|
Term
sheet
To
prospectus dated December 1, 2005,
prospectus
supplement dated October 12, 2006 and
product
supplement no. 116-I dated February 11, 2008
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Term
Sheet to
Product
Supplement No. 116-I
Registration
Statement No. 333-130051
Dated
March 7, 2008; Rule 433
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Structured
Investments
|
JPMorgan
Chase & Co.
$
3.25%
(equivalent to 13.00% per annum) Reverse Exchangeable Notes due June
30,
2008 Linked to the Financial Select Sector
SPDR®
Fund
|
General
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·
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The
notes are
designed for investors who seek a higher interest rate than the current
dividend yield on the Financial
Select Sector SPDR®
Fund
or the yield
on a conventional debt security with the same maturity issued by
us or an
issuer with a comparable credit rating. Investors should be willing
to
forgo the potential to participate in appreciation in the Index Fund,
be
willing to accept the risks of owning interests in exchange traded
funds
in general and the Financial
Select Sector SPDR®
Fund,
in
particular, and be willing to lose some or all of their principal
at
maturity.
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|
·
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The
notes
will pay 3.25% (equivalent to 13.00% 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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·
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Senior
unsecured obligations of JPMorgan Chase & Co. maturing June 30,
2008*.
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·
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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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·
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Minimum
denominations of $1,000 and integral multiples
thereof.
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·
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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.
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Key
Terms
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Index
Fund:
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Financial
Select Sector SPDR®
Fund (the “Index Fund”)
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Tracking
Index:
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The
Financial Select Sector Index (the “Tracking Index”). For
additional information, see “Selected Purchase Considerations —
Return Linked to the Financial Select Sector SPDR Fund” and “Selected Risk
Considerations — The Performance of the Index Fund May Not Correlate
to the Performance of the Tracking Index.”
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Interest
Rate:
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3.25%
(equivalent to 13.00% 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 20% 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 20% of the Initial Share Price, subject
to
adjustments.
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Maturity
Date:
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June
30,
2008*
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Observation
Date:
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June
25,
2008*
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CUSIP:
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48123MZH8
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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:
(1)
the Final
Share Price is less than the Initial Share Price; and
(2)
on any
trading day during the Monitoring Period, the closing price of one
share
of the Index Fund has declined, as compared to the Initial Share
Price, by
more than the Protection Amount.
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|
If
the
conditions described in (1) and (2) are both satisfied, at maturity
you
will receive, instead of the principal amount of your notes, the
Cash
Value, plus any accrued and unpaid interest. The
Cash Value will be less than the principal amount of your notes and
may be
zero. Accordingly, you may lose some or all of your principal if
you
invest in the notes.
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Monitoring
Period:
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The
period
from the pricing date to and including the Observation Date.
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Cash
Value:
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The
amount in
cash equal to the product of (1) $1,000 divided by the Initial Share
Price
and (2) the Final Share Price, subject to adjustments.
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Initial
Share
Price:
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The
closing
price of one share of the Index Fund on the American Stock Exchange
on the
pricing date, divided by the Share Adjustment Factor.
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Final
Share
Price:
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The
closing
price of one share of the Index Fund on the American Stock Exchange
on the
Observation Date.
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Share
Adjustment Factor:
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Set
equal to
1.0 on the pricing date, subject to adjustment under certain
circumstances. See “General Terms of Notes - Anti-Dilution Adjustments” in
the accompanying product supplement no.
116-I.
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*
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Subject
to
postponement in the event of a market disruption event and as described
under “Description of Notes — Payment at Maturity” in the
accompanying product supplement no.
116-I.
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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. 116-I and
“Selected Risk Considerations” beginning on page TS-2 of this term
sheet.
JPMorgan
Chase & Co. has filed a registration statement (including a prospectus) with
the Securities and Exchange Commission, or SEC, for the offering to which
this
term sheet relates. Before you invest, you should read the prospectus in
that
registration statement and the other documents relating to this offering
that
JPMorgan Chase & Co. has filed with the SEC for more complete information
about JPMorgan Chase & Co. and this offering. You may get these documents
without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively,
JPMorgan Chase & Co., any agent or any dealer participating in this offering
will arrange to send you the prospectus, each prospectus supplement, product
supplement no. 116-I and this term sheet if you so request by calling toll-free
866-535-9248.
You
may
revoke your offer to purchase the notes at any time prior to the time at
which
we accept such offer by notifying the applicable agent. We reserve the right
to
change the terms of, or reject any offer to purchase, the notes prior to
their
issuance. In the event of any changes to the terms of the notes, we will
notify
you and you will be asked to accept such changes in connection with your
purchase. You may also choose to reject such changes in which case we may
reject
your offer to purchase.
Neither
the SEC nor
any state securities commission has approved or disapproved of the notes
or
passed upon the accuracy or the adequacy of this term sheet or the accompanying
prospectus supplements and prospectus. Any representation to the contrary
is a
criminal offense.
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Price
to Public
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Fees
and Commissions (1)
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Proceeds
to Us
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Per
note
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$
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$
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$
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Total
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$
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$
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$
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(1)
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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 $34.77 per $1,000 principal amount note and would use a portion
of that
commission to allow selling concessions to other dealers of approximately
$23.64 per $1,000 principal amount note. The concessions of approximately
$23.64 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 $34.77 and will depend
on
market conditions on the pricing date. In no event will the commission
received by JPMSI, which includes concessions to be paid to other
dealers,
exceed $60.00 per $1,000 principal amount note. See “Underwriting”
beginning on page PS-34 of the accompanying product supplement
no.
116-I.
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The
total aggregate
principal amount of notes being offered by this term sheet may not be purchased
by investors in the offering. Under these circumstances, JPMSI will retain
the
unsold portion of the offering and has agreed to hold such notes for investment
for a period of at least 30 days. The unsold portion of notes will not exceed
15% of the aggregate principal amount of notes. Any unsold portion may affect
the supply of the notes available for secondary trading and, therefore, could
adversely affect the price of the notes in the secondary market. Circumstances
may occur in which our interests or those of our affiliates could be in conflict
with your interests.
The
notes are
not bank deposits and are not insured by the Federal Deposit Insurance
Corporation or any other governmental agency, nor are they obligations of,
or
guaranteed by, a bank.
JPMorgan
March
7,
2008
Additional
Terms Specific to the Notes
You
should read
this term sheet together with the prospectus dated December 1, 2005, as
supplemented by the prospectus supplement dated October 12, 2006 relating
to our
Series E medium-term notes of which these notes are a part, and the more
detailed information contained in product supplement no. 116-I dated February
11, 2008. This
term
sheet, together with the documents listed below, contains the terms of the
notes
and supersedes all other prior or contemporaneous oral statements as well
as any
other written materials including preliminary or indicative pricing terms,
correspondence, trade ideas, structures for implementation, sample structures,
fact sheets, brochures or other educational materials of
ours.
You should
carefully consider, among other things, the matters set forth in “Risk Factors”
in the accompanying product supplement no. 116-I, as the notes involve risks
not
associated with conventional debt securities. We
urge you to
consult your investment, legal, tax, accounting and other advisers before
you
invest in the notes.
You
may access
these documents on the SEC website at www.sec.gov
as follows (or if
such address has changed, by reviewing our filings for the relevant date
on the
SEC website):
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·
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Product
supplement no. 116-I dated February 11, 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.
Selected
Purchase Considerations
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·
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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 3.25% (equivalent to 13.00% 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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·
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MONTHLY
INTEREST PAYMENTS —
The notes offer monthly interest payments at a rate of 3.25% (equivalent
to 13.00% 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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·
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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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·
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RETURN
LINKED TO THE FINANCIAL SELECT SECTOR SPDR®
FUND —
The return on the notes is linked to the Financial Select Sector
SPDR®
Fund. The Index Fund is an exchange-traded fund that trades on
the
American Stock Exchange LLC, or AMEX and is managed by SSgA Funds
Management, Inc. (“SSFM”). The Index Fund seeks investment results that,
before expenses, generally correspond to the price and yield performance
of publicly traded equity securities of companies in the financial
services sector, as represented by the Financial Select Sector
Index,
which we refer to as the Tracking Index. The Tracking Index measures
the
performance of the financial services sector of the U.S. equity
market, as
defined by the S&P 500®
Index. The Tracking Index includes companies in the following sub-sectors:
banking, mortgage finance, consumer finance, specialized finance,
investment banking and brokerage, asset management and custody,
corporate
lending, insurance and financial investment, and real estate, including
real estate investment trusts. For additional information about
the Index
Fund and the Tracking Index, see the information set forth under
“The
Financial Select Sector SPDR®
Fund” in the accompanying product supplement no.
116-I.
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·
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TAX
TREATMENT AS A UNIT COMPRISING A PUT OPTION AND A
DEPOSIT —
You should
review carefully the section entitled “Certain U.S. Federal Income Tax
Consequences” in the accompanying product supplement no. 116-I. We and you
agree (in the absence of an administrative determination or judicial
ruling to the contrary) to treat the notes as units comprising
a Put
Option and a Deposit for U.S. federal income tax purposes. We will
determine the portion of each coupon payment that we will allocate
to
interest on the Deposit and to Put Premium, respectively, and will
provide
that allocation in the pricing supplement for the notes. If the
notes had
priced on March 6, 2008, of each coupon payment, we would have
treated
approximately 22.46% as interest on the Deposit and the remainder
as Put
Premium. The actual allocation that we will determine for the notes
may
differ from this hypothetical allocation, and will depend upon
a variety
of factors, including actual market conditions and our borrowing
costs for
debt instruments of comparable maturities on the pricing date.
Assuming
this characterization is respected, amounts treated as interest
on the
Deposit will be taxed as ordinary income while the Put Premium
will not be
taken into account prior to maturity or sale. However, there are
other
reasonable treatments that the Internal Revenue Service (the “IRS”) or a
court may adopt, in which case the timing and character of any
income or
loss on the notes could be significantly and adversely affected.
In
addition,
on
December
7, 2007, Treasury and the IRS released a notice requesting comments
on the
U.S. federal income tax treatment of “prepaid forward contracts” and
similar instruments. While it is not clear whether the notes would
be
viewed as similar to the typical prepaid forward contract described
in the
notice, it is possible that any Treasury regulations or other guidance
promulgated after consideration of these issues could materially
and
adversely affect the tax consequences of an investment in the notes,
possibly with retroactive effect. The notice focuses on a number
of
issues, the most relevant of which for holders of the notes are
the
character of income or loss (including whether the Put Premium
might be
currently included as ordinary income) and the degree, if any,
to which
income realized by Non-U.S. Holders should be subject to withholding
tax.
Both U.S. and Non-U.S. Holders should consult their tax advisers
regarding
all aspects of the U.S. federal income tax consequences of an investment
in the notes, including possible alternative treatments and the
issues
presented by this notice. Purchasers who are not initial purchasers
of
notes at the issue price should also consult their tax advisers
with
respect to the tax consequences of an investment in the notes,
including
possible alternative characterizations, as well as the allocation
of the
purchase price of the notes between the Deposit and the Put
Option.
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JPMorgan
Structured Investments —
Reverse
Exchangeable Notes Linked to the SPDR
Trust, Series 1
TS-1
Selected
Risk Considerations
An
investment in the notes involves significant risks. Investing in the notes
is
not equivalent to investing directly in the Index Fund, the Tracking Index
or
any of the equity securities held by the Index Fund or included in the Tracking
Index. These risks are explained in more detail in the “Risk Factors” section of
the accompanying product supplement no. 116-I dated February 11, 2008.
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·
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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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·
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YOUR
PROTECTION AMOUNT MAY TERMINATE ON ANY DAY DURING THE TERM OF THE
NOTES —
If,
on any
trading day during the Monitoring Period, the closing price of
one share
of the Index Fund declines below the Initial Share Price minus
the
Protection Amount, you will be fully exposed to any depreciation
in the
Index Fund. We refer to this feature as a contingent buffer. Under
these
circumstances, and
if the Final
Share Price is less than the Initial Share Price, you will receive
at
maturity the Cash Value and, consequently, you will lose 1% of
the
principal amount of your investment for every 1% decline in the
Final
Share Price, as compared to the Initial Share Price. You will be
subject
to this potential loss of principal even if the price of the Index
Fund
subsequently recovers such that the Index Fund 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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·
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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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·
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NO
AFFILIATION WITH THE INDEX FUND —
We
are not affiliated with the issuer of the Index Fund. We assume
no
responsibility for the adequacy of the information about the Index
Fund
and the Tracking Index contained in this term sheet or in product
supplement no. 116-I. You should make your own investigation into
the
Index Fund and the Tracking Index. We are not responsible for the
Index
Fund’s public
disclosure of information, whether contained in SEC filings or
otherwise.
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CERTAIN
BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE
NOTES PRIOR
TO MATURITY —
While the payment at maturity, if any, described in this term sheet
is
based on the full principal amount of your notes, the original
issue price
of the notes includes the agent’s 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 agent’s 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.
|
·
|
NO
DIVIDEND PAYMENTS OR VOTING RIGHTS —
As a holder of the notes, you will not have voting rights or rights
to
receive cash dividends or other distributions or other rights that
holders
of shares of the Index Fund or the equity securities held by the
Index
Fund or included in the Tracking Index would
have.
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|
·
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THERE
ARE RISKS ASSOCIATED WITH THE INDEX FUND —
Although shares of the Index Fund are listed for trading on the
AMEX and a
number of similar products have been traded on the AMEX and other
securities exchanges for varying periods of time, there is no assurance
that an active trading market will continue for the shares of the
Index
Fund or that there will be liquidity in the trading market. In
addition, SSFM is the Index Fund’s investment adviser. The Index Fund is
subject to management risk, which is the risk that the SSFM’s investment
strategy, the implementation of which is subject to a number of
constraints, may not produce the intended results. For example,
SSFM may
invest up to 5% of the Index Fund’s assets in securities not included in
the Tracking Index but which SSFM believes will help the Index
Fund track
the Tracking Index, as well
as in certain futures, options, swap contracts and other derivatives,
cash
and cash equivalents or money market instruments, such as repurchase
agreements and money market funds (including affiliated money market
funds).
|
JPMorgan
Structured Investments —
Reverse
Exchangeable Notes Linked to the SPDR
Trust, Series 1
TS-2
|
·
|
THE
PERFORMANCE OF THE INDEX FUND MAY NOT CORRELATE TO THE PERFORMANCE
OF THE
TRACKING INDEX —
The
Index Fund will generally invest in all of the equity securities
included
in the Tracking Index. There may, however, be instances where SSFM
may
choose to overweight another stock in the Tracking Index, purchase
securities not included in the Tracking Index that SSFM believes
are
appropriate to substitute for a security included in the Tracking
Index or
utilize various combinations of other available investment techniques
in
seeking to track accurately the Tracking Index. In addition, the
performance of the Index Fund will reflect additional
transaction
costs and fees that are not included in the calculation of
the Tracking Index. Also, corporate actions with respect to the
equity
securities (such as mergers and spin-offs) may impact the variance
between
the Index Fund and
the Tracking Index. Finally, because the shares of the Index Fund
are
traded on the AMEX and are subject to market supply and investor
demand,
the market value of one share of the Index Fund may differ from
the net
asset value per share of the Index Fund. For all of the foregoing
reasons,
the performance of the Index Fund may not correlate with the performance
of the Tracking Index. For
additional information about the variation between the performance
of the
Index Fund and the performance of the Tracking Index, see the information
set forth under “The Financial Select Sector SPDR®
Fund” in the accompanying product supplement no.
116-I.
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|
·
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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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|
·
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THE
ANTI-DILUTION PROTECTION FOR THE INDEX
FUND IS LIMITED — The
calculation agent will make adjustments to the Share Adjustment
Factor for
certain events affecting the shares of the Index Fund. However,
the
calculation agent will not make an adjustment in response to all
events
that could affect the shares of the Index Fund. If an event occurs
that
does not require the calculation agent to make an adjustment, the
value of
the notes may be materially and adversely
affected.
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|
·
|
POTENTIAL
CONFLICTS —
We
and our
affiliates play a variety of roles in connection with the issuance
of the
notes, including acting as calculation agent. In performing these
duties,
the economic interests of the calculation agent and other affiliates
of
ours are potentially adverse to your interests as an investor in
the
notes. In addition, we are currently one of the companies that
make up the
Index Fund and the Tracking Index. We will not have any obligation
to
consider your interests as a holder of the notes in taking any
corporate
action that might affect the value of the Index Fund, the Tracking
Index
and the notes.
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|
·
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THE
INDEX FUND IS CONCENTRATED IN THE FINANCIAL SERVICES
SECTOR —
All
or
substantially all of the equity securities held by the Index Fund
are
issued by companies whose primary line of business is directly
associated
with the financial services sector.
Profitability is largely dependent on the availability and cost
of capital
funds, and can fluctuate significantly when interest rates change.
Credit
losses resulting from financial difficulties of borrowers can negatively
impact the sector. Insurance companies may be subject to severe
price
competition. Adverse economic, business or political developments
affecting real estate could have a major effect on the value of
real
estate securities. As a result, the value of the notes may be subject
to
greater volatility and be more adversely affected by a single economic,
political or regulatory occurrence affecting these industries than
a
different investment linked to securities of a more broadly diversified
group of issuers.
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|
·
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HEDGING
AND TRADING IN THE INDEX FUND —
While
the
notes are outstanding, we or any of our affiliates may carry out
hedging
activities related to the notes, including in the shares of the
Index
Fund, the equity securities held by the Index Fund or included
in the
Tracking Index or instruments related to the shares of the Index
Fund. We
or our affiliates may also trade in the shares of the Index Fund
or
instruments related to the shares of the Index Fund from time to
time. Any
of these hedging or trading activities as of the pricing date and
during
the term of the notes could adversely affect our payment to you
at
maturity.
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|
·
|
MANY
ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE
NOTES —
In
addition
to the value of the shares of the Index Fund and interest rates
on any
trading day, the value of the notes will be affected by a number
of
economic and market factors that may either offset or magnify each
other
and which are set out in more detail in product supplement no.
116-I.
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JPMorgan
Structured Investments —
Reverse
Exchangeable Notes Linked to the SPDR
Trust, Series 1
TS-3
Historical
Information
The
following graph
sets forth the historical performance of the shares of the Index Fund based
on
the weekly closing price of one share of the Index Fund from January
3, 2003
through February
29, 2008. The closing price of one share of the Index Fund on March 6, 2008
was
$24.27. 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.
JPMorgan
Structured Investments —
Reverse
Exchangeable Notes Linked to the SPDR
Trust, Series 1
TS-4
Examples
of Hypothetical Payment at Maturity for Each $1,000 Principal Amount
Note
The
following table
illustrates hypothetical payments at maturity on a $1,000 investment in the
notes, based on a range of hypothetical Final Share Prices and assuming that
the
closing price of one share of the Index Fund declines in the manner set forth
in
the column titled “Hypothetical lowest closing price during the Monitoring
Period.” The
numbers appearing in the following table and examples have been rounded for
ease
of analysis. For
this table of
hypothetical payments at maturity, we have also assumed the
following:
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·
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the
Initial
Share Price:
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$24.00
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·
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the
Protection Amount: $4.80
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·
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the
Interest
Rate:
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3.25%
(equivalent to 13.00% 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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$24.00
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$48.00
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$1,000.00
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$12.00
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$25.20
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$1,000.00
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$24.00
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$24.00
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$1,000.00
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$19.20
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$19.20
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$1,000.00
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$12.00
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$22.80
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$950.00
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$12.00
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$12.00
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$500.00
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$6.00
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$6.00
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$250.00
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$0.00
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$0.00
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$0.00
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**Note
that you
will receive at maturity any accrued and unpaid interest in cash, in addition
to
either the Cash Value or the principal amount of your note in cash.
The
following
examples illustrate how the payments at maturity set forth in the table above
are calculated.
Example
1:
The lowest closing price of one share of the Index Fund during the Monitoring
Period was $12.00 but the Final Share Price is $25.20. Because
the Final
Share Price of $25.20 is greater than the Initial Share Price of $24.00,
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 $12.00 and the Final Share Price is $22.80. Because
the Final
Share Price of $22.80 is less than the Initial Share Price of $24.00 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 $22.80, 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 $12.00,
a decline of more than the Protection Amount. Because
the Final Share Price of $12.00 is less than the Initial Share Price of $24.00
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 $12.00, your final payment at maturity is $500.00.
Example
4:
The Final Share Price of $19.20 is less than the Initial Share Price of $24.00
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 $19.20 is less than the Initial Share Price of $24.00.
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 $32.50 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.
JPMorgan
Structured Investments —
Reverse
Exchangeable Notes Linked to the SPDR
Trust, Series 1
TS-5