Term sheet
To prospectus dated December 1, 2005,
prospectus supplement dated October 12, 2006 and
product supplement no. 125-I dated March 12, 2008
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Term Sheet to
Product Supplement No. 125-I
Registration Statement No. 333-130051
Dated March 12, 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 September 30, 2008 Linked to the
iShares® MSCI Brazil Index 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 iShares® MSCI Brazil Index 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 iShares® MSCI Brazil Index 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 September 30, 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 March 26, 2008 and are expected to settle on or
about March 31, 2008.
Key Terms
Index Fund:
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iShares® MSCI Brazil Index Fund
(the Index Fund)
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Underlying Index:
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The MSCI Brazil Index (the Underlying Index). For additional information, see
Selected Purchase Considerations Return Linked to the iShares®MSCI Brazil Index Fund and
Selected Risk Considerations Differences Between the Index Fund and the
Underlying Index in this term sheet and Supplemental Information Transition
of the MSCI Brazil Index to a New Index Methodology in the accompanying
product supplement no. 125-I.
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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 35% 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 35% of the Initial Share
Price, subject to adjustments.
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Maturity Date:
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September 30, 2008*
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Observation Date:
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September 25, 2008*
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CUSIP:
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48123MYT3
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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 (each such
date, an Interest Payment Date), commencing April 30, 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 |
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(2)
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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
New York 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
New York 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. 125-I.
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*
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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. 125-I.
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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. 125-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. 125-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)
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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 $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 $27.45 per
$1,000 principal amount note. The concessions of approximately $27.45
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-40 of the accompanying
product supplement no. 125-I.
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.
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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.
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. 125-I dated March 12, 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. 125-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 (each such date, an Interest Payment Date), commencing April 30, 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 iSHARES® MSCI BRAZIL INDEX FUND The
iShares® MSCI Brazil Index Fund is an exchange-traded fund of
iShares®, Inc., which is a registered investment company that
consists of numerous investment portfolios. The iShares® MSCI
Brazil Index Fund seeks to provide investment results that correspond generally
to the price and yield performance, before fees and expenses, of publicly
traded securities in the Brazilian market, as measured by the MSCI Brazil
Index, which we refer to as the Underlying Index. The Underlying Index is an
equity benchmark for Brazilian stock performance, and is designed to measure
equity market performance in Brazil. For additional information about the Index
Fund and the Underlying Index, see the information set forth under The iShares®
MSCI Brazil Index Fund in the accompanying product supplement no. 125-I, as
supplemented by the information set forth under Supplemental Information Transition of the MSCI Brazil Index
to a New Index Methodology in the accompanying product supplement no. 125-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. 125-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 March 11, 2008, we would have treated
approximately 24.27% of each coupon payment 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 iShares® MSCI Brazil Index Fund
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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 Underlying Index or
any of the equity securities held by the Index Fund or included in the
Underlying Index. These risks are explained in more detail in the Risk
Factors section of the accompanying product supplement no. 125-I dated March 12, 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 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 is 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 Underlying Index contained in this term sheet or in product supplement no.
125-I. You should make your own investigation into the Index Fund and the
Underlying Index. We are not responsible for the Index Funds public
disclosure of information, whether contained in SEC filings or otherwise.
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THE NOTES ARE SUBJECT TO CURRENCY EXCHANGE RISK Because the prices of the equity securities held by the Index Fund are
converted into U.S. dollars for the purposes of calculating the net asset value
of the Index Fund, holders of the notes will be exposed to currency exchange
rate risk with respect to Brazilian reais, in which the equity securities held
by the Index Fund trade. An investors net exposure will depend on the extent
to which the Brazilian real strengthens or weakens against the U.S. dollar. If
the U.S. dollar strengthens against the Brazilian real, the net asset value of
the Index Fund will be adversely affected and the payment at maturity, if any,
may be reduced.
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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 Underlying Index would
have.
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JPMorgan
Structured Investments
Reverse Exchangeable Notes Linked to the iShares® MSCI Brazil Index Fund
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TS-2 |
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THERE ARE RISKS ASSOCIATED WITH THE INDEX FUND Although shares of the Index Fund are
listed for trading on the New York Stock Exchange (the NYSE) and a number of
similar products have been traded on various national 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, Barclays Global Fund Advisors, which we
refer to as BGFA, is the Index Funds investment adviser. The Index Fund is
subject to management risk, which is the risk that BGFAs investment strategy,
the implementation of which is subject to a number of constraints, may not
produce the intended results. For
example, BGFA may select up to 10% of the Index Funds assets to be invested in
futures contracts, options on futures contracts, other types of options and
swaps related to the Underlying Index as well as cash and cash equivalents,
including shares of money market funds advised by BGFA or its affiliates. Any of such action could adversely affect the market
price of the shares of the Index Fund, and consequently, the value of the
notes.
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DIFFERENCES BETWEEN THE INDEX FUND AND
THE UNDERLYING INDEX The
Index Fund does not fully replicate the Underlying Index, may hold securities
not included in the Underlying Index and its performance will reflect
additional transaction costs and fees that are not included in the calculation
of the Underlying Index, all of which may lead to a lack of correlation between
the Index Fund and the Underlying Index. In addition, corporate actions with
respect to the sample of equity securities (such as mergers and spin-offs) may
impact the variance between the Index Fund and the Underlying Index. Finally,
because the shares of the Index Fund are traded on the NYSE 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 Underlying Index.
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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. 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 Underlying Index and the
notes.
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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 Underlying 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. 125-I.
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JPMorgan
Structured Investments
Reverse Exchangeable Notes Linked to the iShares® MSCI Brazil Index Fund
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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 March 7, 2008. The closing price of one share of
the Index Fund on March
11, 2008 was $82.35. 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 iShares® MSCI Brazil Index Fund
|
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:
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$82.00
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the Protection Amount: $28.70
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the Interest Rate:
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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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$82.00
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$164.00
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$1,000.00
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$41.00
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$86.10
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$1,000.00
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$82.00
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$82.00
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$1,000.00
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$53.30
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$53.30
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$1,000.00
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$41.00
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$77.90
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$950.00
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$41.00
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$41.00
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$500.00
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$20.50
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$20.50
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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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**
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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.
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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 $41.00 but the Final Share
Price is $86.10. Because the Final
Share Price of $86.10 is greater than the Initial Share Price of $82.00, 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 $41.00 and the Final Share
Price is $77.90. Because the Final
Share Price of $77.90 is less than the Initial Share Price of $82.00 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 $77.90, 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 $41.00, a decline of more than the Protection Amount. Because the Final Share Price of $41.00
is less than the Initial Share Price of $82.00 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 $41.00, your
final payment at maturity is $500.00.
Example 4: The Final Share Price of $53.30 is less than the Initial
Share Price of $82.00 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 $53.30 is less than
the Initial Share Price of $82.00.
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 iShares® MSCI Brazil Index Fund
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TS-5 |