View:
| Term
Sheet To prospectus dated December 1, 2005, prospectus supplement dated October 12, 2006 and product supplement no. 129-I dated April 10, 2008 |
Term
Sheet to
Product
Supplement No. 129-I
Registration
Statement No. 333-130051
Dated
April 10, 2008; Rule 433
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|
Structured
Investments
|
JPMorgan
Chase & Co.
$
Callable
Leveraged Floating Rate Notes Linked to the Spread Between the 30-Year
U.S. Constant Maturity Swap Rate and the 10-Year U.S. Dollar Constant
Maturity Swap Rate due April 25,
2023
|
General
|
·
|
Senior
unsecured obligations of JPMorgan Chase & Co. maturing April 25, 2023,
subject to postponement as described
below.
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|
·
|
The
notes are
designed for investors who seek fixed-rate interest payments for
an
initial period of two years and then floating-rate interest payments
linked to the spread between the 30-Year U.S. Dollar Constant Maturity
Swap Rate and the 10-Year U.S. Dollar Constant Maturity Swap Rate,
which
we refer to as Longer-Term CMS Rate and Shorter-Term CMS Rate,
respectively, while seeking full principal protection at
maturity.
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|
·
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At
our
option, we may redeem the notes, in whole or in part, on any of the
Redemption Dates specified below.
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·
|
Minimum
denominations of $1,000 and integral multiples
thereof.
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|
·
|
The
terms of the notes as set forth below, to the extent they differ
or
conflict with those set forth in the accompanying product supplement
no.
129-I, will supersede the terms set forth in product supplement no.
129-I.
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|
·
|
The
notes are
expected to price on or about April 23, 2008 and are expected to
settle on
or about April 25, 2008.
|
Key
Terms
|
Maturity
Date:
|
If
the notes
have not been redeemed, April 25, 2023, or if such day is not a business
day, the next succeeding business day.
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|
Payment
at
Maturity:
|
If
the notes
have not been redeemed, at maturity you will receive a cash payment
for
each $1,000 principal amount note of $1,000 plus
any accrued
and unpaid interest.
|
|
Payment
upon
Redemption:
|
At
our
option, we may redeem the notes, in whole or in part, on the
25th
calendar day
of January, April, July and October of each year (each such date,
a
“Redemption Date”), commencing April 25, 2010. If the notes are redeemed,
you will receive on the applicable Redemption Date a cash payment
equal to
$1,000 for each $1,000 principal amount note redeemed. Any accrued
and
unpaid interest on notes redeemed will be paid to the person who
is the
holder of record of such notes at the close of business on the
15th
calendar day
prior to the Redemption Date. We will provide notice of redemption
at
least 5 calendar days prior to the applicable Redemption
Date.
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|
Interest:
|
With
respect
to each Interest Period, for each $1,000 principal amount note, the
interest payment will be calculated as follows:
$1,000
x
Interest Rate x (number of days in the Interest Period /
360),
where
the
number of days in the Interest Period will be calculated on the basis
of a
year of 360 days with twelve months of thirty days
each.
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|
Interest
Rate:
|
(1)
With
respect to each Initial Interest Period, the Initial Interest Rate
of
9.25% per annum, and (2) with respect to each Interest Period following
the final Initial Interest Period, a rate per annum equal to the
product
of (i) the Leverage Factor of 50 and (ii) the CMS Spread on the applicable
Determination Date.
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|
Notwithstanding
the foregoing, in no event will the Interest Rate for any Interest
Period
be less than the Minimum Rate of 0.00% per annum or greater than
the
Maximum Rate of 13.00% per annum.
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|
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Initial
Interest Periods:
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The
Interest
Periods from and including the issue date for the notes to but excluding
April 25, 2010.
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Longer-Term
CMS Rate and Shorter-Term CMS Rate:
|
For
each
Determination Date, each of Longer-Term CMS Rate and Shorter-Term
CMS Rate
(each, a “CMS Rate” and together, the “CMS Rates”) refers to the rate for
U.S. Dollar swaps with a Designated Maturity of 30 years and 10 years,
respectively, that appears on Reuters page “ISDAFIX1” (or any successor
page) at approximately 11:00 a.m., New York City time, on such
Determination Date, as determined by the calculation agent. If on
such
Determination Date the applicable CMS Rate cannot be determined by
reference to Reuters page “ISDAFIX1” (or any successor page), then the
calculation agent will determine the applicable CMS Rate in accordance
with the procedures set forth in the accompanying product supplement
no.
129-I under “Description of Notes — Interest.”
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|
CMS
Spread:
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For
each
Determination Date, the Longer-Term CMS Rate minus the Shorter-Term
CMS
Rate.
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Determination
Date:
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For
each
Interest Period (other than the Initial Interest Periods), two U.S.
Government Securities Business Days immediately prior to the beginning
of
the applicable Interest Period.
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|
Other
Key
Terms:
|
Please
see
“Additional Key Terms” in this term sheet for other key
terms.
|
Investing
in the Callable Leveraged Floating Rate Notes involves a number of risks. See
“Risk Factors” beginning on page PS-6 of the accompanying product supplement no.
129-I and “Selected Risk Considerations” beginning on page TS-2 of this term
sheet.
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
|
Fees
and Commissions (1)
|
Proceeds
to Us
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|
Per
note
|
$
|
$
|
$
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|
Total
|
$
|
$
|
$
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|
(1)
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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 $7.90 per $1,000 principal amount note and would
use a
portion of that commission to allow selling concessions to other
dealers
of approximately $1.00 per $1,000 principal amount note. The actual
commission received by JPMSI may be less than $7.90 and will depend
on
market conditions on the pricing date. In no event will the commission
received by JPMSI, which includes concessions to be allowed to other
dealers, exceed $7.90 per $1,000 principal amount note. See "Underwriting"
beginning on page PS-19 of the accompanying product supplement no.
129-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
April
10,
2008
Additional
Terms Specific to the Notes
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
supplemental 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. 129-I and this supplemental 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.
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. 129-I dated April
10,
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. 129-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):
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·
|
Product
supplement no. 129-I dated April
10,
2008:
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·
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Prospectus
supplement dated October 12, 2006:
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·
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Prospectus
dated December 1, 2005:
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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
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Interest
Period:
|
The
period
beginning on and including the issue date of the notes and ending
on but
excluding the first Interest Payment Date or, if the notes have been
redeemed prior to the first Interest Payment Date, ending on but
excluding
the applicable Redemption Date, and each successive period beginning
on
and including an Interest Payment Date and ending on but excluding
the
next succeeding Interest Payment Date or, if the notes have been
redeemed
prior to such next succeeding Interest Payment Date, ending on but
excluding the applicable Redemption Date.
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|
Interest
Payment Dates:
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Interest
on
the notes will be payable quarterly in arrears on the 25th
calendar day
of January, April, July and October of each year (each such date,
an
“Interest Payment Date”), commencing July 25, 2008, to and including the
Interest Payment Date corresponding to the Maturity Date, or, if
the notes
have been redeemed, the applicable Redemption Date. See “Selected Purchase
Considerations — Quarterly Interest Payments” in this term sheet for more
information.
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|
Designated
Maturity:
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For
Longer-Term CMS Rate, 30 years; for Shorter-Term CMS Rate, 10
years.
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U.S.
Government Securities Business Day:
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Any
day,
unless otherwise specified in the relevant terms supplement, other
than a
Saturday, Sunday or a day on which the Securities Industry and Financial
Markets Association recommends that the fixed income departments
of its
members be closed for the entire day for purposes of trading in U.S.
government securities.
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Initial
Interest Rate:
|
With
respect
to each Initial Interest Period, 9.25% per annum.
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Leverage
Factor:
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50
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|
Minimum
Rate:
|
0.00%
per
annum.
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|
Maximum
Rate:
|
13.00%
per
annum.
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CUSIP:
|
48123MR95 |
Supplemental
Information Relating to the Terms of the Notes
For
purposes of the notes, the following sentence will replace the last sentence
of
the first paragraph under “General Terms of Notes — Payment Upon an Event of
Default” in the accompanying product supplement no. 129-I:
In
such case, interest will be calculated on the basis of a 360-day year of twelve
30-day months, the actual number of days in such adjusted Interest Period and
will be based on (1) the Interest Rate on the Determination Date immediately
preceding such adjusted Interest Period or (2) if such adjusted Interest Period
falls within an Initial Interest Period, the Initial Interest Rate.
JPMorgan
Structured Investments —
Callable
Leveraged Floating Rate Notes Linked to the Spread Between the 30-Year U.S.
Constant Maturity Swap Rate and the 10-Year U.S. Dollar Constant Maturity
Swap
Rate
TS-1
Selected
Purchase Considerations
|
·
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PRESERVATION
OF CAPITAL AT MATURITY OR UPON EARLY REDEMPTION —
You
will
receive at least 100% of the principal amount of your notes if you
hold
the notes to maturity or if we redeem the notes, regardless of the
CMS
Spread. 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.
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|
·
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QUARTERLY
INTEREST PAYMENTS —
The
notes
offer quarterly interest payments at the applicable Interest Rate.
Interest for the Initial Interest Periods will accrue at a rate equal
to
9.25% per annum. Thereafter, interest for each Interest Period, if
any,
will accrue at a rate equal to 50 times the CMS Spread on the applicable
Determination Date. Interest, if any, will be payable quarterly in
arrears
on the 25th
calendar day
of January, April, July and October of each year (each such date,
an
“Interest Payment Date”), commencing July 25, 2008, to and including the
Interest Payment Date corresponding to the Maturity Date, or, if
the notes
have been redeemed, the applicable Redemption 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, provided
that
any
interest payment on such Interest Payment Date, as postponed, will
accrue
to but excluding such Interest Payment Date, as postponed.
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·
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POTENTIAL
QUARTERLY REDEMPTION BY US AT OUR OPTION —
At
our
option, we may redeem the notes, in whole or in part, on the 25th
calendar day
of January, April, July and October of each year (each such date,
a
“Redemption Date”), commencing April 25, 2010, for a cash payment equal to
$1,000 for each $1,000 principal amount note redeemed. Any accrued
and
unpaid interest on notes redeemed will be paid to the person who
is the
holder of record of such notes at the close of business on the
15th
calendar
day
prior to the applicable Redemption
Date.
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·
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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. 129-I. Subject to
the limitations described therein, 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 (with certain adjustments to
reflect the difference, if any, between the actual and projected
amounts
of the payments on the notes), which will likely differ from the
amounts
you receive in a taxable year. 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 their basis in the notes
and
the notes’ adjusted issue price.
|
We
have determined that the “comparable yield” is an annual rate of 4.46%,
compounded quarterly. To obtain the projected payment schedule, contact a
Certified Financial Analyst at the Global Securities Group Desk at 212-834-3723.
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. These risks are explained
in
more detail in the “Risk Factors” section of the accompanying product supplement
no. 129-I dated April 10, 2008.
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·
|
THE
NOTES ARE NOT ORDINARY DEBT SECURITIES; THE INTEREST RATE ON THE
NOTES
(AFTER THE INITIAL INTEREST PERIODS) IS NOT FIXED AND IS
VARIABLE —
The
rate of
interest paid by us on the notes for each Interest Period (other
than the
Initial Interest Periods) is not fixed, but will vary depending,
in part,
on the CMS Spread, which may be less than returns otherwise payable
on
debt securities issued by us with similar maturities. The variable
interest rate on the notes, while determined, in part, by reference
to the
CMS Rates, does not actually pay at such rates. You should consider,
among
other things, the overall annual percentage rate of interest to maturity
as compared to other equivalent investment alternatives. We have
no
control over any fluctuations in the CMS
Rates.
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|
·
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THE
INTEREST RATE ON THE NOTES IS BASED ON THE CMS SPREAD, WHICH MAY
RESULT IN
AN INTEREST RATE OF ZERO —
The
CMS
Rates may be influenced by a number of factors, including (but not
limited
to) monetary policies, fiscal policies, inflation, general economic
conditions and public expectations with respect to such factors.
The
effect that any single factor may have on the CMS Rates may be partially
offset by other factors. We cannot predict the factors that may cause
the
CMS Spread to increase or decrease. A decrease in a positive CMS
Spread
will result in a reduction of the Interest Rate payable for the
corresponding Interest Period (other than the Initial Interest Periods).
A
negative CMS Spread will cause the interest rate for the corresponding
Interest Period to be equal to the Minimum Rate, which may be zero.
The
amount of interest you accrue on the notes in any Interest Period
(other
than the Initial Interest Periods) may decrease even if either or
both of
the CMS Rates increases. Interest during any Interest Period (other
than
the Initial Interest Periods) may be equal to zero, and you will
not be
compensated for any loss in value due to inflation and other factors
relating to the value of money over time during such
period.
|
JPMorgan
Structured Investments —
Callable
Leveraged Floating Rate Notes Linked to the Spread Between the 30-Year U.S.
Constant Maturity Swap Rate and the 10-Year U.S. Dollar Constant Maturity
Swap
Rate
TS-2
|
·
|
THE
INTEREST RATE ON THE NOTES FOR ANY INTEREST PERIOD WILL NOT BE GREATER
THAN 13.00% PER ANNUM —
The
Interest Rate for the Initial Interest Periods is a fixed rate of
9.25%
per annum and the Interest Rate for the subsequent Interest Periods
will
be subject to the Maximum Rate of 13.00% per annum. This Maximum
Rate will
limit the amount of interest you may receive for each such subsequent
Interest Period. As a result, if the Interest Rate for any such subsequent
Interest Period without taking into consideration the Maximum Rate
would
have been greater than the Maximum Rate, the notes will provide less
interest income than an investment in a similar instrument that is
not
subject to a maximum interest rate.
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|
·
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IF
THE NOTES ARE REDEEMED BY US, THE AGGREGATE AMOUNT OF INTEREST PAID
TO YOU
WILL BE LESS THAN THE AGGREGATE AMOUNT OF INTEREST PAYABLE OVER THE
TERM
OF THE NOTES IF HELD TO MATURITY —
Commencing
April 25, 2010, and on any other Redemption Date thereafter, the
notes are
subject to redemption by us, in whole or in part, as we may elect.
If we
redeem all or part of your notes, for the notes that are redeemed,
you
will receive the principal amount of such notes and, assuming you
are the
record holder of the notes at the close of business on the 15th
calendar
date prior to the applicable Redemption Date, accrued and unpaid
interest
to but excluding such Redemption Date. The aggregate amount of interest
paid to you will be less than the aggregate amount of interest payable
at
maturity. We may choose to redeem the notes early or choose not to
redeem
the notes early on any Redemption Date, in our sole discretion. We
may
choose to redeem the notes early, for example, if U.S. interest rates
decrease significantly or if the volatility of U.S. interest rates
decreases significantly. If we redeem the notes early, your return
may be
less than the yield that the notes would have earned if they had
been held
to maturity and you may not be able to reinvest your funds at the
same
rate as provided by the notes.
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|
·
|
THE
CMS SPREAD WILL BE AFFECTED BY A NUMBER OF FACTORS —
The
amount
of interest, if any, payable on notes will depend on the CMS Spread.
A
number of factors can affect the CMS Spread by causing changes in
the
relative values of the CMS Rates including, but not limited
to:
|
|
·
|
changes
in,
or perceptions, about future CMS
Rates;
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|
·
|
general
economic conditions;
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|
·
|
prevailing
interest rates; and
|
|
·
|
policies
of
the Federal Reserve Board regarding interest
rates.
|
|
These
and
other factors may have a negative impact on the payment of interest
on the
notes and on the value of the notes in the secondary
market.
|
|
·
|
THE
METHOD OF DETERMINING THE VARIABLE INTEREST RATE FOR ANY INTEREST
PERIOD
MAY NOT DIRECTLY CORRELATE WITH THE ACTUAL CMS RATES —
The
determination of the Interest Rate payable for any Interest Period
(other
than the Initial Interest Periods) will be based, in part, on the
CMS
Spread, but it will not directly correlate with actual CMS Rates.
We will
use the CMS Rates on each Determination Date to determine the CMS
Spread
on the such Determination Date, which are in turn used to determine
the
Interest Rate for the Interest Period corresponding to such Determination
Date.
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|
·
|
THE
CMS RATES MAY BE VOLATILE —
The
CMS
Rates are subject to volatility due to a variety of factors affecting
interest rates generally,
including:
|
|
·
|
sentiment
regarding underlying strength in the U.S. and global
economies;
|
|
·
|
expectation
regarding the level of price
inflation;
|
|
·
|
sentiment
regarding credit quality in U.S. and global credit
markets;
|
|
·
|
central
bank
policy regarding interest rates;
and
|
|
·
|
performance
of capital markets.
|
|
Increases
or
decreases in the CMS Rates could result in the corresponding CMS
Spread
decreasing or being negative and thus in the reduction of interest
payable
on notes.
|
|
·
|
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 term sheet is based on the
full
principal amount of your notes, the original issue price of the notes
includes the estimated 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.
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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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|
·
|
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.
|
JPMorgan
Structured Investments —
Callable
Leveraged Floating Rate Notes Linked to the Spread Between the 30-Year
U.S.
Constant Maturity Swap Rate and the 10-Year U.S. Dollar Constant Maturity
Swap
Rate
TS-3
|
·
|
MANY
ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE
NOTES —
In
addition
to the CMS Rates 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:
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|
·
|
the
expected
volatility of the CMS Rates;
|
|
·
|
the
CMS
Spread;
|
|
·
|
the
time to
maturity of the notes;
|
|
·
|
interest
and
yield rates in the market generally, as well as the volatility of
those
rates;
|
|
·
|
the
likelihood, or expectation, that the notes will be redeemed by us,
based
on prevailing market interest rates or
otherwise;
|
|
·
|
a
variety of
economic, financial, political, regulatory or judicial events; and
|
|
·
|
our
creditworthiness, including actual or anticipated downgrades in our
credit
ratings.
|
Hypothetical
Examples of Calculation of the Interest Rate for an Interest
Period
The
following
examples illustrate how to calculate the Interest Rate for an Interest Period
(other than the Initial Interest Periods). The hypothetical CMS Rates, CMS
Spreads and Interest Rates set forth in the following examples are for
illustrative purposes only and may not be the actual CMS Rates, CMS Spread
or
Interest Rate for any Interest Period applicable to a purchaser of the notes.
The numbers appearing in the following examples have been rounded for ease
of
analysis.
Example
1:
The Longer-Term CMS Rate is 4.350% and the Shorter-Term CMS Rate is 4.150%.
Because
the
Longer-Term CMS Rate of 4.350% is greater than the Shorter-Term CMS Rate of
4.150%, the CMS Spread is positive and is equal to 0.200%. Accordingly, the
Interest Rate is 10.00%, calculated as follows:
50
x 0.200% =
10.00%
Example
2:
The Longer-Term CMS Rate is 4.400% and the Shorter-Term CMS Rate is 4.125%.
Because
the
Longer-Term CMS Rate of 4.400% is greater than the Shorter-Term CMS Rate of
4.125%, the CMS Spread is positive and is equal to 0.275%. Because 50 times
the
CMS Spread of 0.275% would be greater than the Maximum Rate of 13.00%, the
Interest Rate is equal to the Maximum Rate of 13.00%.
Example
3:
The Longer-Term CMS Rate is 4.200% and the Shorter-Term CMS Rate is 4.215%.
Because
the
Longer-Term CMS Rate of 4.200% is less than the Shorter-Term CMS Rate of 4.215%,
the CMS Spread is negative. Because the Interest Rate may not be less than
the
Minimum Rate of 0.00%, the Interest Rate is equal to the Minimum Rate of
0.00%.
Historical
Information
The
following graph
sets forth the daily historical performance of the CMS Rates and the CMS Spread
from January 2, 2003 through April 10, 2008. The Longer-Term CMS Rate on
April
10, 2008 was 4.695%.
The Shorter-Term
CMS Rate on April 10, 2008 was 4.144%. The CMS Spread on April 9, 2008 was
0.551%.
We
obtained the CMS Rates used to construct the graph below from 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 CMS
Rates and CMS Spread should not be taken as an indication of future performance,
and no assurance can be given as to the CMS Rates or the CMS Spread on any
Determination Date. We cannot give you assurance that the performance of the
CMS
Rates and the CMS Spread will result in any positive interest payments in any
Interest Period subsequent to the final Initial Interest Period.
JPMorgan
Structured Investments —
Callable
Leveraged Floating Rate Notes Linked to the Spread Between the 30-Year
U.S.
Constant Maturity Swap Rate and the 10-Year U.S. Dollar Constant Maturity
Swap
Rate
TS-4