judgments for which JPMSI is responsible may affect the Bond Index level and the value of your notes. JPMSI is under no obligation to consider your interests as an investor in the notes. Furthermore, the inclusion of a Bond Index security in the Bond Index is not an investment recommendation by us or JPMSI of that Bond Index Security.
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JPMorgan
Structured Investments |
TS-7 |
What Is the Payment at Maturity on the Notes Assuming a Range of Performance?
The table below illustrates the payment at maturity (including, where relevant, the payment of the Additional Amount) for a $1,000 principal amount of notes for a hypothetical range of performance for the best performing Reference Portfolio from +80% to -80% assumes a Participation Rate of 100%. The following table assumes that the best performing Reference Portfolio will be the Balanced Portfolio. We make no representation or warranty as to which of the Reference Portfolios will be the best performing Reference Portfolio for the purposes of calculating your return on the notes at maturity. The following table also assumes a hypothetical Starting Value of 100. 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.
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 Portfolio Return of the Balanced Reference Portfolio is 120 with a Starting Value of 100. Because the Portfolio Return of 120 is greater than the Starting Value of 100, the Additional Amount is equal to $200 and the final payment at maturity is equal to $1,200 per $1,000 principal amount of notes calculated as follows:
Payment at maturity per $1,000 principal amount of notes = $1,000 + ($1,000 x [(120 - 100) / 100] x 100%) = $1,200
Example 2: The Portfolio Return of the Balanced Reference Portfolio is 70 with a Starting Value of 100. Because the Portfolio Return of 70 is lower than the Starting Value of 100, the final payment at maturity is the principal amount of $1,000 per $1,000 principal amount of notes.
Example 3: The Portfolio Return of the Balanced Reference Portfolio is 110 with a Starting Value of 100. Because the Portfolio Return of 110 is greater than the Starting Value of 100, the Additional Amount is equal to $100 and the final payment at maturity is equal to $1,100 per $1,000 principal amount of notes calculated as follows:
Payment at maturity per $1,000 principal amount of notes = $1,000 + ($1,000 x [(110 - 100) / 100] x 100%) = $1,100
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JPMorgan
Structured Investments |
TS-8 |
Historical Information
The following graphs set forth the weekly historical performance for each of the Underlying Currencies, the Currency Basket, the Commodities Index, the Underlying Equity Indices, the Equity Basket and the Bond Index from January 3, 2003 through July 25, 2008. In addition, we have included the hypothetical historical performance for each of the three Reference Portfolios from January 3, 2003 through July 25, 2008.
The historical information presented below should not be taken as an indication of future performance, and no assurance can be given as to the spot rate or closing level, as applicable, of any of the below on any observation date. We cannot give you assurance that the performance of the components of the Reference Portfolios will result in the payment at maturity of an amount in excess of $1,000 per $1,000 principal amount of notes.
Currency Basket
The first three graphs on the following page show the weekly historical performance of each Underlying Currency from January 3, 2003 through July 25, 2008, expressed in terms of the standard market quoting convention for the Pound Sterling and the Euro as shown on Bloomberg Financial Markets (for each of the Pound Sterling and the Euro, the amount of U.S. dollars that can be exchanged for one unit of the applicable Underlying Currency, which we refer to as the exchange rate) and for the Yen, expressed in terms of the spot rate, which is an amount equal to one divided by the amount of Yen that can be exchanged for one U.S. dollar. The spot rates displayed in the graph for the Yen are not expressed in terms of the standard market quoting convention. For the avoidance of doubt, the standard market quoting convention for expressing the exchange rate of the Yen relative to the U.S. dollar is expressed as an amount of Yen per one U.S. dollar. The exchange rates for the Pound Sterling, the Euro and the Yen at approximately 11:00 am, New York City time on July 31, 2008 were 1.98090, 1.56030 and 108.08000, respectively.
The exchange rates for the Pound Sterling and the Euro and the spot rates for the Yen displayed in the graphs are for illustrative purposes and also form part of the calculation of the Currency Basket Return and any Reference Portfolio. The value of the Currency Basket, and thus the Currency Basket Return, increases when the individual Underlying Currencies appreciate in value against the U.S. dollar. Therefore, the Currency Basket Return is calculated using Spot Rates (as set forth under Additional Key Terms Currency Basket) which with respect to the Pound Sterling and the Euro are the same as the exchange rates described above, and with respect to the Yen is expressed as one divided by the amount of Yen per one U.S. dollar.
The fourth graph below, of the historical Currency Basket performance, shows the weekly historical performance of the Currency Basket from January 3, 2003 through July 25, 2008, and assumes the Currency Basket Closing Level on January 3, 2003 was 100, that each Underlying Currency had a 1/3 weight in the Currency Basket on that date and that the closing spot rates of each Underlying Currency on the relevant date were the Spot Rates on such dates. The closing spot rates and the historical weekly Currency Basket performance data in the graphs were, with respect to the Pound Sterling and the Euro, the rates reported by Bloomberg Financial Markets, and, with respect to the Yen, were determined by dividing one by the rate reported by Bloomberg Financial Markets. These may not be indicative of the Currency Basket performance using the Spot Rates of the Underlying Currencies at approximately 11:00 a.m., New York City time that would be derived from the applicable Reuters page.
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JPMorgan
Structured Investments |
TS-9 |
The Spot Rates of Pound Sterling, the Euro and the Yen, at approximately 11:00 a.m., New York City time, on July 31, 2008 were 1.98090, 1.56030 and 0.00925, respectively, calculated in the manner set forth for calculating the Starting Spot Rates under Additional Key TermsCurrency Basket in this pricing supplement.
We obtained the exchange rates and the data needed to construct the graph which displays the weekly performance of the Currency Basket from Bloomberg Financial Markets, and, with respect to the Yen, we obtained the Spot Rate from Reuters Group PLC. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets or Reuters Group PLC. The historical performance of each Underlying Currency and the Currency Basket should not be taken as an indication of future performance, and no assurance can be given as to the closing level of any of the Underlying Currencies on the Currency Basket Observation Date. We cannot give you assurance that the performance of the Currency Basket will result in the return of more than the principal amount of your initial investment.
The closing spot rates and the historical weekly Currency Basket performance data in such graph were, with respect to the Pound Sterling and the Euro, the exchange rates reported by Bloomberg Financial Markets, and, with respect to the Yen, were determined by dividing one by the rate reported by Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets. The historical performance of each Underlying Currency and the Currency Basket should not be taken as an indication of future performance, and no assurance can be given as to the closing level of any of the Underlying Currencies on the Currency Basket Observation Date. We cannot give you assurance that the performance of the Currency Basket will result in the return of more than the principal amount of your initial investment.
Commodities Index
The graph below sets forth the weekly historical performance of the Dow JonesAIG Commodity IndexSM from January 3, 2003 through July 25, 2008. The Commodities Index Closing Level of the Dow JonesAIG Commodity IndexSM on July 31, 2008 was 205.103.
We obtained the Commodities Index Closing Levels and other information below from Bloomberg Financial Markets and accordingly, we make no representation or warranty as to their accuracy or completeness. The historical level of the Dow JonesAIG Commodity IndexSM should not be taken as an indication of future performance, and no assurance can be given as to the level of the Dow JonesAIG Commodity IndexSM on the Commodities Index Observation Date. We cannot give you assurance that the performance of the Dow JonesAIG Commodity IndexSM will result in the return of more than the principal amount of your initial investment.
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JPMorgan
Structured Investments |
TS-10 |
Equity Basket
The first three graphs below set forth the weekly historical performance of each Underlying Equity Index from January 3, 2003 through July 25, 2008. The closing level of the S&P 500® Index on July 31, 2008 was 1267.38. The closing level of the Nikkei 225 Index on July 31, 2008 was 13376.81. The closing level of the Dow Jones EURO STOXX 50® Index on July 31, 2008 was 3367.82.
The fourth graph below, of the historical Equity Basket performance, shows the weekly historical performance of the Equity Basket from January 3, 2003 through July 25, 2008, and assumes that the Equity Basket Closing Level on January 3, 2003 was 100 and that each Underlying Equity Index had a 1/3 weight in the Equity Basket on that date.
We obtained the various Underlying Equity Index closing levels and other information below from Bloomberg Financial Markets and accordingly, we make no representation or warranty as to their accuracy or completeness. The historical level of each Underlying Equity Index should not be taken as an indication of future performance, and no assurance can be given as to the level of any Underlying Equity Index on the Equity Index Observation Date. We cannot give you assurance that the performance of the Underlying Equity Indices will result in the return of more than the principal amount of your initial investment.
Bond Index
The following graph sets forth the weekly historical performance of the JPMorgan GBI Global Bond Total Return Index from January 3, 2003 through July 25, 2008. The Bond Index Closing Level of the JPMorgan GBI Global Bond Total Return Index on July 31, 2008 was 264.643.
We obtained the Bond Index Closing Levels and other information below from Bloomberg Financial Markets and accordingly, we make no representation or warranty as to their accuracy or completeness. The historical level of the JPMorgan GBI Global Bond Total Return Index should not be taken as an indication of future performance, and no assurance can be given as to the level of the JPMorgan GBI Global Bond Total Return Index on the Bond Index Observation Date. We cannot give you assurance that the performance of the JPMorgan GBI Global Bond Total Return Index Hedged in U.S. dollars will result in the return of more than the principal amount of your initial investment.
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JPMorgan
Structured Investments |
TS-11 |
Reference Portfolios
The following graphs set forth the hypothetical historical performance of each of the Reference Portfolios from January 3, 2003 through July 25, 2008 and assume the Starting Value of each Reference Portfolio was 100 on January 3, 2003 and that each Asset Class had the weightings as set forth in this pricing supplement on that date.
We obtained the various spot rates, closing levels and other information above from Bloomberg Financial Markets and accordingly, we make no representation or warranty as to their accuracy or completeness. The hypothetical historical value of each of the Reference Portfolios should not be taken as an indication of future performance, and no assurance can be given as to the value of any Reference Portfolio on the Observation Date. We cannot give you assurance that the performance of any of the Reference Portfolios will result in the return of more than the principal amount of your initial investment.
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JPMorgan
Structured Investments |
TS-12 |