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11 SUMMARY AND SECURITIES NOTE 28 March 2007 JPMorgan Chase Bank, N.A. (a National Banking Association organised pursuant to the laws of the United States of America) as Issuer of Up to EUR 50,000,000 (being the equivalent of up to 500,000 units) Equity Protection Certificates linked to the S&P/MIB Index, due April 2012 U.S.$35,000,000,000 Euro Medium Term Note Programme Issue Price: EUR 100 per Certificate The Certificates are capital protected debt instruments and shall be issued under the U.S.$35,000,000,000 Euro Medium Term Note Programme having an outstanding nominal amount as at the Issue Date of EUR 100 per security (being the equivalent of one unit). This document, comprised of the Summary and Securities Note (this "Document"), together with the registration document dated 18 August 2006 of JPMCB (as defined below) (the "Original JPMCB Registration Document"), as supplemented by supplements to the Original JPMCB Registration Document dated 17 October 2006, 20 December 2006 and 22 March 2007 (the Original JPMCB Registration Document as so supplemented, the "JPMCB Registration Document"), which has previously been published on the website of the Luxembourg Stock Exchange, ( constitutes a prospectus (the "Prospectus") for the purposes of article 5.3 of Directive 2003/71/EC (the "Prospectus Directive") relating to up to EUR 50,000,000 (being the equivalent of up to 500,000 units) Equity Protection Certificates linked to the S&P/MIB Index, due April 2012 (the "Certificates") to be issued by JPMorgan Chase Bank, N.A. (the "Issuer" or "JPMCB") under its U.S.$35,000,000,000 Euro Medium Term Note Programme (the "EMTN Programme") relating to issues of non-equity securities. This Document which will be published on the website of the Luxembourg Stock Exchange, ( and the JPMCB Registration Document should be read and construed in conjunction with the Base Prospectus (as defined in "Documents Incorporated by Reference" below and to the extent only of the specified sections of the Base Prospectus incorporated by reference herein). The Certificates being offered hereby are being issued pursuant to the EMTN Programme (as defined below), provided that: (1) all current references to "Certificate" and "Certificates" in the relevant sections of the Base Prospectus incorporated by reference herein shall be deemed to be instead to "Registered Note Certificate" and "Registered Note Certificates"; (2) all current references to "Note" and "Notes" in the relevant sections of the Base Prospectus incorporated by reference herein shall be deemed to be instead to "Certificate" and "Certificates"; and (3) all current references to "Noteholder" and "Noteholders" in the relevant section of the Base Prospectus incorporated by reference herein shall be deemed to be instead to "Holder" and "Holders"

12 The Certificates will be offered for sale to the public in Italy during a subscription period from (and including) 3 April 2007 to (and including) 24 April 2007, provided that the relevant regulatory approvals have been granted. Such subscription period is subject to adjustment by or on behalf of the Issuer and any adjustments to the subscription period will be set out in one or more notices to be made available on the website of the Luxembourg Stock Exchange ( (and for the avoidance of doubt, no supplement to this Document will be published in relation thereto). The total number of Certificates to be issued will be determined based on market demand for the Certificates during the subscription period together with market conditions (including the prices of the underlying Reference Assets (as defined below)) at the end of the subscription period and will be made available on the website of the Luxembourg Stock Exchange ( on or around the last day of the subscription period (and for the avoidance of doubt, no supplement to this Document will be published in relation thereto). Application has been made to the Commission de Surveillance du Secteur Financier (the "CSSF") in its capacity as competent authority under the Luxembourg Act dated 10 July 2005 on prospectuses for securities to approve this Prospectus and application has been made for the Certificates to be admitted to the Official List and trading on the Regulated Market of the Luxembourg Stock Exchange, which is regulated by Directive 2004/39/EC on Markets in Financial Instruments. Save as provided herein, JPMCB accepts responsibility for the information given in this Document and confirms that, having taken all reasonable care to ensure that such is the case, the information contained in this Document is, to the best of its knowledge, in accordance with the facts and does not omit anything likely to affect its import. The Certificates have not been and will not be registered under the U.S. Securities Act of 1933, as amended (the "Securities Act"), or any state securities laws, and trading in the Certificates has not been approved by the U.S. Commodity Futures Trading Commission (the "CFTC") under the U.S. Commodity Exchange Act, as amended (the "CEA"). The Certificates include Certificates in bearer form that are subject to certain U.S. tax law requirements. Subject to certain exceptions, Certificates may not be offered, sold, pledged, assigned, delivered, transferred or redeemed at any time within the United States or to, or for the account or benefit of, any U.S. Person. The term "U.S. Person" has the meaning ascribed to it in either Regulation S under the Securities Act ("Regulation S") or the U.S. Internal Revenue Code of 1986, as amended (the "Code"). The Certificates are being offered and sold outside the United States to non-u.s. Persons pursuant to the registration exemptions contained in Regulation S and Section 3(a)(2) of the Securities Act and may not be legally or beneficially owned at any time by any U.S. Person. The Issue Price in respect of the Certificates specified above may be more than the market value of such Certificates as at the Issue Date, and the price, if any, at which the Dealer or any other person is willing to purchase such Certificates in secondary market transactions is likely to be lower than the Issue Price in respect of such Certificates. In particular, the Issue Price in respect of the Certificates may take into account amounts with respect to commissions relating to the issue and sale of such Certificates as well as amounts relating to the hedging of the Issuer's obligations under such Certificates, and secondary market prices are likely to exclude such amounts. In addition, pricing models of relevant market participants may differ or produce a different result. The Commission de Surveillance du Secteur Financier of Luxembourg has been requested to provide the competent authority of Italy for the purposes of the Prospectus Directive with a certificate of approval attesting that the Prospectus has been drawn up in accordance with the Prospectus Directive. Further requests may be made in the future. Arranger and Dealer J.P. Morgan Securities Ltd

13 The Certificates issued by JPMCB are not a deposit insured or guaranteed by the United States Federal Deposit Insurance Corporation ("FDIC") or any other government authority. The Certificates issued by JPMCB are an unsecured and unsubordinated debt obligation of JPMCB and not of its parent, JPMorgan Chase & Co. ("JPMorgan Chase"), or any of its affiliates, and will rank pari passu with all other unsecured and unsubordinated indebtedness of JPMCB, subject to a preference in favor of certain deposit liabilities of JPMCB or other obligations that are subject to any priorities or preferences. An investment in Certificates is subject to a very high degree of complex risks which may arise without warning, may at times be volatile and losses may occur quickly and in unanticipated magnitude. Certificates are extremely speculative and investors bear the risk that they could lose all of their investment. No person should acquire any Certificates unless that person understands the nature of the relevant transaction and the extent of that person's exposure to potential loss and has a valid business purpose for acquiring such Certificates and any investment in such Certificates is consistent with such person's overall investment strategy. Each prospective purchaser of the Certificates should consider carefully whether the Certificates it considers acquiring are suitable for it in the light of such prospective purchaser's investment objectives, financial capabilities and expertise. Prospective purchasers of the Certificates should consult their own business, financial, investment, legal, accounting, regulatory, tax and other professional advisers to assist them in determining the suitability of the Certificates for them as an investment. See "Risk Factors". The amount of payment, if any, that investors in Certificates will receive on the relevant Interest Payment Date or Redemption Date with respect to the Interest Amount, Final Redemption Amount or any other amount, as the case may be, of such Certificates may be entirely dependent on the performance of the one or more Shares or Indices or any other type of instrument or asset (together the "Reference Assets" and each, a "Reference Asset) to which such Certificates are linked between the Issue Date and the relevant Interest Payment Date or the relevant Redemption Date, as the case may be, as well as on exchange rate fluctuations between the currency of the Reference Assets and the currency of the relevant Certificates and the ability of the Hedging Entity to realize on its investment in such Reference Assets at the relevant Interest Payment Date or the relevant Redemption Date, as the case may be. Any information contained herein relating to the Reference Asset will only consist of extracts from, or summaries of, information contained in financial and other information released publicly by the issuer, owner, guarantor or sponsor, as the case may be, of the Reference Asset. The Issuer accepts responsibility for accurately reproducing such extracts or summaries (insofar as it is applicable) and confirm that as far as they are aware and are able to ascertain from such information, no facts have been omitted which would render the reproduced information inaccurate or misleading but do not accept any further or other responsibility in respect of such information. The Issuer does not intend to provide any postissuance information, except if required by any applicable laws and regulations. None of the Issuer, the Arranger, the Dealer or any of their affiliates has participated in the preparation of such information or made any due diligence inquiry with respect to the Reference Asset or any issuer, owner, guarantor or sponsor thereof in connection with the offering of the Certificates. None of the Issuer, the Arranger, the Dealer or any of their affiliates has made or is making any representation that such information is accurate, complete or timely. None of the Issuer, the Arranger, the Dealer or any of their affiliates has made or is making any representation with respect to the past or future performance of the Reference Asset or any issuer, owner, guarantor or sponsor thereof. Although the Issuer, the Arranger, the Dealer or their affiliates may from time to time have an investment in, or a banking or other commercial relationship with, one or more issuers, owners, guarantors or sponsors of the Reference Assets and, in the course of such relationships, the Issuer, the Arranger, the Dealer or any of their affiliates may come into possession of material, non-public information regarding such asset, none of the Issuer, the Arranger, the Dealer or their affiliates has been acting at any time during an offering of any Certificates as an underwriter, distributor or other similar agent for any issuer, owner, guarantor or sponsor of the Reference Asset for the Certificates or is under any obligation to inform prospective purchasers or legal or beneficial owners either of the nature of or the fact that they were in possession of such information

14 In making an investment decision with respect to Certificates, an investor should make an investment decision with respect to the Reference Asset underlying such Certificates, and, accordingly, an investor should conduct an independent investigation of the relevant Reference Asset and the risks related to an investment in such Certificates; in such investigation, it should (i) obtain copies of all the documents that are publicly available to the potential and actual investors in such Reference Asset and review all such documents carefully, (ii) ask questions of the respective managements of the issuers, owners, guarantors or sponsors of such Reference Asset in respect of such documentation and in respect of such other matters as such an investor deems necessary or appropriate to making an informed investment decision with respect to such Reference Asset, (iii) request from the issuers, owners, guarantors or sponsors of the Reference Asset all additional information considered by such an investor necessary or appropriate to verify the accuracy of, or to supplement the information contained in, this Document or in the documents otherwise obtained by such an investor, (iv) consult such investor's own legal counsel and business, investment, financial, accounting, regulatory and tax advisors to determine the consequences of the investment in the Certificates and (v) not rely on the Issuer, the Arranger, the Dealer or any of their affiliates in connection with such investor's investigation of the accuracy of such information or such investor's investment decision. None of the Issuer, the Arranger, the Dealer or any of their respective affiliates, representatives or agents is acting as a fiduciary for or an advisor to any prospective purchaser of the Certificates with respect to the acquisition of the Certificates. The Issuer, the Arranger, the Dealer and their affiliates are not responsible for determining the legality or suitability of an investment by any prospective purchaser in Certificates. No person has been authorised to give any information or to make any representation other than those contained in this Document in connection with the issue or sale of the Certificates and, if given or made, such information or representation must not be relied upon as having been authorised by the Issuer, the Dealer or the Arranger. Neither the delivery of this Document nor any sale made in connection herewith shall, under any circumstances, create any implication that there has been no change in the affairs of the Issuer since the date hereof or the date upon which this Document has been most recently supplemented or that there has been no adverse change in the financial position of the Issuer since the date hereof or the date upon which this Document has been most recently supplemented or that any other information supplied in connection with the Programme is correct as of any time subsequent to the date on which it is supplied or, if different, the date indicated in the document containing the same. The distribution of this Document and the offering or sale of the Certificates in certain jurisdictions may be restricted by law. Persons into whose possession this Document comes are required by the Issuer, the Dealer and the Arranger to inform themselves about and to observe any such restriction. The publication of this Document is not intended as an offer or solicitation for the purchase or sale of any financial instrument in any jurisdiction where such offer or solicitation would violate the laws of such jurisdiction. The Certificates have not been and will not be registered under the Securities Act and include Certificates in bearer form that are subject to U.S. tax law requirements. Certificates may not be offered, sold, transferred, pledged, assigned, delivered or redeemed within the United States or to or for the account or benefit of any U.S. Person. The Certificates are being offered and sold outside the United States to non- U.S. Persons in reliance on the registration exemptions contained in Regulation S and Section 3(a)(2) under the Securities Act. For a description of certain restrictions on offers and sales of Certificates and on distribution of this Document, see "Subscription and Sale" in the Original Base Prospectus incorporated herein (beginning at page 154). The Certificates have not been approved or disapproved by the U.S. Securities and Exchange Commission (the "SEC"), any state securities commission in the United States, the CFTC, any U.S. federal or state banking authority or any other U.S. regulatory authority nor has any of the foregoing authorities passed upon or endorsed the merits of the offering of Certificates or the accuracy or the adequacy of this Document. Any representation to the contrary is a criminal offence in the United States. This Document does not constitute an offer of, or an invitation by or on behalf of the Issuer or the Dealer to subscribe for, or purchase, any Certificates

15 Bearer Certificates will be issued in compliance with U.S. Treas. Reg (c)(2)(i)(D) (the "D Rules") unless the Certificates are issued in circumstances in which the Certificates will not constitute "registration required obligations" under the United States Tax Equity and Fiscal Responsibility Act of 1982 ("TEFRA"), which circumstances will be referred to in the relevant Final Terms as a transaction to which TEFRA is not applicable. Each prospective purchaser of Certificates and such purchaser's employees, representatives, or other agents may disclose to any and all persons, without limitation of any kind, the U.S. federal income tax treatment and tax structure of the offering of Certificates pursuant to this Document and all materials of any kind (including any opinions or other tax analyses provided) relating to such U.S. federal income tax treatment and tax structure. The Arranger and the Dealer have not separately verified the information contained in this Document. None of the Dealer or the Arranger makes any representation, express or implied, or accepts any responsibility, with respect to the accuracy or completeness of any of the information in this Document. This Document is not intended to provide the basis of any credit or other evaluation and should not be considered as a recommendation by any of the Issuer, the Arranger or the Dealer that any recipient of this Document should purchase the Certificates. Each potential purchaser of Certificates should determine for himself the relevance of the information contained in this Document and any purchase of Certificates should be based upon such investigation as such potential purchaser deems necessary. None of the Dealer or the Arranger undertakes to review the financial condition or affairs of either of the Issuer during the life of the arrangements contemplated by this Document nor to advise any investor or potential investor in the Certificates of any information coming to the attention of any of the Dealer or the Arranger. Each prospective purchaser of Certificates must ensure that the complexity and risks inherent in the Certificates are suitable for such prospective purchaser's objectives and, if applicable, the size, nature and condition of such purchaser's business. The Jersey Financial Services Commission (the "Commission") has given, and has not withdrawn, its consent under Article 8 of the Control of Borrowing (Jersey) Order 1958, as amended, to the circulation in Jersey of an offer for subscription, sale or exchange of Certificates by the Issuer. The Commission is protected by the Control of Borrowing (Jersey) Law 1947, as amended, against liability arising from the discharge of its functions under that law. A copy of this document has been delivered to the Jersey Registrar of Companies in accordance with Article 5 of the Companies (General Provisions) (Jersey) Order The Registrar has given, and has not withdrawn, his consent to its circulation. It must be distinctly understood that, in giving these consents, neither the Jersey Registrar of Companies nor the Jersey Financial Services Commission takes any responsibility for the financial soundness of the Issuer or for the correctness of any statements made, or opinions expressed, with regard to them. Capitalised terms used herein shall be as defined in "Terms and Conditions" unless otherwise specified. In this Document, unless otherwise specified or the context otherwise requires, references to "U.S.$", "USD", "$" and "U.S. Dollars" are to United States dollars, and to "EUR", "euro" and " " are to the currency introduced at the third stage of the European economic and monetary union pursuant to the Treaty establishing the European Community, as amended

16 DOCUMENTS INCORPORATED BY REFERENCE The information contained in the following document, which has previously been published on the website of the Luxembourg Stock Exchange ( is incorporated in, and forms a part of, this Document: the base prospectus dated 18 August 2006 relating to issues of non-equity securities under the EMTN Programme by JPMCB and J.P. Morgan International Derivatives Ltd. ("JPMIDL") which has been approved for the purpose of the Prospectus Directive (the "Original Base Prospectus"), as supplemented by a supplement to the Original Base Prospectus dated 17 October 2006 relating to the change of Listing Agent and the filing by JP Morgan Chase & Co. of its current reports on Form 8-K with the U.S. Securities and Exchange Commission (the "Listing Agent Supplement"), a supplement to the Original Base Prospectus dated 29 November 2006 relating to an amended and restated guarantee applying to any Certificates issued under the EMTN Programme from and including 29 November 2006 (the "Guarantee Supplement"), a supplement to the Original Base Prospectus dated 20 December 2006 relating to the filing by JP Morgan Chase & Co. of its third quarter report on Form 10-Q with the U.S. Securities and Exchange Commission and the filing by JPMCB of its Consolidated Reports of Condition and Income as at 30 September 2006 with the U.S. Federal Deposit Insurance Company (the "2006 Third Quarter 10-Q Form and Call Report Supplement"), a supplement to the Original Base Prospectus dated 21 February 2007 relating to an increase in the EMTN Programme and an amended and restated guarantee (the "Programme Limit Increase Supplement"), a supplement to the Original Base Prospectus dated 22 March 2007 relating to the filing by JP Morgan Chase & Co of its Annual Report on Form 10-K with the U.S. Securities and Exchange Commission and the filing by JPMCB of its Consolidated Reports of Condition and Income as at 31 December 2006 with the U.S. Federal Deposit Insurance Company (the "2006 Annual Report and Call Report Supplement") and a supplement to the Original Base Prospectus dated 27 March 2007 relating to Danish Notes (the "Danish Supplement") (and the Original Base Prospectus so supplemented, the "Base Prospectus"). The table below sets out the relevant page references for the information incorporated herein by reference: Information incorporated by reference Page reference From the Original Base Prospectus Risk Factors (excluding "Risk Factors relating to Polish Notes" and the Page 14 subsequent risk factors relating to Polish Notes) Terms and Conditions of the Notes Page 29 Summary of Provisions relating to the Notes while in Global Form Page 146 Use of Proceeds Page 152 Subscription and Sale Page 154 Taxation Page 169 General Information Page 236 From the Listing Agent Supplement Amendments to Listing Agent and incorporation of Form 8-K Pages 1 to 3 From the 2006 Third Quarter 10-Q Form and Call Report Supplement Incorporation of 2006 Third Quarter Form 10-Q and Call Report Pages 1 to 3 From the Programme Limit Increase Supplement Increase of aggregate nominal amount of Notes Page 1 Form of amended and restated guarantee Page 1-6 -

17 From the 2006 Annual Report and Call Report Supplement Incorporation of 2006 Annual Report and Call Report Pages 1 to 3 Notwithstanding the foregoing: (1) all current references to "Certificate" and "Certificates" in the relevant sections of the Base Prospectus incorporated by reference herein shall be deemed to be instead to "Registered Note Certificate" and "Registered Note Certificates"; (2) all current references to "Note" and "Notes" in the relevant sections of the Base Prospectus incorporated by reference herein shall be deemed to be instead to "Certificate" and "Certificates"; and (3) all current references to "Noteholder" and "Noteholders" in the relevant section of the Base Prospectus incorporated by reference herein shall be deemed to be instead to "Holder" and "Holders". Any information not listed in the table above but included in the documents incorporated by reference is given for information purposes only. Investors who have not previously reviewed the information contained in the above documents should do so in connection with their evaluation of the Certificates

18 TABLE OF CONTENTS SECTION PAGE SUMMARY... 9 RISK FACTORS TERMS AND CONDITIONS ANNEX A...28 ANNEX B

19 SUMMARY This summary must be read as an introduction to this Document and any decision to invest in the Certificates should be based on a consideration of the Prospectus as a whole, including the documents incorporated by reference. Following implementation of the relevant provisions of the Prospectus Directive (Directive 2003/71/EC) in each Member State of the European Economic Area, no civil liability will attach to the Issuer in any such Member State solely on the basis of this summary, including any translation thereof, unless it is misleading, inaccurate or inconsistent when read together with the other parts of the Prospectus. Where a claim relating to the information contained in the Prospectus is brought before a court in a Member State of the European Economic Area, the plaintiff may, under the national legislation of the Member State where the claim is brought, be required to bear the costs of translating the Prospectus before the legal proceedings are initiated. Information and risk factors in respect of JPMCB JPMCB History and Development of JPMCB JPMorgan Chase Bank, N.A. ("JPMCB") is a wholly owned bank subsidiary of JPMorgan Chase & Co. ("JPMorgan Chase"). JPMCB is supervised by the U.S. Office of the Comptroller of the Currency ("OCC") and its registered office is located at 1111 Polaris Parkway, Columbus, Ohio 43240, United States of America. JPMCB's principal place of business is located at 270 Park Avenue, New York, NY 10017, United States of America (telephone number ). JPMCB is a commercial bank offering a wide range of banking services to its customers both domestically and internationally. JPMCB was organised in the legal form of a banking corporation under the laws of the State of New York on 26 November 1968 for an unlimited duration. On 13 November 2004: (a) (b) (c) JPMCB converted from a banking corporation organised under the laws of the State of New York into a national banking association organised under the laws of the United States of America (U.S.) for an unlimited duration; JPMCB's name was changed to JPMorgan Chase Bank, National Association; and Bank One, National Association (Chicago, Illinois) and Bank One, National Association (Columbus, Ohio) merged into JPMCB, with JPMCB being the surviving legal entity. In connection with becoming a U.S. national banking association, JPMCB is regulated and examined primarily by the OCC, which is the supervisory and regulatory authority of national banks in the U.S. JPMCB is a member of the Federal Reserve System and its deposits are insured by the Federal Deposit Insurance Corporation. Its Federal Reserve Bank Identification Number is As of 31 December 2006, JPMCB, had total assets of U.S.$1,179,400,000,000, total net loans of U.S.$416,700,000,000, total deposits of U.S.$650,600,000,000, and total stockholder s equity of U.S.$96,000,000,000. These figures are extracted from JPMCB's unaudited Consolidated Reports of Condition and Income as at 31 December 2006, which are filed with the Federal Deposit Insurance Corporation ("FDIC"). Principal Business Activities JPMCB's business activities are, for management reporting purposes, organised and integrated with the businesses of JPMorgan Chase and its affiliates into business segments for each line of business as well as a Corporate segment. The wholesale businesses are comprised of the Investment Bank, Commercial Banking, Treasury & Securities Services, and Asset & Wealth Management. The consumer business is comprised of Retail Financial Services

20 Organisational Structure JPMCB is one of the principal, wholly-owned bank subsidiaries of JPMorgan Chase, a company incorporated in the State of Delaware in the U.S.. The ordinary shares of JPMorgan Chase are listed on the New York Stock Exchange with ticker "JPM" and they are also listed on the London and Tokyo Stock Exchanges. The ordinary shares of JPMorgan Chase form part of the Dow Jones Industrial Average Index of the New York Stock Exchange. Financial and legal information on JPMorgan Chase, including the most recent Form 10-K for the year ended 31 December 2005 of JPMorgan Chase, the 2005 Annual Report of JPMorgan Chase and additional annual, quarterly and current reports filed with the U.S. Securities and Exchange Commission ("SEC") by JPMorgan Chase, as they become available, may be obtained by any interested party from the SEC website ( Further information on JPMorgan Chase and its group can be obtained from its website ( Set forth below are certain risks and uncertainties that JPMCB believes could adversely affect JPMCB's results: JPMCB's results of operations could be adversely affected by U.S. and international markets and economic conditions. There is increasing competition in the financial services industry which may adversely affect JPMCB's results of operations. JPMCB's acquisitions and integration of acquired businesses may not result in all of the benefits anticipated. JPMCB relies on its systems, employees and certain counterparties, and certain failures could materially adversely affect JPMCB's operations. JPMCB's non-u.s. trading activities and operations are subject to risk of loss, particularly in emerging markets. If JPMCB does not successfully handle issues that may arise in the conduct of its business and operations its reputation could be damaged, which could in turn negatively affect its business. JPMCB operates within a highly regulated industry and its business and results are significantly affected by the regulations to which it is subject. JPMCB faces significant legal risks, both from regulatory investigations and proceedings and from private actions brought against JPMCB. JPMCB's ability to attract and retain qualified employees is critical to the success of its business and failure to do so may materially adversely affect its performance. Government monetary policies and economic controls may have a significant adverse affect on JPMCB's businesses and results of operations. JPMCB's framework for managing its risks may not be effective in mitigating risk and loss to JPMCB. If JPMCB does not effectively manage its liquidity, its business could be negatively impacted. Future events may be different than those anticipated by JPMCB's management assumptions and estimates, which may cause unexpected losses in the future

21 Information and risk factors with respect to the Certificates Issuer Description of the Certificates Description of the Reference Assets JPMorgan Chase Bank, N.A. Up to EUR 50,000,000 (being the equivalent of up to 500,000 units) Equity Protection Certificates linked to the S&P/MIB Index, due April 2012 The Reference Asset to which the Certificates are linked is the S&P/MIB Index (Bloomberg: SPMIB Index). Further information on the Reference Asset is also set forth in the Annex hereto. The Securities are not sponsored, endorsed, promoted or sold by the Index Sponsor. Subscription Period Arranger Dealer Fiscal Agent Paying Agents Registrar Transfer Agents Calculation Agent The Certificates will be offered for sale to the public in Italy during a subscription period from (and including) 3 April 2007 to (and including) 24 April 2007, provided that the relevant regulatory approvals have been granted. Such subscription period is subject to adjustment by or on behalf of the Issuer in accordance with the applicable regulations. J.P. Morgan Securities Ltd. J.P. Morgan Securities Ltd. JPMorgan Chase Bank, N.A., London branch JPMorgan Chase Bank, N.A., London branch and J.P. Morgan Bank Luxembourg S.A. J.P. Morgan Bank Luxembourg S.A. JPMorgan Chase Bank, N.A., London branch and J.P. Morgan Bank Luxembourg S.A. J.P. Morgan Securities Ltd. Issue Date 30 April 2007 All calculations, determinations or adjustments made by the Calculation Agent shall, in the absence of manifest error, be final, conclusive and binding on the holders of the Certificates. Neither the Calculation Agent nor the Issuer shall have responsibility to holders of the Certificates for good faith errors or omissions in the Calculation Agent's calculations and determinations as provided in the Conditions. Issue Price EUR 100 per Certificate The Issue Price in respect of the Certificates specified above may be more than the market value of such Certificates as at the Issue Date, and the price, if any, at which the Dealer or any other person is willing to purchase such Certificates in secondary market transactions is likely to be lower than the Issue Price in respect of such Certificates. In particular, the Issue Price in respect of the Certificates may take into account amounts with respect to commissions relating to the issue and sale of such Certificates as well as amounts relating to the hedging of

22 the Issuer's obligations under such Certificates, and secondary market prices are likely to exclude such amounts. In addition, pricing models of relevant market participants may differ or produce a different result. Settlement Currency Reference Amount Minimum Trading Size EUR EUR 100 per Certificate The Certificates may only be traded in a minimum multiple of one Certificate (corresponding to a nominal amount of EUR 100) and, thereafter in multiples of one Certificate (corresponding to a nominal amount of EUR 100). Maturity Date 30 April 2012 Redemption Date Settlement Interest Redemption Amount Maturity Date (subject as provided in the Conditions, as supplemented and amended herein) Cash settlement None Index Linked On the Redemption Date (subject to earlier redemption in accordance with the Conditions), the Holders will receive the Reference Amount per Certificate, together with an additional amount depending on the performance of the Index on the Valuation Date. Such additional amount per Certificate will be determined by the Calculation Agent to be the product of (i) the Reference Amount per Certificate and (ii) the higher of (a) zero and (b) the Performance of the Index. The Performance of the Index is, generally, the value determined by the Calculation Agent to be the quotient of (i) the difference between the official closing level of the Index on the Valuation Date (which is scheduled to fall on 24 April 2012) and the official closing level of the Index on the Initial Valuation Date (which is scheduled to fall on 24 April 2007), and (ii) the official closing level of the Index on the Initial Valuation Date. Capitalised terms used herein shall bear the meanings ascribed to them in Part A or Part C of the "Terms and Conditions" below. Early Redemption The Certificates may be redeemed early following an event of default as set out in Condition 9. Certificates will be redeemable at the option of the Issuer prior to maturity for tax reasons as set out in Condition 5(c). The Early Redemption Amount in respect of each Certificate shall be an amount determined in good faith and in a commercially reasonable manner by the Calculation Agent to be the fair market value of such Certificates immediately prior to (and ignoring the circumstances leading to) such early redemption, adjusted to account fully for any reasonable expenses and costs of unwinding any underlying and/or related hedging and funding arrangements (including, without limitation any equity options, equity swaps or other instruments of any type whatsoever hedging the Issuer's obligations under the Certificates), Provided That such amount shall not be less than the

23 Reference Amount per Certificate. Disruptions Method of Issue Form of Certificates A Disrupted Day or Market Disruption Event (each as defined herein) may result in postponement of and/or alternative provisions for valuation and may have an adverse effect on the value of the Certificates. The Certificates will be issued in series (each a "Series"). Each Series may be issued in tranches (each a "Tranche") on the same or different issue dates. The Certificates will be issued in bearer form and will be represented on issue by a temporary Global Certificate exchangeable for a permanent Global Certificate which is exchangeable for Definitive Certificates in the limited circumstances specified in the permanent Global Certificate. In relation to Global Certificates, persons for the time being appearing in the books of the Relevant Clearing System shall be treated as Holders and in the case of Definitive Securities the person in whose name the Definitive Security is registered shall be treated as the Holder. Status of Certificates Cross Default and Negative Pledge Taxation Certificates will constitute unsubordinated and unsecured obligations of the Issuer. None Holders will be liable for any taxes due and payable arising in connection with any exercise, settlement or redemption of Certificates and/or with the resulting transfer of any reference asset(s). Holders should also take note of the section of this Document entitled "Italian Taxation". Governing Law Listing and Admission to Trading Relevant Clearing Systems No Ownership by U.S. Persons Selling Restrictions The Certificates are governed by English law. Application has been made for the Certificates to be admitted to the Official List and traded on the Regulated Market of the Luxembourg Stock Exchange. No assurances can be given that such listing and admission to trading will be approved. Euroclear, Clearstream, Luxembourg and Monte Titoli S.p.A. Certificates may not be legally or beneficially owned by U.S. Persons at any time. Each holder and each beneficial owner of a Certificate, (a) as a condition to purchasing such Certificate or any beneficial interest therein, will be deemed to represent that neither it nor any person for whose account or benefit the Certificates are being purchased is (i) located in the USA, (ii) is a U.S. Person or (iii) was solicited to purchase the Certificates while present in the USA and (b) will be deemed on purchase to agree not to offer, sell, deliver, pledge or otherwise transfer any Certificates at any time, directly or indirectly in the USA or to any U.S. Person. Restrictions apply to offers, sales or transfers of the Certificates in

24 various jurisdictions. See "Subscription and Sale" beginning at page 154 of the Original Base Prospectus incorporated by reference herein. In all jurisdictions offers, sales or transfers may only be effected to the extent lawful in the relevant jurisdiction. In relation to each Member State of the European Economic Area which has implemented the Prospectus Directive (each, a "Relevant Member State"), J.P. Morgan Securities Ltd. has represented and agreed, and any other Dealer who is appointed by the relevant Issuer in connection with an issue of Certificates will be required to represent and agree, that with effect from and including the date on which the Prospectus Directive is implemented in that Relevant Member State (the "Relevant Implementation Date") it has not made and will not make an offer of Certificates to the public in that Relevant Member State, except that it may, with effect from and including the Relevant Implementation Date, make an offer of Certificates to the public in that Relevant Member State: (a) (b) (c) (d) in (or in Germany, where the offer starts within) the period beginning on the date of publication of a prospectus in relation to those Certificates which has been approved by the competent authority in that Relevant Member State or, where appropriate, approved in another Relevant Member State and notified to the competent authority in that Relevant Member State, all in accordance with the Prospectus Directive and ending on the date which is 12 months after the date of such publication; at any time to legal entities which are authorised or regulated to operate in the financial markets or, if not so authorised or regulated, whose corporate purpose is solely to invest in securities; at any time to any legal entity which has two or more of (1) an average of at least 250 employees during the last financial year; (2) a total balance sheet of more than 43,000,000 and (3) an annual turnover of more than 50,000,000, as shown in its last annual or consolidated accounts; or at any time in any other circumstances which do not require the publication by the Issuer of a prospectus pursuant to Article 3 of the Prospectus Directive. For the purposes of this provision, the expression an "offer of Certificates to the public" in relation to any Certificates in any Relevant Member State means the communication in any form and by any means of sufficient information on the terms of the offer and the Certificates to be offered so as to enable an investor to decide to purchase or subscribe the Certificates, as the same may be varied in that Member State by any measure implementing the Prospectus Directive in that Member State and the expression Prospectus Directive means Directive 2003/71/EC and includes any relevant implementing measure in each Relevant Member State

25 Risk Factors Summary of risks relating to the Certificates generally: the Certificates may not be a suitable investment for all investors the market value of the Certificates may be volatile, and may be adversely affected by a number of factors, and the price at which a Holder will be able to sell Certificates prior to maturity may be at a substantial discount to the market value of such Certificates on the Issue Date an active trading market for the Certificates may not develop the Issue Price of the Certificates may be more than the market value of such Certificates as at the Issue Date, and the price of the Certificates in secondary market transactions the Certificates may be redeemed prior to maturity the Issuer and its subsidiaries (the "JPMorgan Group") are subject to various potential conflicts of interest in respect of the Certificates, including in relation to its hedging and market-making activities, which could have an adverse effect on the Certificates the Calculation Agent (which is a member of the JPMorgan Group) has very broad discretionary authority to make various determinations and adjustments under the Certificates, any of which may have an adverse effect on the value and/or the amounts payable under the Certificates the Certificates are unsecured obligations the Certificates may be redeemed early if the Issuer's performance under such Certificates has become unlawful or impractical in whole or in part for any reason any consequential postponement of or any alternative provisions for valuation following a Market Disruption Event may have an adverse effect on the value of the Certificates it may not be possible to use the Certificates as a perfect hedge against the market risk associated with investing in a Reference Asset there may be regulatory consequences to the holder of holding Certificates linked to a Reference Asset the actual yield received by a purchaser of the Certificates may be reduced from the stated yield by transaction costs a holder of Certificates may find that the effective yield on the Certificates may be diminished by the tax impact on that holder of its investment in the Certificates

26 RISK FACTORS Investing in the Certificates involves certain risks. Prospective investors should consider, amongst other things, the following: the risk factors set forth in "Risk Factors relating to JPMCB" set forth in the Original JPMCB Registration Document (beginning at page 4)

27 TERMS AND CONDITIONS The terms and conditions of the Certificates shall consist of the "Terms and Conditions of the Notes" as set forth in the Original Base Prospectus (beginning at page 29) as completed and/or varied in accordance with the terms and conditions set forth below. No person shall have any right to enforce any term or condition of the Securities under the Contracts (Rights of Third Parties) Act PART A CONTRACTUAL TERMS 1. Issuer: JPMorgan Chase Bank, N.A. 2. (i) Series Number: (ii) Tranche Number: One 3. Specified Currency or Currencies: Euro ("EUR") 4. Settlement Currency: EUR 5. Relevant Exchange Rate: Not Applicable 6. Aggregate Nominal Amount of Certificates to be admitted to trading: (i) Series: EUR 50,000,000 comprising up to 500,000 Certificates. The Aggregate Nominal Amount will be finalised on or around the end of the subscription period (ii) Tranche: EUR 50,000,000 comprising up to 500,000 Certificates. The Aggregate Nominal Amount will be finalised on or around the end of the subscription period 7. Issue Price: In respect of each Certificate, EUR 100 which is equal to 100 per cent. of the Aggregate Nominal Amount The Issue Price specified above may be more than the market value of the Certificates as at the date of these Final Terms, and the price, if any, at which J.P. Morgan Securities Ltd. or any other person willing to purchase the Certificates in secondary market transactions is likely to be lower than the Issue Price. In particular, the Issue Price may take into account amounts with respect to commissions relating to the issue and sale of the Certificates as well as amounts relating to the hedging of the Issuer's obligations under the Certificates, and secondary market prices are likely to exclude such amounts. In addition, pricing models of relevant market participants may differ or produce a different result. 8. (i) Issue Size: Up to 500,000 Certificates. The final Issue Size will be finalised on or around the end of the subscription period (ii) Minimum trading size: One Certificate (corresponding to a Reference Amount of

28 EUR 100) and multiples of one Certificate thereafter (corresponding to a Reference Amount of EUR 100) (iii) Specified Denominations: EUR 100 per Certificate (the "Reference Amount") 9. Issue Date: 30 April Maturity Date: 30 April 2012, subject as provided in the Conditions (as supplemented and amended herein). 11. Redemption Date: The Maturity Date 12. Interest Basis: Non-interest bearing. There shall be no amount payable on account of interest under the Certificates. 13. Redemption/Payment Basis: Index Linked Redemption 14. Change of Interest or Redemption/Payment Basis: Not Applicable 15. Put/Call Options: Not Applicable 16. (i) Status of the Certificates: Senior (ii) Status of the Guarantee: Senior (iii) Date of Board approval for issuance of Certificates: 16 February Method of Distribution: Non-syndicated PROVISIONS RELATING TO INTEREST (IF ANY) PAYABLE 18. Fixed Rate Certificate Provisions: Not Applicable 19. Floating Rate Provisions: Not Applicable 20. Zero Coupon Certificate Provisions: Not Applicable 21. Index Linked Interest Certificate Provisions: 22. Equity Linked Interest Certificate Provisions: 23. Dual Currency Certificate Provisions: Not Applicable Not Applicable Not Applicable PROVISIONS RELATING TO REDEMPTION 24. Call Option: Not Applicable 25. Put Option: Not Applicable 26. Knock-in Event: Not Applicable

29 27. Knock-out Event: Not Applicable 28. Final Redemption Amount: Not Applicable 29. Early Redemption Amount: (i) Early Redemption Amount(s) payable on redemption for taxation reasons (Condition 5(c)) or an event of default (Condition 9) and/or the method of calculating the same (if required or if different from that set out in the Conditions) (or in the case of Equity Linked Certificates following certain corporate events in accordance with Condition 5(j)(v)(A) and (B) and/or the method of calculating the same (if required or if different from that set out in Condition 5(b))): The Early Redemption Amount in respect of each Certificate shall be an amount determined in good faith and in a commercially reasonable manner by the Calculation Agent to be the fair market value of such Certificates immediately prior to (and ignoring the circumstances leading to) such early redemption, adjusted to account fully for any reasonable expenses and costs of unwinding any underlying and/or related hedging and funding arrangements (including, without limitation any equity options, equity swaps or other instruments of any type whatsoever hedging the Issuer's obligations under the Certificates), Provided That such amount shall not be less than the Reference Amount per Certificate. Condition 5(b)(ii) shall be deemed to be amended accordingly. (ii) Redemption for taxation reasons permitted on days other than Interest Payment Dates (Condition 5(c)): Yes (iii) Unmatured Coupons to become void upon early redemption (Bearer Certificates only) (Condition 6(f)): Not Applicable 30. Additional Termination Events: (i) Change in Law: Not Applicable (ii) Failure to Deliver: Not Applicable (iii) Insolvency Filing: Not Applicable (iv) Hedging Disruption: Not Applicable (v) Increased Cost of Hedging: Not Applicable (vi) Loss of Stock Borrow: Not Applicable (vii) Increased Cost of Stock Borrow: 31. Index Linked Redemption Certificates: Not Applicable Applicable

30 (i) Index: S&P/MIB Index (Bloomberg Code: SPMIB Index), as more fully described in Annex A (Information relating to the Index) (the "SPMIB"). (ii) Type of Index for the purposes of Condition 17: Unitary Exchange Index (iii) Index Sponsor: Standard & Poor's Corporation, a division of the McGraw- Hill Companies, Inc. (iv) Exchange: Italian Stock Exchange (v) Related Exchange: The principal exchange on which options and futures contracts on the Index are traded, if any, as determined by the Calculation Agent. (vi) Index Level: Not Applicable (vii) Closing Index Level: Applicable (viii) Redemption Amount: See Part C (ix) Index Performance: Not Applicable (x) Index Ranking: Not Applicable (xi) Knock-in Event: Not Applicable (xii) Knock-out Event: Not Applicable (xiii) Valuation Date: 24 April 2012 (xiv) Valuation Time: As specified in paragraph 11 of Schedule C to the Conditions (xv) Initial Valuation Date: 24 April 2007 (xvi) Interest Valuation Date: (xvii) Initial Averaging Dates or Averaging Dates (Condition 5(i)(iv)): (xviii) Baseline Date: (xix) Disrupted Day/Market Disruption Market Events: Not Applicable Not Applicable Not Applicable Condition 5(h) and Condition 5(i) shall apply, as amended pursuant to Condition 17 (xx) Correction Cut-Off Date: In respect of the Initial Valuation Date and the Valuation Date, the second Scheduled Trading Day for the Index prior to the Maturity Date (xxi) Maximum Disruption Extension Period (if other than eight Scheduled Trading Days In respect of: (a) the Initial Valuation Date, not applicable; and

31 in respect of any relevant date): (b) the Valuation Date, two Scheduled Trading Days for the Index. (xxii) Index Disclaimer: (xxiii) Other terms or special conditions: 32. Equity Linked Redemption Certificates: Applicable See Part C Not Applicable 33. Credit Linked Certificates: Not Applicable GENERAL PROVISIONS APPLICABLE TO THE CERTIFICATES 34. Form of Certificates: Bearer Certificates (i) Temporary or permanent global Note/Certificate: Temporary Global Certificate exchangeable for a permanent Global Certificate which is exchangeable for Definitive Certificates in the limited circumstances specified in the permanent Global Certificate (ii) Applicable TEFRA exemption: D Rules 35. (i) Additional Financial Centre(s) (Condition 6(h)) or other special provisions relating to payment dates: Not Applicable (ii) Additional Business Centre(s) (Condition 4(j)): Not Applicable 36. Payment Disruption Event (Condition 6(i)): Not Applicable 37. Physical Delivery: Not Applicable 38. Talons for future Coupons or Receipts to be attached to Definitive Certificates (and dates on which such Talons mature): 39. Details relating to Partly Paid Certificates: amount of each payment comprising the Issue Price and date on which each payment is to be made and consequences (if any) of failure to pay, including any right of the Issuer to forfeit the Certificates and interest due on late payment: No Not Applicable 40. Details relating to Instalment Not Applicable

32 Certificates: 41. Redenomination, renominalisation and reconventioning provisions: Not Applicable 42. Consolidation provisions: The provisions of Condition 12 apply 43. Other final terms or special conditions: Applicable See Part C None of the Calculation Agent, the Issuer shall have responsibility to the Holders for good faith errors or omissions in the Calculation Agent's calculations and determinations as provided in the Conditions, whether caused by negligence or otherwise. DISTRIBUTION 44. (i) If syndicated, names and addresses of Managers and underwriting commitments: (ii) Date of Subscription Agreement: Not Applicable Not Applicable. The Certificates will be offered for sale to the public in Italy during a subscription period from (and including) 3 April 2007 to (and including) 24 April 2007, provided that the relevant regulatory approvals have been granted. Such subscription period is subject to adjustment by or on behalf of the Issuer in accordance with the applicable regulations. The results of the offering will be available on the website of the Luxembourg Stock Exchange ( on or around the end of the subscription period. (iii) Stabilising Manager (if any): Not Applicable 45. If non-syndicated, name and address of Dealer: J.P. Morgan Securities Ltd. of 125 London Wall, London EC2Y 5AJ 46. Total commission and concession: Not Applicable 47. U.S. selling restrictions: Section 3(a)(2) and Regulation S under the Securities Act No offers or sales at any time within the United States or to or for the account or benefit of any U.S. Person; no legal or beneficial ownership by a U.S. person at any time. "U.S. Person" has the meaning ascribed to it in the U.S. Securities Act of 1933, as amended (the "Securities Act") or the U.S. Internal Revenue Code of 1986, as amended. TEFRA D Rules - Bearer Certificates will be issued in compliance with U.S. Treas. Reg (c)(2)(i)(D) (the "D Rules") unless the Certificates are issued in circumstances in which the Certificates will not constitute "registration required obligations" under the United States

33 48. Additional Selling restrictions: Not Applicable GENERAL Tax Equity and Fiscal Responsibility Act of 1982 ("TEFRA"), which circumstances will be referred to in the relevant Final Terms as a transaction to which TEFRA is not applicable. 49. Additional steps that may only be taken following approval by an Extraordinary Resolution in accordance with Condition 10(a): 50. The aggregate principal amount of Certificates issued has been translated into U.S. dollars at the rate of EUR 1 = U.S.$ , producing a sum of (for Certificates not determined in U.S. dollars): Not Applicable Up to U.S.$ 66,712,

34 PART B OTHER INFORMATION LISTING AND ADMISSION TO TRADING (i) Listing: Application has been made to list the Certificates on the Official List of the Luxembourg Stock Exchange with effect from, at the earliest, the Issue Date. No assurance can be given that such application will be granted (or if granted, will be granted by the Issue Date). (ii) Admission to trading: Application has been made for the Certificates to be admitted to trading on the Regulated Market of the Luxembourg Stock Exchange on and from the Issue Date. No assurance can be granted that such application will be approved on or before the Issue Date. RATINGS NOTIFICATION The Certificates will not be rated The Commission de Surveillance du Secteur Financier of Luxembourg has been requested to provide the Commissione Nationale per le Società e la Borsa (CONSOB), being the competent authority of Italy, with a certificate of approval attesting that the Prospectus has been drawn up in accordance with the Prospectus Directive. INTERESTS OF NATURAL AND LEGAL PERSONS INVOLVED IN THE ISSUE Save as discussed in the section of the Base Prospectus entitled "Subscription and Sale", so far as the Issuer is aware, no person involved in the offer of the Certificates has an interest material to the offer. REASONS FOR THE OFFER, ESTIMATED NET PROCEEDS AND TOTAL EXPENSES (i) Reasons for the offer Not Applicable (ii) Estimated net proceeds: Not Applicable (iii) Estimated total expenses: Not Applicable PERFORMANCE OF INDEX/FORMULA/OTHER VARIABLE, EXPLANATION OF EFFECT ON VALUE OF INVESTMENT AND ASSOCIATED RISKS AND OTHER INFORMATION CONCERNING THE UNDERLYINGS Details of past and future performance and the volatility of the Index may be obtained from and Bloomberg. Further information on the Index is also set forth in Annex A hereto. The manner in which the Certificates will be redeemed and the value of the Certificates, will depend on the performance of the Index on the Valuation Date. See Part C. TERMS AND CONDITIONS OF THE OFFER The time period, including any possible amendments and reduction of subscriptions, during which the offer will be open and description of the application The Certificates will be offered for sale to the public in Italy during a subscription period from (and including) 3 April 2007 to (and including) 24 April

35 process: Manner and date in which results of the offer are to be made public: 2007, provided that the relevant regulatory approvals have been granted. Such subscription period is subject to adjustment by or on behalf of the Issuer in accordance with the applicable regulations. The results of the offering will be available on the website of the Luxembourg Stock Exchange ( on or around the end of the subscription period. POST-ISSUANCE INFORMATION The Issuer does not intend to provide any post-issuance information, except if required by any applicable laws and regulations. OPERATIONAL INFORMATION ISIN Code: XS Common Code: Any Clearing System(s) other than Euroclear and Clearstream, Luxembourg and the relevant identification number(s): Delivery: The Agents appointed in respect of the Certificates are: Monte Titoli S.p.A. Delivery against payment As set out in the Agency Agreement

36 1. Redemption Amount upon Maturity PART C OTHER APPLICABLE TERMS Unless previously redeemed or purchased and cancelled in accordance with the Conditions (as supplemented and amended herein), the Issuer shall redeem each Certificate on the Maturity Date (subject to the Conditions, including Condition 6(i)) by payment of an amount in EUR (the "Redemption Amount") determined by the Calculation Agent in accordance with the following formula: 2. Definitions EUR 100 [ 100% + Max( 0%; Performance) ] The following words and expressions shall have the following meanings: "Final Index Level" means the Closing Index Level of the Index on the Valuation Date, as determined by the Calculation Agent. "Initial Index Level" means the Closing Index Level of the Index on the Initial Valuation Date, as determined by the Calculation Agent. "Max" followed by a series of amounts inside brackets means whichever is the greater of the amounts separated by a semi-colon inside those brackets. "Performance" means, the value determined by the Calculation Agent in accordance with the following formula: 3. Addition of new Condition 5(i)(iii)(D) Final Index Level - Initial Index Level Initial Index Level A new Condition shall be inserted in respect of the Certificates as Condition 5(i)(iii)(D) and which shall read as follows: "(D) Alternative Index In the event that the Calculation Agent determines, in its sole and absolute discretion, that it is not reasonably practicable (taking into account the costs involved) to calculate or continue to calculate the Index on the basis of Condition 5(i)(iii)(B) above, the Calculation Agent may rebase the Certificates on a single Index or Index Basket against another index determined by the Calculation Agent, in its sole and absolute discretion, to be a comparable index. If the Calculation Agent determines in its sole and absolute discretion that there is not such a comparable index, the Issuer may elect to terminate the Certificates by giving notice to the Holders in accordance with Condition 13 of such situation and the fair market value, as determined by the Calculation Agent in its sole and absolute discretion, of such Certificates and the fair market value so determined to be payable in respect of a Certificate shall be payable on the date specified in such notice, PROVIDED THAT such amount shall not be less than the nominal amount of each Certificate." 4. Issuance of Certificates under the EMTN Programme For the purposes of these Certificates (being issued pursuant to the U.S.$ 35,000,000,000 Euro Medium Term Note Programme), the Conditions are amended as follows, and in the following order:

37 (i) (ii) (iii) all references in the Conditions to "Certificate" and "Certificates" shall be deemed to be instead to, respectively, "Registered Note Certificate" and ""Registered Note Certificates"; all references in the Conditions to "Note" and "Notes" shall be deemed to be instead to, respectively, "Certificate" and "Certificates"; and all current references to "Noteholder" and "Noteholders" in the relevant section of the Base Prospectus incorporated by reference herein shall be deemed to be instead to "Holder" and "Holders"

38 ANNEX A INFORMATION RELATING TO THE INDEX The information included herein with respect to the Underlyings consists only of extracts from, or summaries of, publicly available information. The Issuer accepts responsibility that such information has been correctly extracted or summarised. No further or other responsibility in respect of such information is accepted by the Issuer and no responsibility whatsoever is accepted by J.P. Morgan Securities Limited ("JPMSL"). In particular, neither the Issuer nor JPMSL accepts responsibility in respect of the accuracy or completeness of the information set forth herein concerning the Underlyings or that there has not occurred any event which would affect the accuracy or completeness of such information. The levels of the Underlyings shown in the tables below show the high and low levels of the Underlyings for the periods indicated. While the tables below provide some historical data regarding the risks of investing in the Underlyings, past results are not necessarily indicative of future performance. Prospective purchasers of the Relevant Securities are advised to consult their own legal, tax, accountancy and other professional advisers to assist them in determining the suitability of the Relevant Securities for them as an investment. Each prospective purchaser of the relevant securities should be fully aware of and understand the complexity and risks inherent in the Relevant Securities before it makes its investment decision in accordance with the objectives of its business. For the purposes of this Annex: "Underlyings" mean the Index (as defined in Part A above). "Relevant Securities" means the Certificates (as described in Part A above)

39 ANNEX A INFORMATION RELATING TO THE S&P/MIB INDEX (for the purposes of this Annex A, the "Index") The Index The S&P/MIB Index is a capitalization weighted index developed by Standard & Poor's and Borsa Italiana. The Index measures the performance of the broad Italian equity market. The equities use free float shares in the index calculation. The Index was developed with a base value of 10,000 as of December 31, The Index is comprised of forty equities selected by the S&P/MIB Index Committee who monitor the Index and are comprised of members from Borsa Italiana and Standard & Poor's. The Index covers 80 per cent. of the Italian equities market. Source: (22 March 2007) Selection Criteria The S&P/MIB is maintained by the Index Committee, which is comprised of economists, index analysts and industry specialists. The Index Committee strives to ensure that the Index accurately measures the domestic Italian market, reflecting the risk and return characteristics of the broader universe on an on-going basis. The Global Industry Classification Standard (GICS ) is used to classify equities according to the company's primary line of business. The Committee meets quarterly and on an as-needed basis. Equities are included in the Index using the following criteria: All stocks traded on Borsa Italiana exchanges are eligible for inclusion except savings shares (azioni di risparmio) and preferred shares. Stocks from Nuovo Mercato and foreign listed stocks are also eligible. Liquidity is measured by the ratio of a stock's previous 6-month total value-traded to its float-adjusted market cap. A minimum float turnover ratio of 30 per cent. is generally required for inclusion. The Index Committee seeks to limit Index membership to those companies whose past financial performance indicates that the company is likely to remain financially viable. Investable Weight Factors (IWFs) are calculated by determining all long-term shareholders holding 5 per cent. or more of shares outstanding of the specific share class. This excludes OICR or Organismi di Investimento Collettivo del Risparmio (i.e. OEIC or SICAV1). In the case of a legally binding control block (patti di sindacato) with a total weight of 5 per cent. or more, the individual shareholders each with stakes of less than 5 per cent. will be excluded from free-float. The Index Committee strives to include the most liquid and sector-representative stocks in the Italian market. As a result, it is possible that not all 10 GICS sectors will always be represented. GICS methodology classifies a company according to its primary line of business as measured by revenues, earnings and/or the market perception of the stock. Sources: S&P/MIB Index Factsheet 30 June 2006 at (22 March 2007) S&P/MIB Index Methodology March 2007 at (22 March 2007) Index Calculation The base value of the S&P/MIB is set at the level of the MIB 30 Index at the close of trading on the 27th October This is to standardize the Index with the MIB 30 Index to facilitate a smooth transition for futures

40 and other derivatives from the MIB 30 to the S&P/MIB. Historical values for the S&P/MIB have been back calculated to December 31, S&P/MIB Index value The S&P/MIB Index value I(t) at time t is calculated using the following formula: Where: M(t) = total market capitalization at time t equal to: and M ( t) M ( t) D( t) I ( t) pi( t) qitiwfi t pi(t) = Price, at time t, of the i share. It is the price of the last contract concluded at the end of a predetermined and configurable interval (fixing), which at present is equal to 30 seconds. Where the shares of one of the constituents are suspended, the index shall be calculated using the price of the last contract concluded before the suspension. qi(t) = IWFi= D(t) = Number of shares in the Index of the i-constituent Investable Weight Factor of the i-constituent Value of the Index divisor at time t. By definition, the Index divisor satisfies the relation: S&P/MIB Total Return Index Value The S&P/MIB also includes a total return index whereby the dividend income is added to price appreciation to arrive at the total return. The total return is determined by reinvesting the daily cash dividend on the ex-date. d i ( t) d ( t) i D( t) where: d(t) = value of the indexed dividend at t di(t) = dividend per share of constituent i at time t D(t) = value of the S&P index divisor at time t The total return index is calculated using the following formula: Where: R ( t) [ I( t) + d( t) ] I( t 1) R(t) = value of the S&P/MIB total return index at t I(t) = value of the S&P/MIB Index at t d(t) = value of the indexed dividend at t Prices used to calculate the S&P/MIB Index Borsa Italiana have a number of definitions for prices produced from its trading systems, these are:

41 i) Closing Auction price: the prices at which the closing auction trades are concluded. (17:25 17:30 CET) ii) Opening Auction price: the prices at which the opening auction trades are concluded (08:00 09:00 CET) iii) Official Price: the weighted average of all quantities traded throughout the day. iv) Reference price: the weighted average of the last 10 per cent. of quantities traded (including those made at the closing auction) v) Continuous Trading price: the price of the latest trade in the continuous market (09:05 17:25) The S&P/MIB Index is calculated using the opening auction prices to calculate the opening index value, and to conduct the major index rebalancings. Throughout the day the S&P/MIB Index is calculated using the Continuous Trading price. The last index value is calculated using Closing Auction prices or, if there is no Closing Auction price for a particular constituent, the last price traded as at the end of the Continuous Trading phase. The Official price - used by the Market Supervision Group of Borsa Italiana in the calculation of K factors to be applied to the Index for corporate actions - and the reference price play no part in the S&P/MIB Index calculation. Divisor Adjustments In the event of an index change or corporate action resulting in a change of market capitalisation the Divisor is adjusted to grant continuity to the S&P/MIB. The new Divisor is obtained by dividing the new Adjusted Market Capitalization by the Adjusted Market Capitalization before corporate actions multiplied by the old Divisor. Index Maintenance The maintenance of the S&P/MIB consists of periodical revisions of the Index. Index Constituents are reviewed twice a year in March and September to analyse if they best represent the Italian market. All share changes and investible weight factors are updated on a quarterly basis. When a corporate action affects the price of a security, the price of the security is adjusted to offset any change in the total market value of the Index. The following table summarises the types of Index maintenance adjustments and indicates whether a divisor adjustment is required: Type of Corporate Action Timing Adjustment Factor Divisor Adjustment Required Share change greater than 10 per cent. - standard IWF change greater than 10 per cent. - standard Intra quarter constituent change Effective using End of Day prices Effective using End of Day prices Effective using Start of Day prices Yes Yes Yes Rights Offering End of Day Adjustment to price No Adjustment to shares Special Dividend End of Day Adjustment for price and shares No Index Committee Assigned Capital Return End of Day Adjustment for price Yes

42 Split and Reverse Split End of Day Adjustment for price No Adjustment for shares Spin-off Varies Varies (see for further details) The Index is calculated in real-time during market hours and disseminated on Source: S&P/MIB Index Methodology March 2007 at (22 March 2007) Historical Performance The following table sets out the high and low levels for the Index for the periods indicated. The historical performance of the Index should not be taken as an indication of future performance. Year Ended 31 December High Low ,961 26, ,056 30, ,434 34, months to February 2007 High Low March ,790 37,008 April ,606 37,289 May ,896 35,206 June ,941 34,655 July ,738 35,084 August ,993 36,292 September ,475 37,622 October ,650 38,399 November ,862 39,582 December ,434 39,949 January ,720 41,234 February ,020 40,918 Source: Bloomberg (28 March 2007). The official closing level of the Index on 27 March 2007 was 41,337. Source: Bloomberg (28 March 2007). Disclaimer S&P/MIB IS A TRADEMARK OF STANDARD & POOR'S CORPORATION ("S&P") AND HAS BEEN LICENSED FOR USE BY THE ISSUER. THE RELEVANT SECURITIES ARE NOT SPONSORED, ENDORSED, SOLD, OR PROMOTED BY S&P OR MIB AND S&P AND MIB MAKE NO REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE HOLDERS OF THE RELEVANT SECURITIES OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN SECURITIES GENERALLY OR IN THE RELEVANT SECURITIES OR THE ABILITY OF THE S&P/MIB INDEX TO TRACK GENERAL STOCK MARKET PERFORMANCE. THE ONLY RELATIONSHIP OF S&P AND MIB TO THE ISSUER IS THE

43 LICENSING OF CERTAIN TRADEMARKS AND TRADE NAMES OF S&P AND MIB AND S&P/MIB INDEX WHICH IS DETERMINED, COMPOSED AND CALCULATED BY S&P WITHOUT REGARD TO THE LICENSEE OR THE RELEVANT SECURITIES. S&P HAS NO OBLIGATION TO TAKE THE NEEDS OF THE ISSUER OR THE HOLDERS OF THE RELEVANT SECURITIES INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE S&P/MIB INDEX. S&P IS NOT RESPONSIBLE FOR AND HAS NOT PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THE RELEVANT SECURITIES TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH THE RELEVANT SECURITIES ARE TO BE CONVERTED INTO CASH. S&P HAS NO OBLIGATION OR LIABILITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR TRADING OF THE RELEVANT SECURITIES. S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE S&P/MIB INDEX OR ANY DATA INCLUDED THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE RESULTS TO BE OBTAINED BY THE ISSUER, HOLDERS OF THE RELEVANT SECURITIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P/MIB INDEX OR ANY DATA INCLUDED THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE S&P/MIB INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. THE ISSUER AND THE DEALER ACCEPT NO RESPONSIBILITY OR LIABILITY WHATSOEVER IN RESPECT OF ANY PERSON WHO MAY BE AFFECTED ADVERSELY OR OTHERWISE, WHETHER DIRECTLY OR INDIRECTLY, IN CONNECTION WITH ANY PURCHASE OR SALE OF, OR INVESTMENT IN RELEVANT SECURITIES, FOR ANY ACTIONS TAKEN OR ANY OMISSIONS RELATING TO THE S&P/MIB INDEX INCLUDING, WITHOUT LIMITATION, CHANGES IN THE COMPOSITION OF THE S&P/MIB INDEX, ALTERATIONS OR ERRORS IN THE METHODS OF CALCULATING THE S&P/MIB INDEX, DELAY, TERMINATION, SUSPENSION OR INTERRUPTION OF THE S&P/MIB INDEX ITSELF OR IN THE CALCULATION OR PUBLICATION OF THE S&P/MIB INDEX, THE ACCURACY AND THE COMPLETENESS OF ANY COMPOSITION OF THE S&P/MIB INDEX OR CALCULATION OF THE S&P/MIB INDEX, ANY ACT OF FORCE MAJEURE OR OTHERWISE ON THE PART OF THE CORPORATIONS OR ANY SUCCESSOR SPONSOR

44 ANNEX B ITALIAN TAXATION Italian Tax Considerations The statements herein regarding Italian taxation are based on the laws and published practice of the Italian tax authorities in effect in Italy as of the date of this offering memorandum and are subject to any changes in law occurring after such date, which changes could be made on a retroactive basis. The following is a summary only of the material Italian tax consequences of the purchase, ownership and disposition of Certificates for beneficial owners who are Italian resident individuals. Please note that the following summary is not aimed at describing the tax treatment of the purchase, ownership and disposition of the Certificates for beneficial owners who are Italian resident partnerships, corporations, private or public entities carrying out commercial activity, pension funds, SICAV, or non resident entities. Prospective purchasers of the Certificates are advised to consult their own tax advisors concerning the overall tax consequences of their acquiring, holding and disposing of Certificates and receiving payments on interest, principal and/or other amounts under the Certificates, including in particular the effect of any state, regional and local tax laws. Please note that, pursuant to a draft law, currently pending, the Italian Government should amend the relevant laws governing the taxation of capital gains and the tax considerations explained hereinafter may be affected by such new provisions. If introduced, the new tax regime should foresee an average taxation at a 20% rate on any capital income realized by Italian investors. Tax Treatment of the Certificates Interest and other proceeds Certificates that qualify as obbligazioni o titoli similari alle obbligazioni and have an original maturity of not less than eighteen months Pursuant to Legislative Decree No. 239 of April 1, 1996, as amended and restated, and pursuant to Art. 44 paragraph 2(c) of Presidential Decree No. 917 of December 22, 1986, as amended and restated, in general, interest and other proceeds (including the difference between the redemption amount and the issue price) in respect of Certificates that qualify as bonds or debentures similar to bonds (obbligazioni o titoli similari alle obbligazioni) and that are issued by a non-italian resident issuer may be subject to final Italian substitute tax if owned by beneficial owners resident in Italy for tax purposes, depending on the legal status of the beneficial owners. For these purposes, debentures similar to bonds are defined as securities (i) that incorporate an unconditional obligation to pay, at maturity, an amount not lower than their nominal value and (ii) that do not give any right to directly or indirectly participate in the management of the relevant issuer or of the business in relation to which they are issued. Italian Resident Certificates-holders Applicability of Imposta Sostitutiva In particular, pursuant to Legislative Decree No. 239/1996, as amended and restated, payments of interest and other proceeds (including the original issue discount) in respect of Certificates that qualify as obbligazioni o titoli similari alle obbligazioni and have an original maturity of not less than eighteen months to Italian resident beneficial owners (either when interest and other proceeds are paid or when payment thereof is obtained by a beneficial owner on a transfer of Certificates) will be subject to a final imposta sostitutiva (substitute tax) at a 12.50% rate in Italy if made to Italian resident beneficial owners that are private individuals holding Certificates not in connection with an entrepreneurial activity (unless they have entrusted the management of their financial assets, including the Certificates, to an Italian authorized financial intermediary and have opted for the Risparmio Gestito regime provided for by Article 7 of Legislative Decree No. 461 of November 21, 1997 the Asset Management Option ). In case the Certificates are held by an individual in connection with an entrepreneurial activity, interest and other proceeds relating to the Certificates will be subject to an advance

45 imposta sostitutiva at a 12.5% rate and will be included in the relevant beneficial owner s income tax return. As a consequence, the interest and other proceeds will be subject to the ordinary income tax and the imposta sostitutiva may be recovered as a deduction from the income tax due. The 12.50% imposta sostitutiva will be applied by the Italian resident qualified financial intermediaries. If interest and other proceeds on the Certificates are not collected through an Italian resident qualified financial intermediary and as such no imposta sostitutiva is levied, the Italian resident beneficial owners will be required to include interest and other proceeds in their yearly income tax return and subject them to final substitute tax at a rate of 12.50%, unless an option is allowed and made for a different regime. Alternatively, Italian resident individuals holding Certificates not in connection with an entrepreneurial activity may elect to pay ordinary personal income taxes at progressive rates in respect of interest and other proceeds on the Certificates; if so, the beneficial owners should generally benefit from a tax credit for foreign withholding taxes, if any. Italian Resident Certificates-holders Imposta Sostitutiva Not Applicable Pursuant to legislative Decree No. 239/1996, as amended and restated, payments of interest and other proceeds (including the original issue discount) in respect of Certificates that qualify as obbligazioni o titoli similari alle obbligazioni and have an original maturity of not less than eighteen months to Italian resident beneficial owners will not be subject to the imposta sostitutiva at the rate of 12.50% if made to beneficial owners that are Italian resident individuals holding Certificates not in connection with entrepreneurial activity who have entrusted the management of their financial assets, including the Certificates, to an Italian qualified financial intermediary and have opted for the Asset Management Option. If the Certificates are part of an investment portfolio managed on a discretionary basis by an Italian authorized intermediary and the beneficial owner of the Certificates has opted for the Asset Management Option, annual substitute tax at a rate of 12.50% (the Asset Management Tax ) applies on the increase of value of the managed assets accrued, even if not realized, at the end of each tax year (which increase includes interest, premium and other proceeds accrued on Certificates). The Asset Management Tax is applied on behalf of the taxpayer by the managing authorized intermediary. To ensure payment of interest and other proceeds in respect of the Certificates without application of the imposta sostitutiva, where allowed, investors must be the beneficial owners of payments of interest and other proceeds on the Certificates and must timely deposit the Certificates, together with the coupons relating to such Certificates, directly or indirectly, with an Italian authorized financial Intermediary. Early Redemption Without prejudice to the above provisions, in the event that Certificates that qualify as obbligazioni o titoli similari alle obbligazioni and have an original maturity of not less than eighteen months are redeemed, in full or in part, prior to eighteen months from their date of issue, Italian resident beneficial owners will be required to pay an additional amount equal to 20% of the interest, premium and other proceeds (including original issue discount) accrued up to the time of the early redemption. If Italian withholding agents intervene in the collection of interest, premium and other proceeds on the Certificates or in the redemption of the Certificates, this additional amount will be levied by such withholding agents by way of withholding. In accordance with one interpretation of Italian fiscal law, the 20% additional amount may be also due in the event of purchase of the Certificates by the Issuer with subsequent cancellation thereof prior to eighteen months from the date of issue. Capital Gains Tax Capital Gains Realized by Italian Resident Certificates-holders Pursuant to Legislative Decree No. 461 of November 21, 1997, any capital gain realized by Italian resident individuals holding Certificates not in connection with an entrepreneurial activity and certain other persons upon sale for consideration or redemption of the Certificates would be subject to an imposta sostitutiva at the current rate of 12.50%. Under the tax return regime, which is the standard regime for taxation of capital gains realized

46 by Italian resident individuals not engaged in an entrepreneurial activity, the imposta sostitutiva on capital gains will be chargeable, on a cumulative basis, on all capital gains, net of any relevant incurred capital loss, realized by Italian resident individual noteholders holding Certificates not in connection with an entrepreneurial activity pursuant to all disposals of Certificates carried out during any given fiscal year. Italian resident individuals holding Certificates not in connection with entrepreneurial activity must report overall capital gains realized in any tax year, net of any relevant incurred capital loss, in the annual tax return to be filed for such year and pay the imposta sostitutiva on such gains together with any income tax due for such year. Capital losses in excess of capital gains may be carried forward against capital gains of the same kind realized in any of the four succeeding tax years. As an alternative to the tax return regime, Italian resident individual Certificates-holders holding the Certificates not in connection with entrepreneurial activity may elect to pay a 12.50% imposta sostitutiva separately on capital gains realized on each sale or redemption of the Certificates (the Risparmio Amministrato regime). Such separate taxation of capital gains is allowed subject to (i) the Certificates being deposited with Italian banks, SIMs or certain qualified financial intermediaries and (ii) an election for the Risparmio Amministrato regime being timely made in writing by the relevant Certificates-holder. Under the Risparmio Amministrato regime, where a sale or redemption of the Certificates results in capital loss, such loss may be deducted from capital gains of the same kind subsequently realized within the same relationship of deposit in the same tax year or in the following tax years up to the fourth. Under the Risparmio Amministrato regime, the Certificates-holder is not required to declare capital gains in its annual tax declaration and remains anonymous. Any capital gains accrued on Certificates held not in connection with entrepreneurial activity by Italian resident individuals who have elected for the Asset Management Option will be included in the computation of the annual increase in value of the managed assets accrued, even if not realized, at year end, subject to the Asset Management Tax to be applied on behalf of the taxpayer by the managing authorized intermediary. Under the Asset Management Option, any depreciation of the managed assets accrued at year end may be carried forward against increase in value of the managed assets accrued in any of the four succeeding tax years. Under the Asset Management Option, the Certificates-holder is not required to report capital gains realized in its annual tax declaration and remains anonymous. Italian Inheritance and Gift Tax Law Decree No. 262 of October 3, 2006, converted with amendments into Law No. 286 of November 24, 2006, has reintroduced the inheritance and gift tax on transfers by inheritance or donations of goods and rights. Pursuant to Art. 48 and Art. 49 of Law Decree No. 262 of October 3, 2006, if Certificates are transferred by way of inheritance or gifts: (i) (ii) (iii) to persons who are spouses or relatives in direct lineage, the value of the transferred Certificates is subject to a 4% inheritance or gift tax on the amount exceeding Euro for each heir or beneficiary; to persons - not listed under previous point (i) - who are relatives ( parenti ) within the fourth degree, relatives-in-law in direct lineage ( affini in linea retta ) and relatives-in-law in collateral lineage ( affini in linea collaterale ) up to the third degree, the value of the transferred Certificates is subject to a 6% inheritance or gift tax; to other persons, the value of the transferred Certificates is subject to an 8% inheritance or gift tax. Please note that Law Decree No. 262/2006 applies to inheritance starting from October 3, 2006 and to gift acts registered from November 29,

47 Pursuant to Law No. 296 of December 27, 2006 (Finance Bill 2007), if Certificates are transferred by way of inheritance or gifts to persons who are brothers and sisters, the value of the transferred Certificates is subject to a 6% inheritance or gift tax on the amount exceeding Euro for each heir or beneficiary. Furthermore, if Certificates are transferred by way of inheritance or gifts to seriously disabled persons, the value of the transferred Certificates is subject to inheritance or gift tax on the amount exceeding Euro for each heir or beneficiary. Please note that the rules set forth by Law No. 296/2006 apply to inheritance starting from October 3, 2006 and to gift acts registered from January 1, Transfer Tax Italian Legislative Decree No. 435 of November 21, 1997 ( Decree No. 435 ), which partly amended the regime set forth by Royal Decree No of December 30, 1923, governs the application of Italian transfer tax on transfer of securities, with Italian transfer tax being in general applicable in relation to transfers of Certificates executed in Italy. However, the transfer tax does not apply, inter alia, to contracts entered into on regulated markets relating to the transfer of securities, including contracts between the intermediary and its principal or between qualified intermediaries

48 Registered Office of JPMCB JPMorgan Chase Bank, N.A Polaris Parkway Columbus Ohio United States of America Dealer and Arranger J.P. Morgan Securities Ltd. 125 London Wall London, EC2Y 5AJ England Fiscal Agent, Exchange Agent, Paying Agent and Transfer Agent JPMorgan Chase Bank, N.A. Trinity Tower 9 Thomas More Street London E1W 1YT England Paying Agent, Registrar and Transfer Agent J.P. Morgan Bank Luxembourg S.A. 6, route de Trèves L-2633 Senningerberg (Municipality of Niederanven) Luxembourg Calculation Agent and Delivery Agent J.P. Morgan Securities Ltd. 125 London Wall London, EC2Y 5AJ England

49 Luxembourg Listing Agent Bank of New York (Luxembourg) S.A. Aerogolf Center 1A Hoehenhof L-1736 Senningerberg Luxembourg Auditors To JPMCB PricewaterhouseCoopers LLP 300 Madison Avenue New York, NY United States of America Legal Advisers To the Issuer under the Programme in respect of English law Nigel Harris & Partners Oak Walk St. Peter Jersey JE3 7EF Channel Islands in respect of Jersey law Mourant du Feu & Jeune 22 Grenville Street St Helier Jersey JE4 8PX Channel Islands To the Dealer in respect of English law Ashurst Broadwalk House 5 Appold Street London EC2A 2HA England /Ashurst(EML)/(HB)