424B2 1 e30000_424b2.htm PRICING SUPPLEMENT

CALCULATION OF REGISTRATION FEE

Title of Each Class of
0.Securities Offered
Maximum Aggregate
Offering Price
Amount of
Registration
Fee(1)(2)

Notes

$2,000,000

$78.60

(1)

Calculated in accordance with Rule 457(r) of the Securities Act of 1933.
    

(2)

Pursuant to Rule 457(p) under the Securities Act of 1933, unused filing fees of $401,988.71 have already been paid with respect to unsold securities that were previously registered pursuant to a Registration Statement on Form S-3 (No. 333-117770) filed by JPMorgan Chase & Co. on July 30, 2004, and have been carried forward, of which $78.60 offset against the registration fee due for this offering and of which $401,910.11 remains available for future registration fees. No additional registration fee has been paid with respect to this offering.

Pricing supplement no. 938
To prospectus dated December 1, 2005,
prospectus supplement dated December 1, 2005 and
product supplement no. 46-I dated October 12, 2006

  Registration Statement No. 333-130051
Dated January 22, 2008
Rule 424(b)(2)

     

Structured 
Investments 

       JPMorgan Chase & Co.
$2,000,000
Return Enhanced Notes Linked to the Performance of the Russell 2000® Index Relative to the Performance of the S&P 500® Index due February 26, 2009

General

  • The notes are designed for investors who seek a return of four times the appreciation of the Russell 2000® Index up to a maximum total return on the notes at maturity of 21.40% or 30.00%, depending on whether the Russell 2000® Index outperforms the S&P 500® Index. Investors should be willing to forgo interest and dividend payments and, if the Russell 2000® Index declines, be willing to lose some or all of their principal.
  • Senior unsecured obligations of JPMorgan Chase & Co. maturing February 26, 2009†.
  • Minimum denominations of $1,000 and integral multiples thereof.
  • The notes priced on January 22, 2008 and are expected to settle on or about January 25, 2008.

Key Terms

Underlying Indices:

The Russell 2000® Index and the S&P 500® Index (each an “Index,” and together, the “Indices”).

Upside Leverage Factor:

4

Payment at Maturity:

If the Russell 2000® Index Ending Level is greater than the Russell 2000® Index Initial Level, you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Russell 2000® Index Return multiplied by four, subject to the applicable Maximum Total Return on the notes. Accordingly, if the Russell 2000® Index Return is positive, your payment per $1,000 principal amount note will be calculated as follows, subject to the applicable Maximum Total Return:

$1,000 + [$1,000 x (Russell 2000® Index Return x 4)]

 

Your investment will be fully exposed to any decline in the Index. If the Russell 2000® Index Ending Level declines from the Russell 2000® Index Initial Level, you will lose 1% of the principal amount of your notes for every 1% that the Russell 2000® Index declines beyond the Russell 2000® Index Initial Level. Accordingly, if the Russell 2000® Index Return is negative, your payment per $1,000 principal amount note will be calculated as follows:

$1,000 + ($1,000 x Russell 2000® Index Return)

 

You will lose some or all of your investment at maturity if the Russell 2000® Index Ending Level declines from the Russell 2000® Index Initial Level.

Maximum Total Return:

(a) 21.40% if the Relative Index Performance is positive or equal to zero and (b) 30.00% if the Relative Index Performance is negative.
For example, if the Russell 2000® Index Return is more than 5.35%, and the Relative Index Performance is positive or equal to zero, you will receive the Maximum Total Return on the notes of 21.40%, which entitles you to a maximum payment at maturity of $1,214 for every $1,000 principal amount note that you hold. As another example, if the Russell 2000® Index Return is more than 7.50%, and the Relative Index Performance is negative, you will receive the Maximum Total Return on the notes of 30.00%, which entitles you to a maximum payment at maturity of $1,300 for every $1,000 principal amount note that you hold.

Index Return:

For each Index: Ending Index Level – Initial Index Level
                                        Initial Index Level

Initial Index Level:

The respective Index’s closing level on the pricing date, which was 671.57 for the Russell 2000® Index and 1310.50 for the S&P 500® Index.

Ending Index Level:

The respective Index’s closing level on the Observation Date.

Relative Index Performance:

Russell 2000® Index Return – S&P 500® Index Return

Observation Date:

February 23, 2009†

Maturity Date:

February 26, 2009†

CUSIP:

48123MQS4

†

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. 46-I.

Investing in the Return Enhanced Notes involves a number of risks. See “Risk Factors” beginning on page PS-5 of the accompanying product supplement no. 46-I and “Selected Risk Considerations” beginning on page PS-2 of this pricing supplement.

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 pricing supplement or the accompanying prospectus supplements and prospectus. Any representation to the contrary is a criminal offense.

 

Price to Public

Fees and Commissions (1)

Proceeds to Us

Per note

$1,000

$22.50

$977.50

Total

$2,000,000

$45,000

$1,955,000

(1)

J.P. Morgan Securities Inc., which we refer to as JPMSI, acting as agent for JPMorgan Chase & Co., will receive a commission of $22.50 per $1,000 principal amount note and will use a portion of that commission to pay selling concessions to other dealers of $10.00 per $1,000 principal amount note. See “Underwriting” beginning on page PS-26 of the accompanying product supplement no. 46-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 

January 22, 2008

Additional Terms Specific to the Notes

You should read this pricing supplement together with the prospectus dated December 1, 2005, as supplemented by the prospectus supplement dated December 1, 2005 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. 46-I dated October 12, 2006. This pricing supplement, 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. 46-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 pricing supplement, the “Company,” “we,” “us” or “our” refers to JPMorgan Chase & Co.

Supplemental Information About the Russell 2000® Index

U.S.-incorporated companies are eligible for inclusion in the Russell 3000® Index, and consequently, the Russell 2000® Index. Beginning May 31, 2007, companies incorporated in the following countries/regions are also reviewed for eligibility: the Bahamas, Belize, Bermuda, the British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Gibraltar, Isle of Man, Liberia, Marshall Islands, Netherlands Antilles and Panama. However, not all companies incorporated in these regions are eligible for inclusion in the Russell 3000® Index, and consequently, the Russell 2000® Index. Companies incorporated in these regions are specifically considered eligible for the Russell 2000® Index if the company meets one of the following criteria: (i) the headquarters are located in the United States or (ii) the headquarters are also located in the designated region/country, and the primary exchange for local shares is located in the United States. ADRs are not eligible for inclusion in the Russell 3000® Index, and consequently, the Russell 2000® Index.

Selected Purchase Considerations

  • APPRECIATION POTENTIAL — The notes provide the opportunity to enhance equity returns by multiplying a positive Russell 2000® Index Return by four, up to the Maximum Total Return on the notes of 21.40%, or $1,214 for every $1,000 principal amount note, if the Russell 2000® Index Return is greater than or equal to the S&P 500® Index Return and of 30.00%, or $1,300 for every $1,000 principal amount note, if the Russell 2000® Index Return is less than the S&P 500® Index Return.
  • DIVERSIFICATION OF THE RUSSELL 2000® INDEX — The return on the notes is primarily linked to the performance of the Russell 2000® Index. The Russell 2000® Index consists of the middle 2,000 companies included in the Russell 3000ETM Index and, as a result of the index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000® Index. The Russell 2000® Index is designed to track the performance of the small capitalization segment of the U.S. equity market. See “The Russell 2000® Index” in the accompanying product supplement no. 46-I.
  • POTENTIAL DIVERSIFICATION OF THE S&P 500® INDEX — The Maximum Total Return on the notes is affected by the performance of the S&P 500® Index relative to the performance of the Russell 2000® Index. The S&P 500® Index consists of 500 component stocks selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P 500® Index, see the information set forth under “The S&P 500® Index” in the accompanying product supplement no. 46-I.
  • CAPITAL GAINS TAX TREATMENT — You should review carefully the section entitled “Certain U.S. Federal Income Tax Consequences “ in the accompanying product supplement no. 46-I. Subject to the limitations described therein, and based on certain factual representations received from us, in the opinion of our special tax counsel, Davis Polk & Wardwell, it is reasonable to treat your purchase and ownership of the notes as an “open transaction” for U.S. federal income tax purposes. Assuming this characterization is respected, your gain or loss on the notes should be treated as long-term capital gain or loss if you hold the notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the Internal Revenue Service (the “IRS”) or a court may not respect this characterization or treatment of the notes, 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, such as the notes. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by Non-U.S. Holders should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income that is subject to an interest charge. While the notice requests comments on appropriate transition rules and effective dates, 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. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice.
JPMorgan Structured Investments —
Return Enhanced Notes Linked to the Performance of the Russell 2000® Index Relative to the Performance of the S&P 500® Index
 PS-1

Selected Risk Considerations

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Indices or any of the component stocks of the Indices. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no. 46-I dated October 12, 2006.

  • YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on the notes at maturity is primarily linked to the performance of the Russell 2000® Index and will depend on whether, and the extent to which, the Russell 2000® Index Return is positive or negative. Your investment will be fully exposed to any decline in the Russell 2000® Index Ending Level as compared to the Russell 2000® Index Initial Level.
  • THE NOTES DO NOT REPRESENT AN INVESTMENT IN A BASKET OF INDICES — Your return on the notes will be determined primarily by the performance of the Russell 2000® Index, and you will lose some or all of your investment if the Russell 2000® Index Ending Level declines from the Russell 2000® Index Initial Level. The benefit to you of any Relative Index Performance between the Russell 2000® Index and the S&P 500® Index, as reflected in the Maximum Total Return, will be offset or negated entirely by declines in the Russell 2000® Index Ending Level as compared to the Russell 2000® Index Initial Level.
  • YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM TOTAL RETURN — If the Russell 2000® Index Ending Level is greater than the Russell 2000® Index Initial Level, for each $1,000 principal amount note, you will receive at maturity $1,000 plus an additional amount that will not exceed the Maximum Total Return on the notes of (a) 21.40% if the Relative Index Performance is positive or equal to zero or (b) 30.00% if the Relative Index Performance is negative, regardless of the appreciation in the Russell 2000® Index, which may be significant.
  • 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 pricing supplement 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 set forth 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 INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of securities composing the Russell 2000® Index or the S&P 500® Index would have.
  • 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.
  • 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. In addition, we are currently one of the companies that make up the S&P 500® 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 S&P 500® Index and the notes.
  • MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES — In addition to the level of the Russell 2000® Index 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:
    • The level of the S&P 500® Index, as compared to the Initial Index Level of the S&P 500® Index, in that the relative performance of the S&P 500® Index as compared to the Russell 2000® Index may affect the Maximum Total Return of the notes;
    • the expected volatility of the Indices;
    • the time to maturity of the notes;
    • the dividend rate on the common stocks underlying the Indices;
    • interest and yield rates in the market generally as well as in the markets of the securities composing the Indices;
    • a variety of economic, financial, political, regulatory or judicial events; and
    • our creditworthiness, including actual or anticipated downgrades in our credit ratings.

What Is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Indices?

The table on the following page illustrates the hypothetical total return at maturity on the notes. The “total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns set forth on the following page assume a Russell 2000® Index Initial Level of 650. The hypothetical total returns set forth on the following page are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the notes. The numbers appearing in the table and examples on the following page have been rounded for ease of analysis.

JPMorgan Structured Investments —
Return Enhanced Notes Linked to the Performance of the Russell 2000® Index Relative to the Performance of the S&P 500® Index
 PS-2

Russell 2000®
 Ending Index
Level

Russell 2000®
Index Return

Total Return if
Relative Index
Perfomance is
positive or equal
to zero

Total Return if
Relative Index
Perfomance is
negative

1170.00

80.00%

21.40%

30.00%

1040.00

60.00%

21.40%

30.00%

975.00

50.00%

21.40%

30.00%

910.00

40.00%

21.40%

30.00%

845.00

30.00%

21.40%

30.00%

780.00

20.00%

21.40%

30.00%

715.00

10.00%

21.40%

30.00%

698.75

7.50%

21.40%

30.00%

689.00

6.00%

21.40%

24.00%

684.78

5.35%

21.40%

21.40%

682.50

5.00%

20.00%

20.00%

663.00

2.00%

8.00%

8.00%

650.00

0.00%

0.00%

0.00%

585.00

-10.00%

-10.00%

-10.00%

520.00

-20.00%

-20.00%

-20.00%

455.00

-30.00%

-30.00%

-30.00%

390.00

-40.00%

-40.00%

-40.00%

325.00

-50.00%

-50.00%

-50.00%

260.00

-60.00%

-60.00%

-60.00%

195.00

-70.00%

-70.00%

-70.00%

130.00

-80.00%

-80.00%

-80.00%

65.00

-90.00%

-90.00%

-90.00%

0.00

-100.00%

-100.00%

-100.00%

Hypothetical Examples of Amounts Payable at Maturity

The following examples illustrate how the total returns set forth in the table above are calculated.

Example 1: The level of the Russell 2000® Index increases from the Initial Index Level of 650 to an Ending Level of 663 and the Relative Index Performance is positive. Because the Relative Index Performance is positive, the Maximum Total Return is 21.40%. Because the Russell 2000® Index Ending Level of 663 is greater than the Russell 2000® Index Initial Level of 650 and the Russell 2000® Index Return of 2% multiplied by 4 does not exceed the Maximum Total Return of 21.40%, the investor receives a payment at maturity of $1,080 per $1,000 principal amount note, calculated as follows:

$1,000 + [$1,000 x (2% x 4)] = $1,080

Example 2: The level of the Russell 2000® Index increases from the Initial Index Level of 650 to an Ending Level of 715 and the Relative Index Performance is positive. Because the Relative Index Performance is positive, the Maximum Total Return is 21.40%. Because the Russell 2000® Index Ending Level of 715 is greater than the Russell 2000® Index Initial Level of 650 and the Russell 2000® Index Return of 10% multiplied by 4 exceeds the Maximum Total Return of 21.40%, the investor receives a payment at maturity, based on the Maximum Total Return, of $1,214 per $1,000 principal amount note.

Example 3: The level of the Russell 2000® Index increases from the Initial Level of 650 to an Ending Level of 715 and the Relative Index Performance is negative. Because the Relative Index Performance is negative, the Maximum Total Return is 30%. Because the Russell 2000® Index Ending Level of 715 is greater than the Russell 2000® Index Initial Level of 650 and the Russell 2000® Index Return of 10% multiplied by 4 exceeds the Maximum Total Return of 30%, the investor receives a payment at maturity, based on the Maximum Total Return, of $1,300 per $1,000 principal amount note.

Example 4: The level of the Russell 2000® Index increases from the Initial Level of 650 to an Ending Level of 682.50 and the Relative Index Performance is negative. Because the Relative Index Performance is negative, the Maximum Total Return is 30%. Because the Russell 2000® Index Ending Level of 682.50 is greater than the Russell 2000® Index Initial Level of 650 and the Russell 2000® Index Return of 5% multiplied by 4 does not exceed the Maximum Total Return of 30%, the investor receives a payment at maturity of $1,200 per $1,000 principal amount note, calculated as follows:

$1,000 + [$1,000 x (5% x 4)] = $1,200

Example 5: The level of the Russell 2000® Index decreases from the Initial Level of 650 to an Ending Index Level of 520. Because the Russell 2000® Index Ending Level of 520 is less than the Russell 2000® Index Initial Level of 650, the Russell 2000® Index Return is negative and the investor receives a payment at maturity of $800 per $1,000 principal amount note, calculated as follows:

$1,000 + ($1,000 x -20%) = $800
JPMorgan Structured Investments —
Return Enhanced Notes Linked to the Performance of the Russell 2000® Index Relative to the Performance of the S&P 500® Index
 PS-3

Historical Information

The following graph sets forth the historical performance of the Russell 2000® Index and the S&P 500® Index based on the weekly closing levels for the Indices from January 3, 2003 through January 18, 2008. The Index closing level for the Russell 2000® Index on January 22, 2008 was 671.57. The Index closing level for the S&P 500® Index on January 22, 2008 was 1310.50. We obtained the closing levels for the Indices 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 levels of the Indices should not be taken as an indication of future performance, and no assurance can be given as to the closing levels for the Indices on the Observation Date. We cannot give you assurance that the performance of the Indices will result in the return of any of your initial investment.

 
JPMorgan Structured Investments —
Return Enhanced Notes Linked to the Performance of the Russell 2000® Index Relative to the Performance of the S&P 500® Index
 PS-4